def test_cross_to_fxfwd_xcswp_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.DEV,
'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
correct_mapping = {
'EURUSD': {
"id": 'MA1VJC1E3SZW8E4S',
"crossID": "MAA9MVX15AJNQCVG"
},
'GBPUSD': {
"id": 'MA3JTR4HSC63H4V6',
"crossID": "MA58R87SPRMKKE7Z"
},
'AUDUSD': {
"id": 'MAD4VBRWYXFSY1N4',
"crossID": "MAJTN2XJVF97SYJK"
},
'NZDUSD': {
"id": 'MA1YHQMZVTM3VBWT',
"crossID": "MANQ8REB1VJ4JFTR"
},
'USDSEK': {
"id": 'MA2APZREBGDMME83',
"crossID": "MA4ZD5CZGC3Y6JZD"
},
'USDNOK': {
"id": 'MA0K3W6FKH6K1KJE',
"crossID": "MAZ0P16RPG5P0MVF"
},
'USDDKK': {
"id": 'MA328HZB86DYSWSJ',
"crossID": "MABCHYGJ1TCBCQE4"
},
'USDCAD': {
"id": 'MAT8JNEE2GN5NES6',
"crossID": "MAP8G81B2KHTYR07"
},
'USDCHF': {
"id": 'MABNGGTNB9A0TKCG',
"crossID": "MAMPQHNP1A26RS1C"
},
'USDJPY': {
"id": 'MAMZ9YG8AF3HQ18C',
"crossID": "MAYJPCVVF2RWXCES"
},
}
with tm.PricingContext(dt.date.today()):
for cross in correct_mapping:
asset = Cross(correct_mapping[cross]["crossID"], cross)
bbid_mock.return_value = cross
correct_id = tm_rates._cross_to_fxfwd_xcswp_asset(asset)
assert correct_mapping[cross]["id"] == correct_id
replace.restore()
def test_cross_to_usd_based_cross_for_fx_forecast(mocker):
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(GsSession.current, '_post', side_effect=mock_request)
asset_id_list = ["MAYJPCVVF2RWXCES", "MATGYV0J9MPX534Z"]
correct_mapping = ["MATGYV0J9MPX534Z", "MATGYV0J9MPX534Z"]
with tm.PricingContext(dt.date.today()):
for i in range(len(asset_id_list)):
correct_id = tm.cross_to_usd_based_cross(asset_id_list[i])
assert correct_id == correct_mapping[i]
def test_cross_to_basis(mocker):
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(GsAssetApi, 'map_identifiers', side_effect=map_identifiers_cross_basis_mocker)
asset_id_list = ["MAYJPCVVF2RWXCES", "MA4B66MW5E27U8P32SB", "nobbid"]
correct_mapping = ["MA99N6C1KF9078NM", "MA4B66MW5E27U8P32SB", "nobbid"]
with tm.PricingContext(dt.date.today()):
for i in range(len(asset_id_list)):
correct_id = tm.cross_to_basis(asset_id_list[i])
assert correct_id == correct_mapping[i]
def test_currency_to_inflation_benchmark_rate(mocker):
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(GsAssetApi, 'map_identifiers', side_effect=map_identifiers_inflation_mocker)
asset_id_list = ["MA66CZBQJST05XKG", "MAK1FHKH5P5GJSHH", "MA4J1YB8XZP2BPT8"]
correct_mapping = ["MAQ7ND0MBP2AVVQW", "MAK1FHKH5P5GJSHH", "MA4J1YB8XZP2BPT8"]
with tm.PricingContext(dt.date.today()):
for i in range(len(asset_id_list)):
correct_id = tm.currency_to_inflation_benchmark_rate(asset_id_list[i])
assert correct_id == correct_mapping[i]
def test_currency_to_default_benchmark_rate(mocker):
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(GsAssetApi, 'map_identifiers', side_effect=map_identifiers_default_mocker)
asset_id_list = ["MAZ7RWC904JYHYPS", "MAJNQPFGN1EBDHAE", "MA66CZBQJST05XKG", "MAK1FHKH5P5GJSHH", "MA4J1YB8XZP2BPT8",
"MA4B66MW5E27U8P32SB"]
correct_mapping = ["MAPDB7QNB2TZVQ0E", "MAJNQPFGN1EBDHAE", "MAFYB8Z4R1377A19", "MABMVE27EM8YZK33",
"MA4J1YB8XZP2BPT8", "MA4B66MW5E27U8P32SB"]
with tm.PricingContext(dt.date.today()):
for i in range(len(asset_id_list)):
correct_id = tm.currency_to_default_benchmark_rate(asset_id_list[i])
assert correct_id == correct_mapping[i]
def test_currency_to_tdapi_swaption_rate_asset_retuns_asset_id(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
with tm.PricingContext(dt.date.today()):
cur = [{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"swaption_id": "MATT7CA7PRA4B8YB"
}, {
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"swaption_id": "MAX2SBXZRPYR3NTY"
}, {
"currency_assetId": "MAPSDDS072PHYMVQ",
"currency": "AUD",
"swaption_id": "MAQHSC1PAF4X5H4B"
}, {
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"swaption_id": "MAZB3PAH8JFVVT80"
}, {
"currency_assetId": "MAZ7RWC904JYHYPS",
"currency": "USD",
"swaption_id": "MAY0X3KRD4AN77E2"
}]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_swaption_rate_asset(asset)
assert mqid == c.get("swaption_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_swaption_rate_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currency_to_tdapi_inflation_swap_rate_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace(
'gs_quant.timeseries.measures_inflation.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"inflation_id": "MA1CENMCA88VXJ28"
}, {
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"inflation_id": "MAW75DV9777630QN"
}, {
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"inflation_id": "MAJTD8XDA8EJZYRG"
}, {
"currency_assetId": "MAZ7RWC904JYHYPS",
"currency": "USD",
"inflation_id": "MA4016GCT3MDRYVY"
}]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_inflation_swap_rate_asset(asset)
assert mqid == c.get("inflation_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_inflation_swap_rate_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currencypair_to_tdapi_fxo_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace(
'gs_quant.timeseries.measures_fx_vol.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [
{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "USDJPY",
"id": "MAW3BZY6KFQ6TP95"
},
{
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBPUSD",
"id": "MA7F5P92330NGKAR"
},
{
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EURUSD",
"id": "MASN9J5N0H418Y6A"
},
]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currencypair_to_tdapi_fxo_asset(asset)
assert mqid == c.get("id")
bbid_mock.return_value = None
assert _currencypair_to_tdapi_fxo_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currency_to_tdapi_xccy_swap_rate_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures_xccy.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [
{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"xccy_id": "MAFMW4HJC5TDE51H"
},
{
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"xccy_id": "MATDD783JM1C2GGD"
},
{
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"xccy_id": "MAW8SAXPSKYA94E2"
},
]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_crosscurrency_swap_rate_asset(asset)
assert mqid == c.get("xccy_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_crosscurrency_swap_rate_asset(asset) == c.get("currency_assetId")
replace.restore()
