def _get_factor_data(report_id: str, factor_name: str,
query_type: QueryType) -> pd.Series:
# Check params
report = FactorRiskReport.get(report_id)
if factor_name not in ['Factor', 'Specific', 'Total']:
if query_type in [QueryType.DAILY_RISK, QueryType.ANNUAL_RISK]:
raise MqValueError(
'Please pick a factor name from the following: ["Total", "Factor", "Specific"]'
)
model = FactorRiskModel.get(report.get_risk_model_id())
factor = model.get_factor(factor_name)
factor_name = factor.name
# Extract relevant data for each date
col_name = query_type.value.replace(' ', '')
col_name = decapitalize(col_name)
data_type = decapitalize(
col_name[6:]) if col_name.startswith('factor') else col_name
factor_data = report.get_results(factors=[factor_name],
start_date=DataContext.current.start_date,
end_date=DataContext.current.end_date,
return_format=ReturnFormat.JSON)
factor_exposures = [{
'date': d['date'],
col_name: d[data_type]
} for d in factor_data if d.get(data_type)]
# Create and return timeseries
df = pd.DataFrame(factor_exposures)
if not df.empty:
df.set_index('date', inplace=True)
df.index = pd.to_datetime(df.index)
return _extract_series_from_df(df, query_type)
def test_get_factor_risk_report(mocker):
# 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=Report(
id='PFRID',
position_source_type=PositionSourceType.Portfolio,
position_source_id='PORTFOLIOID',
parameters=None,
type=ReportType.Portfolio_Factor_Risk,
status=ReportStatus.done))
# run test
response = FactorRiskReport.get('PFRID')
assert response.type == ReportType.Portfolio_Factor_Risk