def get_factor_risk_report(self,
risk_model_id: str = None,
fx_hedged: bool = None) -> FactorRiskReport:
if self.positioned_entity_type in [
EntityType.PORTFOLIO, EntityType.ASSET
]:
position_source_type = self.positioned_entity_type.value.capitalize(
)
reports = GsReportApi.get_reports(
limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [
report for report in reports
if report.parameters.fx_hedged == fx_hedged
]
if risk_model_id:
reports = [
report for report in reports
if report.parameters.risk_model == risk_model_id
]
if len(reports) > 1:
raise MqError(
f'This {position_source_type} has more than one factor risk report that matches '
'your parameters. Please specify the risk model ID and fxHedged value in the '
'function parameters.')
if len(reports) == 0:
raise MqError(
f'This {position_source_type} has no factor risk reports that match your parameters.'
)
return FactorRiskReport.from_target(reports[0])
raise NotImplementedError
def get_reports(self) -> List[Report]:
if self.positioned_entity_type == EntityType.PORTFOLIO:
reports_as_target = GsPortfolioApi.get_reports(portfolio_id=self.id)
report_objects = []
for report in reports_as_target:
if report.type == ReportType.Portfolio_Performance_Analytics:
report_objects.append(PerformanceReport.from_target(report))
elif report.type in [ReportType.Portfolio_Factor_Risk, ReportType.Asset_Factor_Risk]:
report_objects.append(FactorRiskReport.from_target(report))
else:
report_objects.append(Report.from_target(report))
return report_objects
raise NotImplementedError
def get_factor_risk_reports(self, fx_hedged: bool = None) -> List[FactorRiskReport]:
if self.positioned_entity_type in [EntityType.PORTFOLIO, EntityType.ASSET]:
position_source_type = self.positioned_entity_type.value.capitalize()
reports = GsReportApi.get_reports(limit=100,
position_source_type=position_source_type,
position_source_id=self.id,
report_type=f'{position_source_type} Factor Risk')
if fx_hedged:
reports = [report for report in reports if report.parameters.fx_hedged == fx_hedged]
if len(reports) == 0:
raise MqError(f'This {position_source_type} has no factor risk reports that match your parameters.')
return [FactorRiskReport.from_target(report) for report in reports]
raise NotImplementedError
def get_reports(self) -> List[Report]:
"""
Get a list of all reports associated with the portfolio
:return: list of Report objects
"""
reports = []
reports_as_targets = GsPortfolioApi.get_reports(self.__portfolio_id)
for report_target in reports_as_targets:
if report_target.type in [
ReportType.Portfolio_Factor_Risk,
ReportType.Asset_Factor_Risk
]:
reports.append(FactorRiskReport.from_target(report_target))
if report_target.type == ReportType.Portfolio_Performance_Analytics:
reports.append(PerformanceReport.from_target(report_target))
return reports