def _handle_results(cls, request: RiskRequest, results: Iterable) -> dict:
formatted_results = {}
pricing_key = PricingKey(
request.pricing_and_market_data_as_of,
request.pricing_location.value,
request.parameters,
request.scenario
)
for measure_idx, position_results in enumerate(results):
risk_measure = request.measures[measure_idx]
for position_idx, date_results in enumerate(position_results):
if len(date_results) != len(pricing_key):
raise RuntimeError('Number of results did not match requested days')
handler = result_handlers.get(date_results[0].get('$type'))
position = request.positions[position_idx]
try:
date_results = handler(date_results, pricing_key, position.instrument) if handler else date_results
except Exception as e:
error = str(e)
date_results = ErrorValue(pricing_key, error)
_logger.error(error)
formatted_results.setdefault(risk_measure, {})[position] = date_results
return formatted_results
def pricing_key(self) -> PricingKey:
"""A key representing information about the pricing environment"""
return PricingKey(
self._pricing_market_data_as_of,
self.__market_data_location,
self.__parameters,
self.__scenario)
def _handle_results(cls, request: RiskRequest, results: Iterable) -> dict:
formatted_results = {}
pricing_key = PricingKey(
request.pricing_and_market_data_as_of,
request.pricing_location.value,
request.parameters,
request.scenario
)
for measure_idx, position_results in enumerate(results):
risk_measure = request.measures[measure_idx]
formatter = Formatters.get(risk_measure) if not request.parameters.raw_results else None
for position_idx, result in enumerate(position_results):
position = request.positions[position_idx]
try:
result = formatter(result, pricing_key, position.instrument) if formatter else result
except Exception as e:
error_string = str(e)
result = ErrorValue(pricing_key, error_string)
_logger.error(error_string)
formatted_results.setdefault(risk_measure, {})[position] = result
return formatted_results
def instrument_formatter(result: List, pricing_key: PricingKey, instrument: InstrumentBase):
# TODO Handle these correctly in the risk service
invalid_defaults = ('-- N/A --', 'NaN')
value_mappings = {'Payer': 'Pay', 'Rec': 'Receive', 'Receiver': 'Receive'}
instruments_by_date = {}
for field_values in result:
field_values = {field: value_mappings.get(value, value) for field, value in field_values.items()
if value not in invalid_defaults}
new_instrument = instrument.from_dict(field_values)
new_instrument.unresolved = instrument
if len(result) > 1 and 'date' in field_values:
date = dt.date.fromtimestamp(field_values['date'] / 1e9) + dt.timedelta(days=1)
as_of = next((a for a in pricing_key.pricing_market_data_as_of if date == a.pricing_date), None)
if as_of:
date_key = pricing_key.clone(pricing_market_data_as_of=as_of)
new_instrument.resolution_key = date_key
instruments_by_date[date] = new_instrument
else:
new_instrument.resolution_key = pricing_key
return new_instrument
return instruments_by_date
def scalar_formatter(
result: List, pricing_key: PricingKey
) -> Optional[Union[FloatWithInfo, SeriesWithInfo]]:
if not result:
return None
result = __flatten_result(result)
if len(result) > 1 and 'date' in result[0]:
r = [
__float_with_info_from_result(
r, pricing_key.for_pricing_date(r['date'])) for r in result
]
return FloatWithInfo.compose(r, pricing_key)
else:
return __float_with_info_from_result(result[0], pricing_key)
def scalar_formatter(result: List, pricing_key: PricingKey, _instrument: InstrumentBase)\
-> Optional[Union[FloatWithInfo, SeriesWithInfo]]:
if not result:
return None
result = __flatten_result(result)
if len(result) > 1 and 'date' in result[0]:
columns = [x for x in result[0].keys() if x != 'value']
compressed_results = pd.DataFrame(result).groupby(columns).sum().reset_index().to_dict('records')
r = [__float_with_info_from_result(r, pricing_key.for_pricing_date(r['date'])) for r in compressed_results]
return FloatWithInfo.compose(
r,
pricing_key)
else:
return __float_with_info_from_result(result[0], pricing_key)
def _handle_results(cls, request: RiskRequest, results: Iterable) -> dict:
formatted_results = {}
pricing_key = PricingKey(request.pricing_and_market_data_as_of,
request.pricing_location.value,
request.parameters, request.scenario)
for measure_idx, position_results in enumerate(results):
risk_measure = request.measures[measure_idx]
formatter = Formatters.get(risk_measure)
for position_idx, result in enumerate(position_results):
position = request.positions[position_idx]
result = formatter(result,
pricing_key) if formatter else result
formatted_results.setdefault(risk_measure,
{})[position] = result
return formatted_results
def instrument_formatter(result: List, pricing_key: PricingKey, instrument: InstrumentBase):
instruments_by_date = {}
for field_values in result:
new_instrument = instrument.from_dict(field_values)
new_instrument.unresolved = instrument
new_instrument.name = instrument.name
if len(result) > 1 and 'date' in field_values:
date = dt.date.fromtimestamp(field_values['date'] / 1e9) + dt.timedelta(days=1)
as_of = next((a for a in pricing_key.pricing_market_data_as_of if date == a.pricing_date), None)
if as_of:
date_key = pricing_key.clone(pricing_market_data_as_of=as_of)
new_instrument.resolution_key = date_key
instruments_by_date[date] = new_instrument
else:
new_instrument.resolution_key = pricing_key
return new_instrument
return instruments_by_date
