def result(self):
"""
:return: a Pandas DataFrame containing the results of the report job
"""
status = self.status()
if status == ReportStatus.cancelled:
raise MqValueError(
'This report job in status "cancelled". Cannot retrieve results.'
)
if status == ReportStatus.error:
raise MqValueError(
'This report job is in status "error". Cannot retrieve results.'
)
if status != ReportStatus.done:
raise MqValueError(
'This report job is not done. Cannot retrieve results.')
if self.__report_type in [
ReportType.Portfolio_Factor_Risk, ReportType.Asset_Factor_Risk
]:
results = GsReportApi.get_factor_risk_report_results(
risk_report_id=self.__report_id,
start_date=self.__start_date,
end_date=self.__end_date)
return pd.DataFrame(results)
if self.__report_type == ReportType.Portfolio_Performance_Analytics:
query = DataQuery(where={'reportId': self.__report_id},
start_date=self.__start_date,
end_date=self.__end_date)
results = GsDataApi.query_data(
query=query, dataset_id=ReportDataset.PPA_DATASET.value)
return pd.DataFrame(results)
return None
def get_results(self,
mode: FactorRiskResultsMode = FactorRiskResultsMode.Portfolio,
factors: List[str] = None,
factor_categories: List[str] = None,
start_date: dt.date = None,
end_date: dt.date = None,
currency: Currency = None,
return_format: ReturnFormat = ReturnFormat.DATA_FRAME) -> Union[Dict, pd.DataFrame]:
"""
Get the raw results associated with the factor risk report
:param mode: results mode; defaults to the portfolio level
:param factors: optional list of factors; defaults to all of them
:param factor_categories: optional list of factor categories; defaults to all of them
:param start_date: start date
:param end_date: end date
:param currency: currency
:param return_format: return format; defaults to a Pandas DataFrame, but can be manually
set to ReturnFormat.JSON
:return: risk report results
"""
results = GsReportApi.get_factor_risk_report_results(risk_report_id=self.id,
view=mode.value,
factors=factors,
factor_categories=factor_categories,
currency=currency,
start_date=start_date,
end_date=end_date)
return pd.DataFrame(results) if return_format == ReturnFormat.DATA_FRAME else results
def test_get_factor_risk_report_results(mocker):
mock_response = [
{
"date": "2003-01-03",
"factor": "Value",
"factorCategory": "Style",
"pnl": 0.002877605406002121,
"exposure": 12.105457414400002,
"sensitivity": 0.026861678358408886,
"proportionOfRisk": 0.0038230454885067183
},
{
"date": "2003-01-06",
"factor": "Value",
"factorCategory": "Style",
"pnl": 0,
"exposure": 12.1028697664,
"sensitivity": 0.02668134999120776,
"proportionOfRisk": 0.0036290846167489335
}
]
# mock GsSession
mocker.patch.object(
GsSession.__class__,
'default_value',
return_value=GsSession.get(
Environment.QA,
'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
# run test
response = GsReportApi.get_factor_risk_report_results('reportId')
GsSession.current._get.assert_called_with('/risk/factors/reports/reportId/results?')
assert response == mock_response
