def test_thematic_beta():
replace = Replacer()
# mock getting PTA report
mock = replace('gs_quant.markets.report.ThematicReport.get', Mock())
mock.return_value = ThematicReport(id='report_id')
# mock getting thematic exposure
mock = replace('gs_quant.markets.report.ThematicReport.get_thematic_betas',
Mock())
mock.return_value = pd.DataFrame(thematic_data)
# mock getting asset
mock = Stock('MAA0NE9QX2ABETG6', 'Test Asset')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(datetime.date(2019, 1, 1), datetime.date(2952, 12, 31),
XRef(ticker='basket_ticker', ))
]
replace('gs_quant.markets.securities.SecurityMaster.get_asset',
Mock()).return_value = mock
with DataContext(datetime.date(2020, 7, 12), datetime.date(2020, 7, 15)):
actual = mr.thematic_beta('report_id', 'basket_ticker')
assert all(actual.values == [1, 1, 1, 1])
replace.restore()
def test_skew_fx():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EURUSD', ))]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.skew(Cross('MAA0NE9QX2ABETG6', 'USD/EUR'), '1m', None, 25)
assert_series_equal(pd.Series([2.0], index=_index, name='impliedVolatility'), actual)
replace.restore()
def test_basis():
replace = Replacer()
mock_jpyusd = Cross('MA890', 'USD/JPY')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='JPYUSD', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-3m/JPY-3m': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_cross)
actual = tm.basis(mock_jpyusd, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='basis'), actual)
with pytest.raises(NotImplementedError):
tm.basis(..., '1y', real_time=True)
replace.restore()
def test_zc_inflation_swap_rate():
replace = Replacer()
mock_gbp = Currency('MA890', 'GBP')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='GBP', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'CPI-UKRPI': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_curr)
actual = tm.zc_inflation_swap_rate(mock_gbp, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='inflationSwapRate'), actual)
with pytest.raises(NotImplementedError):
tm.zc_inflation_swap_rate(..., '1y', real_time=True)
replace.restore()
def test_spread_option_atm_fwd_rate():
replace = Replacer()
mock_usd = Currency('MA890', 'USD')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='USD', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-LIBOR-BBA': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_curr)
actual = tm.spread_option_atm_fwd_rate(mock_usd, '3m', '10y', '5y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='spreadOptionAtmFwdRate'), actual)
with pytest.raises(NotImplementedError):
tm.spread_option_atm_fwd_rate(..., '3m', '10y', '5y', real_time=True)
replace.restore()
def test_vol_forecast():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EURUSD', ))]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.forecast(mock, '1y')
assert_series_equal(pd.Series([1.1, 1.1, 1.1], index=_index * 3, name='forecast'), actual)
actual = tm.forecast(mock, '3m')
assert_series_equal(pd.Series([1.1, 1.1, 1.1], index=_index * 3, name='forecast'), actual)
with pytest.raises(NotImplementedError):
tm.forecast(mock, '1y', real_time=True)
replace.restore()
def test_swap_rate():
replace = Replacer()
mock_usd = Currency('MA890', 'USD')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='USD', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD-3m': 'MA123'}
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_curr)
actual = tm.swap_rate(mock_usd, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'USD OIS': 'MA123'}
actual = tm.swap_rate(mock_usd, '1y', BenchmarkType.OIS)
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
mock_eur = Currency('MA890', 'EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='EUR', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'EUR-6m': 'MA123'}
actual = tm.swap_rate(mock_eur, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
mock_sek = Currency('MA890', 'SEK')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs', Mock())
xrefs.return_value = [GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31), XRef(bbid='SEK', ))]
identifiers = replace('gs_quant.timeseries.measures.GsAssetApi.map_identifiers', Mock())
identifiers.return_value = {'SEK-6m': 'MA123'}
actual = tm.swap_rate(mock_sek, '1y')
assert_series_equal(pd.Series([1, 2, 3], index=_index * 3, name='swapRate'), actual)
with pytest.raises(NotImplementedError):
tm.swap_rate(..., '1y', real_time=True)
replace.restore()
def test_vol_fx():
replace = Replacer()
mock = Cross('MAA0NE9QX2ABETG6', 'USD/EUR')
xrefs = replace('gs_quant.timeseries.measures.GsAssetApi.get_asset_xrefs',
Mock())
xrefs.return_value = [
GsTemporalXRef(dt.date(2019, 1, 1), dt.date(2952, 12, 31),
XRef(bbid='EURUSD', ))
]
replace('gs_quant.markets.securities.SecurityMaster.get_asset', mock)
# for different delta strikes
replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', mock_fx)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_PUT, 25)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_NEUTRAL)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
actual = tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 100)
assert_series_equal(
pd.Series([5, 1, 2], index=_index * 3, name='impliedVolatility'),
actual)
# NORMALIZED not supported
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.DELTA_CALL)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.NORMALIZED, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.SPOT, 25)
with pytest.raises(MqError):
tm.implied_volatility(mock, '1m', tm.VolReference.FORWARD, 25)
replace.restore()