def test_basket_average_implied_vol():
replace = Replacer()
dates = pd.DatetimeIndex([date(2021, 1, 1), date(2021, 1, 2), date(2021, 1, 3), date(2021, 1, 4), date(2021, 1, 5),
date(2021, 1, 6)])
x = pd.DataFrame({'impliedVolatility': [30.0, 30.2, 29.8, 30.6, 30.1, 30.0]}, index=dates)
x['assetId'] = 'MA4B66MW5E27U9VBB94'
y = pd.DataFrame({'impliedVolatility': [20.0, 20.2, 20.3, 20.6, 21.1, 20.0]}, index=dates)
y['assetId'] = 'MA4B66MW5E27UAL9SUX'
implied_vol = x.append(y)
implied_vol.index.name = 'date'
mock_data = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
mock_data.side_effect = [implied_vol, _mock_spot_data()]
mock_asset = replace('gs_quant.timeseries.backtesting.GsAssetApi.get_many_assets_data', Mock())
mock_asset.return_value = [{'id': 'MA4B66MW5E27U9VBB94', 'bbid': 'AAPL UW'},
{'id': 'MA4B66MW5E27UAL9SUX', 'bbid': 'MSFT UW'}]
a_basket = Basket(['AAPL UW', 'MSFT UW'], [0.1, 0.9], RebalFreq.DAILY)
expected = pd.Series([21.0, 21.2, 21.25, 21.6, 22.0, 21.0], index=dates)
actual = a_basket.average_implied_volatility('6m', EdrDataReference.DELTA_CALL, 50)
assert_series_equal(actual, expected)
with pytest.raises(NotImplementedError):
a_basket.average_implied_volatility('6m', EdrDataReference.DELTA_CALL, 50, real_time=True)
replace.restore()
def test_basket_average_implied_vol():
replace = Replacer()
dates = pd.DatetimeIndex([date(2021, 1, 1), date(2021, 1, 2), date(2021, 1, 3), date(2021, 1, 4), date(2021, 1, 5),
date(2021, 1, 6)])
x = pd.DataFrame({'impliedVolatility': [30.0, 30.2, 29.8, 30.6, 30.1, 30.0]}, index=dates)
x['assetId'] = 'MA4B66MW5E27U9VBB94'
y = pd.DataFrame({'impliedVolatility': [20.0, 20.2, 20.3, 20.6, 21.1, 20.0]}, index=dates)
y['assetId'] = 'MA4B66MW5E27UAL9SUX'
implied_vol = x.append(y)
implied_vol.index.name = 'date'
mock_spot = replace('gs_quant.timeseries.backtesting.ts.get_historical_and_last_for_measure', Mock())
mock_spot.side_effect = [implied_vol.rename(columns={'impliedVolatility': 'spot'})]
mock_data = replace('gs_quant.api.utils.ThreadPoolManager.run_async', Mock())
mock_data.return_value = [implied_vol]
mock_asset = replace('gs_quant.timeseries.backtesting.GsAssetApi.get_many_assets_data', Mock())
mock_asset.return_value = [{'id': 'MA4B66MW5E27U9VBB94', 'bbid': 'AAPL UW'},
{'id': 'MA4B66MW5E27UAL9SUX', 'bbid': 'MSFT UW'}]
a_basket = Basket(['AAPL UW', 'MSFT UW'], [0.1, 0.9], RebalFreq.DAILY)
expected = pd.Series([21.0, 21.2, 21.25, 21.6, 22.0, 21.0], index=dates)
actual = a_basket.average_implied_volatility('6m', VolReference.DELTA_CALL, 50)
assert_series_equal(actual, expected)
with pytest.raises(NotImplementedError):
a_basket.average_implied_volatility('6m', VolReference.DELTA_CALL, 50, real_time=True)
mock_data.return_value = [pd.DataFrame(), pd.DataFrame()]
expected = pd.Series(dtype=float)
actual = a_basket.average_implied_volatility('3m', VolReference.FORWARD, 20) # no data for this
assert_series_equal(expected, actual)
replace.restore()
