def __risk_measure_with_doc_string(
doc: str,
measure_type: RiskMeasureType,
asset_class: Optional[AssetClass] = None,
unit: Optional[RiskMeasureUnit] = None
) -> RiskMeasure:
measure = RiskMeasure(measure_type=measure_type, asset_class=asset_class, unit=unit)
measure.__doc__ = doc
return measure
def __risk_measure_with_doc_string(
doc: str,
measureType: RiskMeasureType,
assetClass: AssetClass = None,
unit: RiskMeasureUnit = None) -> RiskMeasure:
measure = RiskMeasure(measureType=measureType,
assetClass=assetClass,
unit=unit)
measure.__doc__ = doc
return measure
def resolve_fields(self, priceable: Priceable,
in_place: bool) -> Optional[Union[Priceable, Future]]:
"""
Resolve fields on the priceable which were not supplied. Do not use directly, use via instruments
:param priceable: The priceable (e.g. instrument)
:param in_place: Resolve in place or return a new Priceable
**Examples**
>>> from gs_quant.instrument import IRSwap
>>>
>>> swap = IRSwap('Pay', '10y', 'USD')
>>> rate = swap.fixed_rate
fixedRate is None
>>> swap.resolve()
>>> rate = swap.fixed_rate
fixed_rate is now the solved value
"""
# TODO Handle these correctly in the risk service
invalid_defaults = ('-- N/A --', 'NaN')
value_mappings = {
'Payer': 'Pay',
'Rec': 'Receive',
'Receiver': 'Receive'
}
def apply_field_values(field_values: Union[dict, list, tuple, Future],
priceable_inst: Priceable,
resolution_info: dict,
future: Optional[Future] = None):
if isinstance(field_values, str):
raise RuntimeError(field_values)
if isinstance(field_values, Future):
field_values = field_values.result()
if isinstance(field_values, (list, tuple)):
if len(field_values) == 1:
field_values = field_values[0]
else:
future.set_result({
dt.date.fromtimestamp(fv['date'] / 1e9):
apply_field_values(fv, priceable_inst)
for fv in field_values
})
return
field_values = {
field: value_mappings.get(value, value)
for field, value in field_values.items()
if inflection.underscore(field) in priceable_inst.properties()
and value not in invalid_defaults
}
if in_place and not future:
priceable_inst.unresolved = copy.copy(priceable_inst)
for field, value in field_values.items():
setattr(priceable_inst, field, value)
priceable_inst._resolution_info = resolution_info
else:
new_inst = priceable_inst._from_dict(field_values)
new_inst.unresolved = priceable_inst
new_inst._resolution_info = resolution_info
if future:
future.set_result(new_inst)
else:
return new_inst
resolution_info = {
'pricing_date': self.pricing_date,
'market_data_as_of': self.market_data_as_of,
'market_data_location': self.market_data_location
}
if priceable._resolution_info:
if in_place:
if resolution_info != priceable._resolution_info:
_logger.warning(
'Calling resolve() on an instrument which was already resolved under a difference PricingContext'
)
return
elif resolution_info == priceable._resolution_info:
return copy.copy(priceable)
res = self.calc(priceable,
RiskMeasure(measure_type='Resolved Instrument Values'))
if isinstance(res, Future):
ret = Future() if not in_place else None
res.add_done_callback(
functools.partial(apply_field_values,
priceable_inst=priceable,
resolution_info=resolution_info,
future=ret))
return ret
else:
return apply_field_values(res, priceable, resolution_info)
def resolve_fields(self, priceable: Priceable,
in_place: bool) -> Optional[Union[Priceable, Future]]:
"""
Resolve fields on the priceable which were not supplied. Do not use directly, use via instruments
:param priceable: The priceable (e.g. instrument)
:param in_place: Resolve in place or return a new Priceable
**Examples**
>>> from gs_quant.instrument import IRSwap
>>>
>>> swap = IRSwap('Pay', '10y', 'USD')
>>> rate = swap.fixedRate
fixedRate is None
>>> swap.resolve()
>>> rate = swap.fixedRate
fixedRate is now the solved value
"""
# TODO Handle these correctly in the risk service
invalid_defaults = ('-- N/A --', 'NaN')
value_mappings = {
'Payer': 'Pay',
'Rec': 'Receive',
'Receiver': 'Receive'
}
def apply_field_values(field_values: Union[dict, list, tuple, Future],
priceable_inst: Priceable,
future: Optional[Future] = None):
if isinstance(field_values, str):
raise RuntimeError(field_values)
if isinstance(field_values, Future):
field_values = field_values.result()
if isinstance(field_values, (list, tuple)):
if len(field_values) == 1:
field_values = field_values[0]
else:
future.set_result({
dt.date.fromtimestamp(fv['date'] / 1e9):
apply_field_values(fv, priceable_inst)
for fv in field_values
})
return
field_values = {
field: value_mappings.get(value, value)
for field, value in field_values.items()
if field in priceable_inst.properties()
and value not in invalid_defaults
}
if in_place and not future:
for field, value in field_values.items():
setattr(priceable_inst, field, value)
priceable_inst._resolved = True
else:
new_inst = priceable_inst._from_dict(field_values)
new_inst._resolved = True
if future:
future.set_result(new_inst)
else:
return new_inst
res = self.calc(priceable,
RiskMeasure(measureType='Resolved Instrument Values'))
if isinstance(res, Future):
ret = Future() if not in_place else None
res.add_done_callback(
functools.partial(apply_field_values,
priceable_inst=priceable,
future=ret))
return ret
else:
return apply_field_values(res, priceable)