def _handle_results(cls, request: RiskRequest, results: Iterable) -> dict:
formatted_results = {}
for risk_measure, position_results in zip(request.measures, results):
for position, date_results in zip(request.positions,
position_results):
for as_of, date_result in zip(
request.pricing_and_market_data_as_of, date_results):
handler = result_handlers.get(date_result.get('$type'))
# TODO Handle this better
market = LiveMarket(request.pricing_location) if isinstance(as_of.market_data_as_of, dt.datetime)\
else ClosingMarket(request.pricing_location, as_of.market_data_as_of)
risk_key = RiskKey(cls, as_of.pricing_date, market,
request.parameters, request.scenario,
risk_measure)
try:
result = handler(
date_result, risk_key,
position.instrument) if handler else date_result
except Exception as e:
result = ErrorValue(risk_key, str(e))
_logger.error(result)
formatted_results[(risk_key, position.instrument)] = result
return formatted_results
def __init__(self):
from gs_quant.markets import LiveMarket
super().__init__(LiveMarket(), measure_type=RiskMeasureType.PnlPredict, name=RiskMeasureType.PnlPredict.value)
def __init__(self):
from gs_quant.markets import LiveMarket
super().__init__(LiveMarket())
