def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure): set_session() values = [{ 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap', 'point': '1y', 'value': 0.01 }, { 'marketDataType': 'IR', 'assetId': 'USD', 'pointClass': 'Swap', 'point': '2y', 'value': 0.015 }] mocker.return_value = [[values]] result = priceable.calc(measure) expected = risk.sort_risk(pd.DataFrame(values)) assert result.equals(expected) risk_request = risk.RiskRequest( positions=(risk.RiskPosition(priceable, 1), ), measures=(measure, ), pricing_location=PricingContext.current.market_data_location, pricing_and_market_data_as_of=PricingContext.current. _pricing_market_data_as_of, parameters=RiskRequestParameters(), wait_for_results=True) mocker.assert_called_with(risk_request)
def price(mocker, priceable: Priceable): set_session() mocker.return_value = [[[{'value': 0.01}]]] result = priceable.dollar_price() assert result == 0.01 risk_request = risk.RiskRequest( positions=(risk.RiskPosition(priceable, 1),), measures=(risk.DollarPrice,), pricingLocation=PricingContext.current.market_data_location, pricingAndMarketDataAsOf=PricingContext.current._pricing_market_data_as_of, waitForResults=True) mocker.assert_called_with(risk_request)
def scalar_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure): set_session() mocker.return_value = [[[{'value': 0.01}]]] result = priceable.calc(measure) assert result == 0.01 risk_request = risk.RiskRequest( positions=(risk.RiskPosition(priceable, 1),), measures=(measure,), pricing_location=PricingContext.current.market_data_location, pricing_and_market_data_as_of=PricingContext.current._pricing_market_data_as_of, parameters=RiskRequestParameters(), wait_for_results=True) mocker.assert_called_with(risk_request)
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure): set_session() values = { '$type': 'RiskVector', 'asset': [0.01, 0.015], 'points': [{ 'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '1y' }, { 'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '2y' }] } mocker.return_value = [[[[values]]]] expected = risk.sort_risk( pd.DataFrame([{ 'mkt_type': 'IR', 'mkt_asset': 'USD', 'mkt_class': 'Swap', 'mkt_point': '1y', 'value': 0.01 }, { 'mkt_type': 'IR', 'mkt_asset': 'USD', 'mkt_class': 'Swap', 'mkt_point': '2y', 'value': 0.015 }])) current = PricingContext.current result = priceable.calc(measure) assert result.equals(expected) risk_requests = (risk.RiskRequest( positions=(risk.RiskPosition(instrument=priceable, quantity=1), ), measures=(measure, ), pricing_location=current.market_data_location, pricing_and_market_data_as_of=(PricingDateAndMarketDataAsOf( pricing_date=current.pricing_date, market_data_as_of=current.market.as_of), ), parameters=RiskRequestParameters(raw_results=True), wait_for_results=True), ) mocker.assert_called_with(risk_requests)
def price(mocker, priceable: Priceable): set_session() mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]] result = priceable.dollar_price() assert result == 0.01 risk_requests = (risk.RiskRequest( positions=(risk.RiskPosition(priceable, 1), ), measures=(risk.DollarPrice, ), pricing_location=PricingContext.current.market_data_location, pricing_and_market_data_as_of=PricingContext.current. _pricing_market_data_as_of, parameters=RiskRequestParameters(raw_results=True), wait_for_results=True), ) mocker.assert_called_with(risk_requests)
def scalar_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure): set_session() mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]] current = PricingContext.current result = priceable.calc(measure) assert result == 0.01 risk_requests = (risk.RiskRequest( positions=(risk.RiskPosition(instrument=priceable, quantity=1), ), measures=(measure, ), pricing_location=current.market_data_location, pricing_and_market_data_as_of=(PricingDateAndMarketDataAsOf( pricing_date=current.pricing_date, market_data_as_of=current.market.as_of), ), parameters=RiskRequestParameters(raw_results=True), wait_for_results=True), ) mocker.assert_called_with(risk_requests)