def test_vol_swap_strike_matches_no_assets_when_expiry_tenor_is_not_none():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX',
id='MA123',
type_='VolatilitySwap',
name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX',
id='MA123',
type_='VolatilitySwap',
name='Test_asset',
parameters={"lastFixingDate": "1y"})
assets = replace(
'gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
tm_fxo.vol_swap_strike(base,
"10m",
location=PricingLocation.LDN,
real_time=False)
def test_get_many_assets(mocker, monkeypatch):
marquee_id_1 = 'MQA1234567890'
marquee_id_2 = 'MQA4567890123'
query = {'id': [marquee_id_1, marquee_id_2]}
as_of = dt.datetime.utcnow()
inputs = EntityQuery(where=FieldFilterMap(**query),
fields=None,
asOfTime=as_of,
limit=100)
mock_response = {
'results': (GsAsset.from_dict({
'id': marquee_id_1,
'assetClass': 'Equity',
'type': 'Single Stock',
'name': 'Test 1'
}),
GsAsset.from_dict({
'id': marquee_id_2,
'assetClass': 'Equity',
'type': 'Single Stock',
'name': 'Test 2'
}))
}
expected_response = (GsAsset(id=marquee_id_1,
assetClass='Equity',
type='Single Stock',
name='Test 1'),
GsAsset(id=marquee_id_2,
assetClass='Equity',
type='Single Stock',
name='Test 2'))
# mock GsSession
mocker.patch.object(GsSession.__class__,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_post', return_value=mock_response)
# run test
monkeypatch.delenv(ENABLE_ASSET_CACHING, raising=False)
response = GsAssetApi.get_many_assets(id=[marquee_id_1, marquee_id_2],
as_of=as_of)
GsSession.current._post.assert_called_with('/assets/query',
cls=GsAsset,
payload=inputs)
assert response == expected_response
monkeypatch.setenv(ENABLE_ASSET_CACHING, 1) # run 2x with cache on
response = GsAssetApi.get_many_assets(id=[marquee_id_1, marquee_id_2],
as_of=as_of)
assert response == expected_response
response = GsAssetApi.get_many_assets(id=[marquee_id_1, marquee_id_2],
as_of=as_of)
assert response == expected_response
def test_get_tdapi_inflation_rates_assets(mocker):
mock_asset_1 = GsAsset(asset_class='Rate',
id='MA26QSMPX9990G66',
type_='InflationSwap',
name='Test_asset')
mock_asset_2 = GsAsset(asset_class='Rate',
id='MA44SBCHF192S6FR',
type_='InflationSwap',
name='Test_asset')
replace = Replacer()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets',
Mock())
assets.return_value = [mock_asset_1]
assert 'MA26QSMPX9990G66' == tm._get_tdapi_inflation_rates_assets()
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets',
Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict(asset_parameters_termination_date='5y',
asset_parameters_effective_date='0b')
with pytest.raises(MqValueError):
tm._get_tdapi_inflation_rates_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets',
Mock())
assets.return_value = []
kwargs = dict(asset_parameters_clearing_house='NONE',
pricing_location='LDN')
with pytest.raises(MqValueError):
tm._get_tdapi_inflation_rates_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets',
Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict()
assert ['MA26QSMPX9990G66', 'MA44SBCHF192S6FR'
] == tm._get_tdapi_inflation_rates_assets(**kwargs)
replace.restore()
# test case will test matching sofr maturity with libor leg and flipping legs to get right asset
kwargs = dict(type='InflationSwap',
asset_parameters_termination_date='5y',
asset_parameters_index=tm.InflationIndexType.UKRPI,
asset_parameters_clearing_house='None',
asset_parameters_effective_date='5y',
asset_parameters_notional_currency='GBP',
pricing_location='LDN')
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets',
Mock())
assets.return_value = [mock_asset_1]
assert 'MA26QSMPX9990G66' == tm._get_tdapi_inflation_rates_assets(**kwargs)
replace.restore()
def test_get_tdapi_crosscurrency_rates_assets(mocker):
mock_asset_1 = GsAsset(asset_class='Rate', id='MAW8SAXPSKYA94E2', type_='XccySwapMTM', name='Test_asset')
mock_asset_2 = GsAsset(asset_class='Rate', id='MATDD783JM1C2GGD', type_='XccySwapMTM', name='Test_asset')
replace = Replacer()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1]
assert 'MAW8SAXPSKYA94E2' == tm._get_tdapi_crosscurrency_rates_assets()
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict(asset_parameters_termination_date='5y', asset_parameters_effective_date='0b')
with pytest.raises(MqValueError):
tm._get_tdapi_crosscurrency_rates_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = []
kwargs = dict(asset_parameters_clearing_house='NONE',
asset_parameters_payer_rate_option="EUR-EURIBOR-TELERATE",
asset_parameters_payer_currency='EUR',
asset_parameters_payer_designated_maturity='3m',
asset_parameters_receiver_rate_option="USD-LIBOR-BBA",
asset_parameters_receiver_currency='USD',
asset_parameters_receiver_designated_maturity='3m',
pricing_location='LDN')
with pytest.raises(MqValueError):
tm._get_tdapi_crosscurrency_rates_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict()
assert ['MAW8SAXPSKYA94E2', 'MATDD783JM1C2GGD'] == tm._get_tdapi_crosscurrency_rates_assets(**kwargs)
replace.restore()
# test case will test matching sofr maturity with libor leg and flipping legs to get right asset
kwargs = dict(type='XccySwapMTM', asset_parameters_termination_date='5y',
asset_parameters_payer_rate_option="EUR-EURIBOR-TELERATE",
asset_parameters_payer_currency="EUR",
asset_parameters_payer_designated_maturity='3m',
asset_parameters_receiver_rate_option="USD-LIBOR-BBA",
asset_parameters_receiver_currency="USD",
asset_parameters_receiver_designated_maturity='3m',
asset_parameters_clearing_house='None', asset_parameters_effective_date='5y',
pricing_location='LDN')
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1]
assert 'MAW8SAXPSKYA94E2' == tm._get_tdapi_crosscurrency_rates_assets(**kwargs)
replace.restore()
def test_get_tdapi_fxo_assets():
mock_asset_1 = GsAsset(asset_class='FX', id='MAW8SAXPSKYA94E2', type_='Option', name='Test_asset')
mock_asset_2 = GsAsset(asset_class='FX', id='MATDD783JM1C2GGD', type_='Option', name='Test_asset')
replace = Replacer()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1]
assert 'MAW8SAXPSKYA94E2' == tm_fxo._get_tdapi_fxo_assets()
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict(asset_parameters_expiration_date='5y', asset_parameters_call_currency='USD',
asset_parameters_put_currency='EUR')
with pytest.raises(MqValueError):
tm_fxo._get_tdapi_fxo_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = []
kwargs = dict(asset_parameters_expiration_date='5y', asset_parameters_call_currency='USD',
asset_parameters_put_currency='EUR')
with pytest.raises(MqValueError):
tm_fxo._get_tdapi_fxo_assets(**kwargs)
replace.restore()
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
kwargs = dict()
assert ['MAW8SAXPSKYA94E2', 'MATDD783JM1C2GGD'] == tm._get_tdapi_crosscurrency_rates_assets(**kwargs)
replace.restore()
# test case will test matching sofr maturity with libor leg and flipping legs to get right asset
kwargs = dict(Asset_class='FX',
type='Option',
asset_parameters_call_currency='USD',
asset_parameters_put_currency='EUR',
asset_parameters_expiration_date='1m',
asset_parameters_expiration_time='NYC',
asset_parameters_option_type='Put',
asset_parameters_premium_payment_date='Fwd Settle',
asset_parameters_strike_price_relative='10d',
pricing_location='NYC')
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1]
assert 'MAW8SAXPSKYA94E2' == tm_fxo._get_tdapi_fxo_assets(**kwargs)
replace.restore()
def test_rebalance_raises_exception(mocker):
# construct inputs
index_marquee_id = 'MQIDIndex'
asset1_marquee_id = 'MQIDAsset1'
asset2_marquee_id = 'MQIDAsset2'
position_set = [{'assetId': asset1_marquee_id, 'quantity': 100}, {'assetId': asset2_marquee_id, 'quantity': 200}]
publish_parameters = PublishParameters(False, False, False)
pricing_parameters = IndicesPriceParameters()
pricing_parameters.initialPrice = 100
parameters = {
'publishParameters': publish_parameters,
'pricingParameters': pricing_parameters,
'positionSet': position_set}
inputs = IndicesRebalanceInputs(parameters)
# mock GsSession
mock_asset = GsAsset('Equity', AssetType.Custom_Basket, 'Test Basket')
mock_response = CustomBasketsResponse('done', 'approvalId', 'reportId', index_marquee_id)
mocker.patch.object(ContextMeta, 'current', return_value=GsSession(Environment.QA))
mocker.patch.object(ContextMeta.current, '_get', return_value=mock_asset)
mocker.patch.object(ContextMeta.current, '_post', return_value=mock_response)
# run test
index = GsIndexApi()
with pytest.raises(Exception):
response = index.rebalance(inputs)
print(response)
def test_rebalance(mocker):
# construct inputs
index_marquee_id = 'MQIDIndex'
asset1_marquee_id = 'MQIDAsset1'
asset2_marquee_id = 'MQIDAsset2'
position_set = [{'assetId': asset1_marquee_id, 'quantity': 100}, {'assetId': asset2_marquee_id, 'quantity': 200}]
publish_parameters = PublishParameters(False, False, False)
pricing_parameters = IndicesPriceParameters()
pricing_parameters.initialPrice = 100
parameters = {
'publishParameters': publish_parameters,
'pricingParameters': pricing_parameters,
'positionSet': position_set}
inputs = IndicesRebalanceInputs(parameters)
# mock GsSession
mock_asset = GsAsset('Equity', AssetType.Custom_Basket, 'Test Basket')
mock_response = CustomBasketsResponse('done', 'approvalId', 'reportId', index_marquee_id)
mocker.patch.object(ContextMeta, 'current', return_value=GsSession(Environment.QA))
mocker.patch.object(ContextMeta.current, '_post', return_value=mock_response)
mocker.patch.object(GsAssetApi, 'get_asset', return_value=mock_asset)
# run test
index = GsIndexApi(index_marquee_id)
response = index.rebalance(inputs)
ContextMeta.current._post.assert_called_with("/indices/{id}/rebalance".format(id=index_marquee_id),
payload=inputs, cls=CustomBasketsResponse)
assert response == mock_response
def test_vol_swap_strike_matches_multiple_assets():
with pytest.raises(MqValueError):
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset')
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_1]
tm_fxo.vol_swap_strike(base, None, location=PricingLocation.LDN, real_time=False)
replace.restore()
def test_vol_swap_strike_raises_exception():
with pytest.raises(NotImplementedError):
mock_asset_1 = GsAsset(asset_class='FX',
id='MAW8SAXPSKYA94E2',
type_='Option',
name='Test_asset')
tm_fxo.vol_swap_strike(mock_asset_1,
"none",
"none",
location=PricingLocation.LDN,
real_time=True)
def test_vol_swap_strike():
replace = Replacer()
base = Cross('MA667', 'EURUSD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EURUSD'
mock_asset_1 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "1y"})
mock_asset_2 = GsAsset(asset_class='FX', id='MA123', type_='VolatilitySwap', name='Test_asset',
parameters={"lastFixingDate": "2y"})
assets = replace('gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
assets.return_value = [mock_asset_1, mock_asset_2]
mock_data = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
mock_data.return_value = mock_df()
actual = tm_fxo.vol_swap_strike(base, "1y", location=PricingLocation.LDN, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
actual = tm_fxo.vol_swap_strike(base, "1y", None, real_time=False)
assert_series_equal(tm_rates._extract_series_from_df(mock_df(), QueryType.STRIKE_VOL), actual)
replace.restore()
def test_get_asset(mocker):
marquee_id = 'MQA1234567890'
mock_response = GsAsset(id=marquee_id, assetClass='Equity', type='Single Stock', name='Test Asset')
# mock GsSession
mocker.patch.object(GsSession.__class__, 'default_value',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', return_value=mock_response)
# run test
response = GsAssetApi.get_asset(marquee_id)
GsSession.current._get.assert_called_with('/assets/{id}'.format(id=marquee_id), cls=GsAsset)
assert response == mock_response
from gs_quant.target.indices import CustomBasketsResponse, CustomBasketRiskParams
from gs_quant.target.reports import Report, User as TargetUser
# Helper mock value constants
asset_1 = {'name': 'asset 1', 'id': 'id1', 'bbid': 'bbid1'}
asset_2 = {'name': 'asset 2', 'id': 'id2', 'bbid': 'bbid2'}
assets_data = [asset_1, asset_2]
base_user = {
'name': 'First Last',
'email': '*****@*****.**',
'company': 'Company A'
}
cb_response = CustomBasketsResponse('done', 'R1234567890', 'MA1234567890')
gs_asset = GsAsset(asset_class=AssetClass.Equity,
type_=AssetType.Custom_Basket,
name='Test Basket',
id_='MA1234567890',
entitlements=TargetEntitlements(admin=['guid:user_abc']),
xref=XRef(ticker='GSMBXXXX'))
initial_price = {'price': 100}
mqid = 'MA1234567890'
name = 'Test Basket'
positions = [
Position('bbid1', asset_id='id1', quantity=100),
Position('bbid2', asset_id='id2', quantity=200)
]
positions_weighted = positions = [
Position('bbid1', asset_id='id1', weight=0.4),
Position('bbid2', asset_id='id2', weight=0.6)
]
position_set = PositionSet(positions, divisor=1000)
report = Report(mqid,