def test_cache_subset(mocker):
set_session()
ir_swap = IRSwap('Pay', '10y', 'DKK')
values = [{'$type': 'Risk', 'val': 0.01}]
mocker.return_value = [[[values]], [[values]]]
dates = (dt.date(2019, 10, 7), dt.date(2019, 10, 8))
with HistoricalPricingContext(dates=dates, use_cache=True):
price_f = ir_swap.price()
price_f.result()
for date in dates:
risk_key = PricingContext(pricing_date=date)._PricingContext__risk_key(
risk.Price, ir_swap.provider())
cached_scalar = PricingCache.get(risk_key, ir_swap)
assert cached_scalar
assert isinstance(cached_scalar, float)
risk_key = PricingContext(
pricing_date=dt.date(2019, 10, 9))._PricingContext__risk_key(
risk.Price, ir_swap.provider())
cached2 = PricingCache.get(risk_key, ir_swap)
assert cached2 is None
values = [{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]
# Check that we can return the same values from the cache, after calculating once (with return values set to None)
for return_values in ([[[values]], [[values]], [[values]]], None):
mocker.return_value = return_values
with HistoricalPricingContext(dates=dates, use_cache=True):
risk_f = ir_swap.calc(risk.IRDelta)
risk_frame = risk_f.result()
assert isinstance(risk_frame, pd.DataFrame)
assert len(risk_frame.index.unique()) == len(dates)
def test_cache_addition_removal():
set_session()
p1 = IRSwap('Pay', '10y', 'DKK')
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True) as pc:
p1.price()
price_key = pc._PricingContext__risk_key(risk.Price, p1.provider())
delta_key = pc._PricingContext__risk_key(risk.IRDelta,
p1.provider())
assert PricingCache.get(price_key, p1)
assert not PricingCache.get(delta_key, p1)
# Assert that deleting the cached instrument removes it from the PricingCache
# N.B, this may not work when debugging tests
del p1
del mocker
import gc
gc.collect()
p2 = IRSwap('Pay', '10y', 'DKK')
p2_price_key = PricingContext.current._PricingContext__risk_key(
risk.Price, p2.provider())
# assert not PricingCache.get(p2_price_key)
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.07}]]]]
with PricingContext(use_cache=True):
p2_price = p2.price()
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that running under a scenario does not retrieve the base result
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with risk.CarryScenario(time_shift=30), PricingContext(
use_cache=True) as spc:
# Don't want the price without the scenario
scenario_risk_key = spc._PricingContext__risk_key(
risk.Price, p2.provider())
assert not PricingCache.get(scenario_risk_key, p2)
scenario_price = p2.price()
assert PricingCache.get(scenario_risk_key,
p2) == scenario_price.result()
with PricingContext(use_cache=True) as pc, risk.CarryScenario(
time_shift=30):
cached_scenario_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider()), p2)
# Check that we get the cached scenario price
assert cached_scenario_price == scenario_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Assert that caching respects parameters, such as csa
with mock.patch('gs_quant.api.gs.risk.GsRiskApi._exec') as mocker:
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.08}]]]]
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
# Don't want the price with default csa
assert not PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider()), p2)
csa_price = p2.price()
with PricingContext(use_cache=True, csa_term='INVALID') as pc:
cached_csa_price = PricingCache.get(
pc._PricingContext__risk_key(risk.Price, p2.provider()), p2)
# Check that we get the cached csa price
assert cached_csa_price == csa_price.result()
# Check the base result is still correct
assert PricingCache.get(p2_price_key, p2) == p2_price.result()
# Change a property and assert that p2 is no longer cached
p2.notional_currency = 'EUR'
assert not PricingCache.get(p2_price_key, p2)
def test_historical_pricing(mocker):
set_session()
dollar_price_ir_delta_values = [[[{
'$type': 'Risk',
'val': 0.01
}, {
'$type': 'Risk',
'val': 0.011
}, {
'$type': 'Risk',
'val': 0.012
}],
[{
'$type': 'Risk',
'val': 0.02
}, {
'$type': 'Risk',
'val': 0.021
}, {
'$type': 'Risk',
'val': 0.022
}],
[{
'$type': 'Risk',
'val': 0.03
}, {
'$type': 'Risk',
'val': 0.031
}, {
'$type': 'Risk',
'val': 0.032
}]],
[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.011, 0.0151],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.012, 0.0152],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}],
[{
'$type':
'RiskVector',
'asset': [0.02, 0.025],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.021, 0.0251],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.022, 0.0252],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}],
[{
'$type':
'RiskVector',
'asset': [0.03, 0.035],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.031, 0.0351],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}, {
'$type':
'RiskVector',
'asset': [0.032, 0.0352],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]]]
mocker.return_value = [dollar_price_ir_delta_values]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
with HistoricalPricingContext(dates=(dt.date(2019, 10, 7),
dt.date(2019, 10, 8),
dt.date(2019, 10, 9))) as hpc:
risk_key = hpc._PricingContext__risk_key(risk.DollarPrice,
swap1.provider())
results = portfolio.calc((risk.DollarPrice, risk.IRDelta))
expected = risk.SeriesWithInfo(
pd.Series(data=[0.06, 0.063, 0.066],
index=[
dt.date(2019, 10, 7),
dt.date(2019, 10, 8),
dt.date(2019, 10, 9)
]),
risk_key=risk_key.base,
)
actual = results[risk.DollarPrice].aggregate()
assert actual.equals(expected)
