def test_aggregation_with_empty_measures(mocker):
with MockCalc(mocker):
swaptions = (IRSwaption(notional_currency='EUR',
termination_date='7y',
expiration_date='1y',
pay_or_receive='Receive',
strike='ATM+35',
name='EUR 1y7y'),
IRSwaption(notional_currency='EUR',
termination_date='10y',
expiration_date='2w',
pay_or_receive='Receive',
strike='ATM+50',
name='EUR 2w10y'))
portfolio = Portfolio(swaptions)
from_date = dt.date(2021, 11, 18)
to_date = dt.date(2021, 11, 19)
explain_2d = PnlExplain(CloseMarket(date=to_date))
with PricingContext(pricing_date=from_date, visible_to_gs=True):
portfolio.resolve()
result_explain = portfolio.calc(explain_2d)
total_risk = aggregate_risk(result_explain[explain_2d])['value'].sum()
risk_swaption_1 = result_explain[0]['value'].sum()
risk_swaption_2 = result_explain[1]['value'].sum()
assert total_risk == risk_swaption_1 + risk_swaption_2
def test_aggregation_with_diff_risk_keys(mocker):
with MockCalc(mocker):
portfolio1 = Portfolio([
IRSwaption('Pay',
'10y',
'EUR',
expiration_date='3m',
name='EUR3m10ypayer')
])
portfolio2 = Portfolio([
IRSwaption('Pay',
'10y',
'EUR',
expiration_date='6m',
name='EUR6m10ypayer')
])
with PricingContext(csa_term='EUR-OIS', visible_to_gs=True):
r1 = portfolio1.price()
with PricingContext(csa_term='EUR-EuroSTR'):
r2 = portfolio2.price()
combined_result = r1 + r2
with pytest.raises(ValueError):
combined_result.aggregate()
assert isinstance(combined_result.aggregate(allow_mismatch_risk_keys=True),
float)
def test_aggregate_triggger():
# Test Aggregate Trigger
action_1 = AddTradeAction(IRSwap())
action_2 = AddTradeAction(IRSwaption())
trigger_1 = DateTrigger(
DateTriggerRequirements([
dt.date(2021, 11, 9),
dt.date(2021, 11, 10),
dt.date(2021, 11, 11)
]), [action_1])
trigger_2 = DateTrigger(
DateTriggerRequirements([
dt.date(2021, 11, 8),
dt.date(2021, 11, 10),
dt.date(2021, 11, 12)
]), [action_2])
agg_trigger = AggregateTrigger(
AggregateTriggerRequirements([trigger_1, trigger_2],
aggregate_type=AggType.ALL_OF))
assert not agg_trigger.has_triggered(dt.date(2021, 11, 9))
assert agg_trigger.has_triggered(dt.date(2021, 11, 10))
assert len(agg_trigger.actions) == 2
agg_trigger = AggregateTrigger(
AggregateTriggerRequirements([trigger_1, trigger_2],
aggregate_type=AggType.ANY_OF))
assert agg_trigger.has_triggered(dt.date(2021, 11, 8))
assert isinstance(agg_trigger.actions[0].priceables[0], IRSwaption)
assert agg_trigger.has_triggered(dt.date(2021, 11, 10))
assert len(agg_trigger.actions) == 2
def test_from_frame():
swap = IRSwap('Receive', '3m', 'USD', fixed_rate=0, notional_amount=1)
swaption = IRSwaption(notional_currency='GBP', expiration_date='10y', effective_date='0b')
portfolio = Portfolio((swap, swaption))
port_df = portfolio.to_frame()
new_port_df = Portfolio.from_frame(port_df)
assert new_port_df[swap] == swap
assert new_port_df[swaption] == swaption
def test_multiple_measures(mocker):
day = [
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR Vol', 'asset': 'USD-LIBOR-BBA', 'class_': 'Swap', 'point': '2y'}
]
}]
],
[
[{
'$type': 'RiskVector',
'asset': [0.01, 0.015],
'points': [
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '1y'},
{'type': 'IR', 'asset': 'USD', 'class_': 'Swap', 'point': '2y'}
]
}],
],
[
[{'$type': 'Risk', 'val': 0.01}]
]
]
mocker.return_value = [day, day, day]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
for date in dates:
with PricingContext(pricing_date=date) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is not None
with PricingContext(pricing_date=dt.date(2019, 10, 11)) as pc:
for risk_measure in (risk.Price, risk.IRDelta, risk.IRVega):
val = PricingCache.get(pc._PricingContext__risk_key(risk_measure, ir_swaption.provider), ir_swaption)
assert val is None
def test_not_triggger():
# Test Not Trigger
action = AddTradeAction(IRSwap())
not_action = AddTradeAction(IRSwaption())
trigger = DateTrigger(
DateTriggerRequirements([
dt.date(2021, 11, 9),
dt.date(2021, 11, 10),
dt.date(2021, 11, 11)
]), [action])
not_trigger = NotTrigger(NotTriggerRequirements(trigger), [not_action])
assert not_trigger.has_triggered(dt.date(2021, 11, 8))
assert isinstance(not_trigger.actions[0].priceables[0], IRSwaption)
assert not not_trigger.has_triggered(dt.date(2021, 11, 10))
def test_mkt_trigger_data_sources(mocker):
with MockCalc(mocker):
s = pd.Series({
date(2021, 10, 1): 0.984274,
date(2021, 10, 4): 1.000706,
date(2021, 10, 5): 1.044055,
date(2021, 10, 6): 1.095361,
date(2021, 10, 7): 1.129336,
date(2021, 10, 8): 1.182954,
date(2021, 10, 12): 1.200108,
date(2021, 10, 13): 1.220607,
date(2021, 10, 14): 1.172837,
date(2021, 10, 15): 1.163660,
date(2021, 10, 18): 1.061084,
date(2021, 10, 19): 1.025012,
date(2021, 10, 20): 1.018035,
date(2021, 10, 21): 1.080751,
date(2021, 10, 22): 1.069340,
date(2021, 10, 25): 1.033413
})
action = AddTradeAction(
IRSwaption(notional_currency='USD',
expiration_date='1y',
termination_date='1y'), 'expiration_date')
data_source = GenericDataSource(s, MissingDataStrategy.fill_forward)
mkt_trigger = MktTrigger(
MktTriggerRequirements(data_source, 1.1, TriggerDirection.ABOVE),
action)
strategy = Strategy(None, mkt_trigger)
engine = GenericEngine()
# backtest = engine.run_backtest(strategy, start=date(2021, 10, 1), end=date(2021, 10, 25), frequency='1b',
# show_progress=True)
backtest = engine.run_backtest(strategy,
states=s.index,
show_progress=True)
summary = backtest.result_summary
ledger = backtest.trade_ledger()
assert len(summary) == 12
assert len(ledger) == 6
assert round(summary[Price].sum()) == 25163614
assert round(summary['Cumulative Cash'].sum()) == -2153015
"""
`Portfolio` supports the same methods as `Instrument` including `resolve()`, `calc()`, and `price()`
Resolving the portfolio resolves each individual instrument within the portfolio.
"""
from gs_quant.common import PayReceive, Currency # import constants
from gs_quant.instrument import IRSwaption # import instruments
from gs_quant.markets.portfolio import Portfolio
from gs_quant.session import Environment, GsSession # import sessions
client_id = None # Supply your application id
client_secret = None # Supply your client secret
scopes = ('run_analytics', )
GsSession.use(Environment.PROD, client_id, client_secret, scopes)
swaption1 = IRSwaption(PayReceive.Pay,
'5y',
Currency.EUR,
expiration_date='3m',
name='EUR-3m5y')
swaption2 = IRSwaption(PayReceive.Pay,
'5y',
Currency.EUR,
expiration_date='6m',
name='EUR-6m5y')
portfolio = Portfolio((swaption1, swaption2))
portfolio.resolve()
print(portfolio.as_dict())
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap,\
IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
OptimizationRequest
priceables = (
CommodSwap('Electricity', '1y'),
EqForward('GS.N', '1y'),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call', strike_price='ATMF'),
IRSwap('Pay', '10y', 'USD'),
IRBasisSwap('10y', 'USD'),
IRSwaption('Pay', '10y', 'USD'),
IRCap('10y', 'EUR'),
IRFloor('10y', 'EUR')
)
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = {
import gs_quant.risk as risk
from gs_quant.api.gs.risk import GsRiskApi
from gs_quant.base import Priceable
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap,\
IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
APEXOptimizationRequest
priceables = (CommodSwap('Electricity', '1y'), EqForward('GS.N', '1y'),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call',
strike_price='ATMF'), IRSwap('Pay', '10y', 'USD'),
IRBasisSwap('10y', 'USD'), IRSwaption('Pay', '10y', 'USD'),
IRCap('10y', 'EUR'), IRFloor('10y', 'EUR'))
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = {
'$type':
'RiskVector',
def test_multiple_measures(mocker):
values = [[[{
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR Vol',
'assetId': 'USD-LIBOR-BBA',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-08',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-09',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}]],
[[{
'date': '2019-10-07',
'value': 0.01
}, {
'date': '2019-10-08',
'value': 0.01
}, {
'date': '2019-10-09',
'value': 0.01
}]]]
mocker.return_value = values
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True):
market_data_location = PricingContext.current.market_data_location
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, market_data_location, risk.Price,
dates)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, market_data_location, risk.IRDelta,
dates)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dates)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(ir_swaption, market_data_location, risk.IRVega,
dt.date(2019, 10, 11))
assert cached3 is None
# subset from cache
subset = dates[0:2]
cached4 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached4) == len(subset)
# intersection
subset += (dt.date(2019, 10, 2), )
cached5 = PricingCache.get(ir_swaption, market_data_location, risk.Price,
subset)
assert len(cached5) == len(subset) - 1
swap_4 = IRSwap("Pay", "10y", "USD", fixed_rate=-0.005, name="10y")
swap_5 = IRSwap("Pay", "5y", "GBP", fixed_rate=-0.005, name="5y")
swap_6 = IRSwap("Pay", "10y", "GBP", fixed_rate=-0.005, name="10y")
swap_7 = IRSwap("Pay", "5y", "JPY", fixed_rate=-0.005, name="5y")
swap_8 = IRSwap("Pay", "10y", "JPY", fixed_rate=-0.005, name="10y")
eur_port = Portfolio([swap_1, swap_2], name="EUR")
usd_port = Portfolio([swap_3, swap_4], name="USD")
gbp_port = Portfolio([swap_5, swap_6], name="GBP")
jpy_port = Portfolio([swap_7, swap_8], name='JPY')
port1 = Portfolio([eur_port, gbp_port], name='EURGBP')
port2 = Portfolio([jpy_port, usd_port], name='USDJPY')
port = Portfolio([port1, port2])
swaption_port = Portfolio([
IRSwaption("Receive",
'5y',
'USD',
expiration_date='2m',
strike='atm',
name='Swaption1'),
IRSwaption("Receive",
'10y',
'USD',
expiration_date='3m',
strike='atm',
name='Swaption2')
])
bs = IRBasisSwap(termination_date="2y",
notional_currency="GBP",
notional_amount="$405392/bp",
effective_date="10y",
payer_rate_option="OIS",
import pandas as pd
import gs_quant.risk as risk
from gs_quant.api.gs.risk import GsRiskApi, RiskModelRequest
from gs_quant.base import Priceable
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap, \
IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
priceables = (CommodSwap('Electricity', '1y'), EqForward('GS.N', '1y', 100.0),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call', strike='ATMF'),
IRSwap('Pay', '10y', 'USD'), IRBasisSwap('10y', 'USD', 'EUR'),
IRSwaption('Pay', '10y',
'USD'), IRCap('10y', 'EUR'), IRFloor('10y', 'EUR'))
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = [{
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
def test_multiple_measures(mocker):
values = [[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR Vol',
'asset': 'USD-LIBOR-BBA',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]],
[[{
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.01
}]]]
mocker.return_value = [values]
set_session()
ir_swaption = IRSwaption('Pay', '10y', 'USD')
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8), dt.date(2019, 10, 9))
with HistoricalPricingContext(dates=dates, use_cache=True) as hpc:
pricing_key = hpc.pricing_key
ir_swaption.price()
ir_swaption.calc(risk.IRDelta)
ir_swaption.calc(risk.IRVega)
# make sure all the risk measures got cached correctly
cached = PricingCache.get(ir_swaption, risk.Price, pricing_key)
assert len(cached) == len(dates)
cached1 = PricingCache.get(ir_swaption, risk.IRDelta, pricing_key)
assert len(cached1.index.unique()) == len(dates)
cached2 = PricingCache.get(ir_swaption, risk.IRVega, pricing_key)
assert len(cached2.index.unique()) == len(dates)
# date not in cache
cached3 = PricingCache.get(
ir_swaption, risk.IRVega,
PricingContext(pricing_date=dt.date(2019, 10, 11)).pricing_key)
assert cached3 is None
# subset from cache
subset_key = HistoricalPricingContext(dates=dates[0:2]).pricing_key
cached4 = PricingCache.get(ir_swaption, risk.Price, subset_key)
assert len(cached4) == 2
# intersection
subset_key = HistoricalPricingContext(dates=dates[0:2] +
(dt.date(2019, 10, 2), )).pricing_key
cached5 = PricingCache.get(ir_swaption,
risk.Price,
subset_key,
return_partial=True)
assert len(cached5) == 2