def test_swaption_premium_throws_for_unsupported_ccy(): replace = Replacer() replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "ZAR" with pytest.raises(NotImplementedError): tm_rates.swaption_premium(Currency("KRW", name="KRW")) replace.restore()
def test_swaption_premium_return_data(): replace = Replacer() test_data = dict(swaptionPremium=[1, 2, 3]) df = MarketDataResponseFrame(data=test_data, index=[dt.date(2019, 1, 1), dt.date(2019, 1, 2), dt.date(2019, 1, 3)]) replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP" replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = "MADWG3WHCKNE1DJA" replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [ dt.date(2019, 1, 2), dt.date(2019, 1, 5)] replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df actual = tm_rates.swaption_premium(Currency("GBP", name="GBP")) assert_series_equal(tm._extract_series_from_df(df, QueryType.SWAPTION_PREMIUM), actual) replace.restore()
def test_swaption_premium_throws_for_unsupported_ccy(): with pytest.raises(NotImplementedError): tm_rates.swaption_premium(Currency("KRW", name="KRW"))
def test_swaption_premium_throws_for_realtime(): with pytest.raises(NotImplementedError): tm_rates.swaption_premium(Currency("GBP", name="GBP"), real_time=True)