def test_basket_without_weights():
replace = Replacer()
mock_data = replace('gs_quant.timeseries.backtesting.ts.get_historical_and_last_for_measure', Mock())
mock_data.side_effect = [_mock_spot_data(), _mock_spot_data(), _mock_spot_data(), _mock_spot_data()]
mock_asset = replace('gs_quant.timeseries.backtesting.GsAssetApi.get_many_assets_data', Mock())
mock_asset.return_value = [{'id': 'MA4B66MW5E27U9VBB94', 'bbid': 'AAPL UW'},
{'id': 'MA4B66MW5E27UAL9SUX', 'bbid': 'MSFT UW'}]
a_basket = Basket(['AAPL UW', 'MSFT UW'], [0.5, 0.5], RebalFreq.DAILY)
b_basket = Basket(['AAPL UW', 'MSFT UW'])
with DataContext('2021-01-01', '2021-01-06'):
a_price = a_basket.price()
b_price = b_basket.price()
a_vol = a_basket.average_realized_volatility('2d')
b_vol = b_basket.average_realized_volatility('2d')
assert_series_equal(a_price, b_price)
assert_series_equal(a_vol, b_vol)
with pytest.raises(MqValueError):
c_basket = Basket(['AAPL UW'], [])
c_basket.price()
replace.restore()
def test_basket_price():
with pytest.raises(MqValueError):
Basket(['AAPL UW'], [0.1, 0.9], RebalFreq.MONTHLY)
dates = pd.DatetimeIndex([date(2021, 1, 1), date(2021, 1, 2), date(2021, 1, 3), date(2021, 1, 4), date(2021, 1, 5),
date(2021, 1, 6)])
dates_feb = pd.DatetimeIndex([date(2021, 2, 1), date(2021, 2, 2), date(2021, 2, 3), date(2021, 2, 4),
date(2021, 2, 5), date(2021, 2, 6)])
replace = Replacer()
mock_data = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
mock_data.side_effect = [_mock_spot_data(), _mock_spot_data_feb()]
mock_asset = replace('gs_quant.timeseries.backtesting.GsAssetApi.get_many_assets_data', Mock())
mock_asset.return_value = [{'id': 'MA4B66MW5E27U9VBB94', 'bbid': 'AAPL UW'},
{'id': 'MA4B66MW5E27UAL9SUX', 'bbid': 'MSFT UW'}]
a_basket = Basket(['AAPL UW', 'MSFT UW'], [0.1, 0.9], RebalFreq.MONTHLY)
expected = pd.Series([100.0, 100.1, 100.302, 100.09596, 100.09596, 100.297879], index=dates)
with DataContext('2021-01-01', '2021-01-06'):
actual = a_basket.price()
assert_series_equal(actual, expected)
expected = pd.Series([100.00, 101.50, 100.62, 98.30, 96.30, 94.80], index=dates_feb)
with DataContext('2021-02-01', '2021-02-06'):
actual = a_basket.price()
assert_series_equal(actual, expected)
mock_asset = replace('gs_quant.timeseries.backtesting.GsAssetApi.get_many_assets_data', Mock())
mock_asset.return_value = [{'id': 'MA4B66MW5E27U9VBB94', 'bbid': 'AAPL UW'}]
with pytest.raises(MqValueError):
Basket(['AAPL UW', 'ABC'], [0.1, 0.9], RebalFreq.MONTHLY).price()
with pytest.raises(NotImplementedError):
a_basket.price(real_time=True)
replace.restore()