def instrument_formatter(result: List, pricing_key: PricingKey, instrument: InstrumentBase):
# TODO Handle these correctly in the risk service
invalid_defaults = ('-- N/A --', 'NaN')
value_mappings = {'Payer': 'Pay', 'Rec': 'Receive', 'Receiver': 'Receive'}
instruments_by_date = {}
for field_values in result:
field_values = {field: value_mappings.get(value, value) for field, value in field_values.items()
if value not in invalid_defaults}
new_instrument = instrument.from_dict(field_values)
new_instrument.unresolved = instrument
if len(result) > 1 and 'date' in field_values:
date = dt.date.fromtimestamp(field_values['date'] / 1e9) + dt.timedelta(days=1)
as_of = next((a for a in pricing_key.pricing_market_data_as_of if date == a.pricing_date), None)
if as_of:
date_key = pricing_key.clone(pricing_market_data_as_of=as_of)
new_instrument.resolution_key = date_key
instruments_by_date[date] = new_instrument
else:
new_instrument.resolution_key = pricing_key
return new_instrument
return instruments_by_date
def leg_definition_handler(result: dict, risk_key: RiskKey,
instrument: InstrumentBase) -> InstrumentBase:
new_instrument = instrument.from_dict(result)
new_instrument.unresolved = instrument
new_instrument.name = instrument.name
new_instrument.resolution_key = risk_key
return new_instrument
def leg_definition_handler(result: List, pricing_key: PricingKey, instrument: InstrumentBase)\
-> Union[InstrumentBase, Mapping[dt.date, InstrumentBase]]:
instruments_by_date = {}
for date_key, field_values in zip(pricing_key, result):
new_instrument = instrument.from_dict(field_values)
new_instrument.unresolved = instrument
new_instrument.name = instrument.name
new_instrument.resolution_key = date_key
instruments_by_date[date_key.pricing_market_data_as_of[0].pricing_date] = new_instrument
return instruments_by_date if len(pricing_key) > 1 else next(iter(instruments_by_date.values()))
def instrument_formatter(result: List, pricing_key: PricingKey, instrument: InstrumentBase):
instruments_by_date = {}
for field_values in result:
new_instrument = instrument.from_dict(field_values)
new_instrument.unresolved = instrument
new_instrument.name = instrument.name
if len(result) > 1 and 'date' in field_values:
date = dt.date.fromtimestamp(field_values['date'] / 1e9) + dt.timedelta(days=1)
as_of = next((a for a in pricing_key.pricing_market_data_as_of if date == a.pricing_date), None)
if as_of:
date_key = pricing_key.clone(pricing_market_data_as_of=as_of)
new_instrument.resolution_key = date_key
instruments_by_date[date] = new_instrument
else:
new_instrument.resolution_key = pricing_key
return new_instrument
return instruments_by_date
def leg_definition_handler(result: dict, risk_key: RiskKey,
instrument: InstrumentBase) -> InstrumentBase:
return instrument.resolved(result, risk_key)
def leg_definition_handler(result: dict,
risk_key: RiskKey,
instrument: InstrumentBase,
request_id: Optional[str] = None) -> InstrumentBase:
return instrument.resolved(result, risk_key)