def test_fwd_term():
with DataContext('2018-01-01', '2019-01-01'):
_fwd_term_typical()
_fwd_term_empty()
with DataContext('2018-01-16', '2018-12-31'):
out = _fwd_term_typical()
assert out.empty
with pytest.raises(NotImplementedError):
tm.fwd_term(..., real_time=True)
def _fwd_term_typical():
assert DataContext.current_is_set
data = {'tenor': ['1w', '2w', '1y', '2y'], 'forward': [1, 2, 3, 4]}
out = pd.DataFrame(data=data, index=pd.DatetimeIndex(['2018-01-01'] * 4))
replace = Replacer()
market_mock = replace(
'gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = out
actual = tm.fwd_term(Index('MA123', AssetClass.Equity, '123'))
idx = pd.DatetimeIndex(
['2018-01-08', '2018-01-15', '2019-01-01', '2020-01-01'],
name='expirationDate')
expected = pd.Series([1, 2, 3, 4], name='forward', index=idx)
expected = expected.loc[DataContext.current.start_date:DataContext.current.
end_date]
if expected.empty:
assert actual.empty
else:
assert_series_equal(expected, actual)
market_mock.assert_called_once()
replace.restore()
return actual
def _fwd_term_empty():
replace = Replacer()
market_mock = replace('gs_quant.timeseries.measures.GsDataApi.get_market_data', Mock())
market_mock.return_value = pd.DataFrame()
actual = tm.fwd_term(Index('MAXYZ', AssetClass.Equity, 'XYZ'))
assert actual.empty
market_mock.assert_called_once()
replace.restore()
