def test_module_block(self):
# Expression with one function def.
dsl_source = """
def sqr(n):
n ** 2
sqr(3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
# Expression with two function defs.
dsl_source = """
def add(a, b):
a + b
def mul(a, b):
a if b == 1 else add(a, mul(a, b - 1))
mul(3, 3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
# self.assertEqual(str(dsl_expr), "")
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
def test_module_block(self):
# Expression with one function def.
dsl_source = """
def sqr(n):
n ** 2
sqr(3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
# Expression with two function defs.
dsl_source = """
def add(a, b):
a + b
def mul(a, b):
a if b == 1 else add(a, mul(a, b - 1))
mul(3, 3)
"""
dsl_module = dsl_parse(dsl_source)
self.assertIsInstance(dsl_module, Module)
self.assertEqual(str(dsl_module), dsl_source.strip())
dsl_expr = dsl_compile(dsl_source)
# self.assertEqual(str(dsl_expr), "")
self.assertEqual(dsl_expr.evaluate(), 9)
dsl_value = dsl_eval(dsl_source)
self.assertEqual(dsl_value, 9)
def test_date_timedelta(self):
# Some date arithmetic...
dsl = dsl_compile("Date('2014-12-31') - TimeDelta('1d')")
self.assertIsInstance(dsl, Sub)
self.assertEqual(dsl.evaluate(), datetime.date(2014, 12, 30))
dsl = dsl_compile("Date('2014-12-29') + TimeDelta('1d')")
self.assertIsInstance(dsl, Add)
self.assertEqual(dsl.evaluate(), datetime.date(2014, 12, 30))
dsl = dsl_compile("2 * TimeDelta('1d')")
self.assertIsInstance(dsl, Mult)
self.assertEqual(dsl.evaluate(), datetime.timedelta(2))
def test_date_timedelta(self):
# Some date arithmetic...
dsl = dsl_compile("Date('2014-12-31') - TimeDelta('1d')")
self.assertIsInstance(dsl, Sub)
self.assertEqual(dsl.evaluate(), datetime.date(2014, 12, 30))
dsl = dsl_compile("Date('2014-12-29') + TimeDelta('1d')")
self.assertIsInstance(dsl, Add)
self.assertEqual(dsl.evaluate(), datetime.date(2014, 12, 30))
dsl = dsl_compile("2 * TimeDelta('1d')")
self.assertIsInstance(dsl, Mult)
self.assertEqual(dsl.evaluate(), datetime.timedelta(2))
def test_functiondef_dsl_max_conditional(self):
# Conditional call.
dsl = dsl_compile("def a(b): Max(b, 2) if b != 0 else 0")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.call_arg_names[0], 'b')
self.assertIsInstance(dsl.body, IfExp)
self.assertEqual(dsl.body.test.evaluate(b=1), True) # b != 0
self.assertEqual(dsl.body.test.evaluate(b=0), False)
self.assertEqual(dsl.body.body.evaluate(b=4), 4) # Max(b, 2)
self.assertEqual(dsl.body.body.evaluate(b=0), 2)
a0 = dsl.apply(b=0)
self.assertIsInstance(a0, Number)
a1 = dsl.apply(b=1)
self.assertIsInstance(a1, Max)
self.assertIsInstance(a1.left, Number)
self.assertIsInstance(a1.right, Number)
self.assertEqual(a1.left.evaluate(), 1)
self.assertEqual(a1.right.evaluate(), 2)
self.assertEqual(a1.evaluate(), 2)
a3 = dsl.apply(b=3)
self.assertIsInstance(a3, Max)
self.assertIsInstance(a3.left, Number)
self.assertIsInstance(a3.right, Number)
self.assertEqual(a3.left.evaluate(), 3)
self.assertEqual(a3.right.evaluate(), 2)
self.assertEqual(a3.evaluate(), 3)
def test_functiondef_dsl_max_conditional(self):
# Conditional call.
dsl = dsl_compile("def a(b): Max(b, 2) if b != 0 else 0")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.call_arg_names[0], 'b')
self.assertIsInstance(dsl.body, IfExp)
self.assertEqual(dsl.body.test.evaluate(b=1), True) # b != 0
self.assertEqual(dsl.body.test.evaluate(b=0), False)
self.assertEqual(dsl.body.body.evaluate(b=4), 4) # Max(b, 2)
self.assertEqual(dsl.body.body.evaluate(b=0), 2)
a0 = dsl.apply(b=0)
self.assertIsInstance(a0, Number)
a1 = dsl.apply(b=1)
self.assertIsInstance(a1, Max)
self.assertIsInstance(a1.left, Number)
self.assertIsInstance(a1.right, Number)
self.assertEqual(a1.left.evaluate(), 1)
self.assertEqual(a1.right.evaluate(), 2)
self.assertEqual(a1.evaluate(), 2)
a3 = dsl.apply(b=3)
self.assertIsInstance(a3, Max)
self.assertIsInstance(a3.left, Number)
self.assertIsInstance(a3.right, Number)
self.assertEqual(a3.left.evaluate(), 3)
self.assertEqual(a3.right.evaluate(), 2)
self.assertEqual(a3.evaluate(), 3)
def test_str(self):
self.assertDslExprTypeValue("''", String, "")
self.assertDslExprTypeValue("'#1'", String, "#1")
# We can have comments too, but comments and trailing whitespaces are ignored.
dsl = dsl_compile("'#1' # This is a comment.")
self.assertIsInstance(dsl, String)
self.assertEqual(dsl.evaluate(), '#1')
def test_str(self):
self.assertDslExprTypeValue("''", String, "")
self.assertDslExprTypeValue("'#1'", String, "#1")
# We can have comments too, but comments and trailing whitespaces are ignored.
dsl = dsl_compile("'#1' # This is a comment.")
self.assertIsInstance(dsl, String)
self.assertEqual(dsl.evaluate(), '#1')
def test_functiondef_simple(self):
# Simple one-line body.
dsl = dsl_compile("def a(): 1")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(len(dsl.call_arg_names), 0)
self.assertEqual(len(dsl.call_cache), 0)
aExpr = dsl.apply()
self.assertIsInstance(aExpr, Number)
aValue = aExpr.evaluate()
self.assertEqual(aValue, 1)
# Check the call is in the cache.
self.assertEqual(len(dsl.call_cache), 1)
# Check a freshly parsed function def has a fresh call cache.
dsl = dsl_compile("def a(): 1")
self.assertEqual(len(dsl.call_cache), 0)
def test_functiondef_simple(self):
# Simple one-line body.
dsl = dsl_compile("def a(): 1")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(len(dsl.call_arg_names), 0)
self.assertEqual(len(dsl.call_cache), 0)
aExpr = dsl.apply()
self.assertIsInstance(aExpr, Number)
aValue = aExpr.evaluate()
self.assertEqual(aValue, 1)
# Check the call is in the cache.
self.assertEqual(len(dsl.call_cache), 1)
# Check a freshly parsed function def has a fresh call cache.
dsl = dsl_compile("def a(): 1")
self.assertEqual(len(dsl.call_cache), 0)
def test_date_timedelta(self):
dsl = dsl_compile("TimeDelta('2d')")
self.assertIsInstance(dsl, TimeDelta)
self.assertEqual(dsl.evaluate(), relativedelta(days=2))
dsl = dsl_compile("TimeDelta('2m')")
self.assertIsInstance(dsl, TimeDelta)
self.assertEqual(dsl.evaluate(), relativedelta(months=2))
dsl = dsl_compile("TimeDelta('2y')")
self.assertIsInstance(dsl, TimeDelta)
self.assertEqual(dsl.evaluate(), relativedelta(years=2))
# Some date arithmetic...
dsl = dsl_compile("Date('2014-12-31') - TimeDelta('1d')")
self.assertIsInstance(dsl, Sub)
self.assertEqual(dsl.evaluate(), datetime.datetime(2014, 12, 30))
dsl = dsl_compile("Date('2014-12-29') + TimeDelta('1d')")
self.assertIsInstance(dsl, Add)
self.assertEqual(dsl.evaluate(), datetime.datetime(2014, 12, 30))
dsl = dsl_compile("Date('2014-12-29') + TimeDelta('1m')")
self.assertIsInstance(dsl, Add)
self.assertEqual(dsl.evaluate(), datetime.datetime(2015, 1, 29))
dsl = dsl_compile("Date('2014-12-29') + TimeDelta('1y')")
self.assertIsInstance(dsl, Add)
self.assertEqual(dsl.evaluate(), datetime.datetime(2015, 12, 29))
dsl = dsl_compile("2 * TimeDelta('1d')")
self.assertIsInstance(dsl, Mult)
self.assertEqual(dsl.evaluate(), relativedelta(days=2))
dsl = dsl_compile("2 * TimeDelta('1m')")
self.assertIsInstance(dsl, Mult)
self.assertEqual(dsl.evaluate(), relativedelta(months=2))
dsl = dsl_compile("2 * TimeDelta('1y')")
self.assertIsInstance(dsl, Mult)
self.assertEqual(dsl.evaluate(), relativedelta(years=2))
def test_functiondef_dsl_max(self):
# Simple one-line body.
dsl = dsl_compile("def a(b): return Max(b, 2)")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.call_arg_names[0], 'b')
self.assertIsInstance(dsl.body, Max)
self.assertIsInstance(dsl.body.left, Name)
self.assertIsInstance(dsl.body.right, Number)
self.assertEqual(dsl.body.evaluate(b=0), 2)
self.assertEqual(dsl.body.evaluate(b=4), 4)
a0 = dsl.apply(b=0)
self.assertEqual(a0.evaluate(), 2)
a4 = dsl.apply(b=4)
self.assertEqual(a4.evaluate(), 4)
# Return statement is optional, value of last expression is returned.
dsl = dsl_compile("def a(b): Max(b, 2)")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.apply(b=0).evaluate(), 2)
self.assertEqual(dsl.apply(b=4).evaluate(), 4)
def test_functiondef_dsl_max(self):
# Simple one-line body.
dsl = dsl_compile("def a(b): return Max(b, 2)")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.call_arg_names[0], 'b')
self.assertIsInstance(dsl.body, Max)
self.assertIsInstance(dsl.body.left, Name)
self.assertIsInstance(dsl.body.right, Number)
self.assertEqual(dsl.body.evaluate(b=0), 2)
self.assertEqual(dsl.body.evaluate(b=4), 4)
a0 = dsl.apply(b=0)
self.assertEqual(a0.evaluate(), 2)
a4 = dsl.apply(b=4)
self.assertEqual(a4.evaluate(), 4)
# Return statement is optional, value of last expression is returned.
dsl = dsl_compile("def a(b): Max(b, 2)")
self.assertIsInstance(dsl, FunctionDef)
self.assertEqual(dsl.name, 'a')
self.assertEqual(dsl.apply(b=0).evaluate(), 2)
self.assertEqual(dsl.apply(b=4).evaluate(), 4)
def __test_parallel_american_option(self):
# Branching function calls.
expected_value = 5
expected_len_stubbed_exprs = 7
dsl_source = """
def Option(date, strike, underlying, alternative):
return Wait(date, Choice(underlying - strike, alternative))
def American(starts, ends, strike, underlying, step):
Option(starts, strike, underlying, 0) if starts == ends else \
Option(starts, strike, underlying, American(starts + step, ends, strike, underlying, step))
American(Date('2012-01-01'), Date('2012-01-03'), 5, 10, TimeDelta('1d'))
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object.
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2012, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1':
dict(
[(datetime.datetime(2012, 1, 1, tzinfo=utc) +
datetime.timedelta(1) * i, numpy.array([10] * 2000))
for i in range(0, 10)]
) # NB Need enough days to cover the date range in the dsl_source.
},
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(
**kwds)
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_multiprocessed_swing_option(self):
expected_value = 20
expected_len_stubbed_exprs = 7
# Branching function calls.
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity == 0) or (starts >= ends):
0
else:
Wait(starts, Choice(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity - 1) + Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
))
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 50)
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
assert isinstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
kwds = {
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1':
dict(
[(datetime.datetime(2011, 1, 1, tzinfo=utc) +
datetime.timedelta(1) * i, numpy.array([10] * 2000))
for i in range(0, 10)]
) # NB Need enough days to cover the date range in the dsl_source.
},
'first_market_name': '#1'
}
# Evaluate the dependency graph.
dsl_value = MultiProcessingDependencyGraphRunner(dsl_expr).evaluate(
**kwds)
if hasattr(dsl_value, 'mean'):
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_american_option(self):
# Branching function calls.
expected_value = 5
expected_len_stubbed_exprs = 7
dsl_source = """
def Option(date, strike, underlying, alternative):
return Wait(date, Choice(underlying - strike, alternative))
def American(starts, ends, strike, underlying, step):
Option(starts, strike, underlying, 0) if starts == ends else \
Option(starts, strike, underlying, American(starts + step, ends, strike, underlying, step))
American(Date('2012-01-01'), Date('2012-01-03'), 5, 10, TimeDelta('1d'))
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object.
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2012, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1': dict(
[(datetime.datetime(2012, 1, 1, tzinfo=utc) + datetime.timedelta(1) * i, numpy.array([10]*2000))
for i in range(0, 10)]) # NB Need enough days to cover the date range in the dsl_source.
},
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(**kwds)
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_multiprocessed_swing_option(self):
expected_value = 20
expected_len_stubbed_exprs = 7
# Branching function calls.
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity == 0) or (starts >= ends):
0
else:
Wait(starts, Choice(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity - 1) + Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
))
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 50)
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
assert isinstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
kwds = {
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1, tzinfo=utc),
'all_market_prices': {
'#1': dict(
[(datetime.datetime(2011, 1, 1, tzinfo=utc) + datetime.timedelta(1) * i, numpy.array([10]*2000))
for i in range(0, 10)]) # NB Need enough days to cover the date range in the dsl_source.
},
'first_market_name': '#1'
}
# Evaluate the dependency graph.
dsl_value = MultiProcessingDependencyGraphRunner(dsl_expr).evaluate(**kwds)
if hasattr(dsl_value, 'mean'):
dsl_value = dsl_value.mean()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_swing_option(self):
# Branching function calls.
expected_value = 20
expected_len_stubbed_exprs = 7
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity != 0) and (starts < ends):
return Max(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity-1) \
+ Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
)
else:
return 0
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 5)
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1),
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(
**kwds)
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_swing_option(self):
# Branching function calls.
expected_value = 20
expected_len_stubbed_exprs = 7
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity != 0) and (starts < ends):
return Max(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity-1) \
+ Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
)
else:
return 0
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 5)
"""
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr)
# Evaluate the stack.
image = mock.Mock()
image.price_process.get_duration_years.return_value = 1
kwds = {
'image': image,
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1),
}
dsl_value = SingleThreadedDependencyGraphRunner(dsl_expr).evaluate(**kwds)
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
def __test_parallel_fib(self):
# Branching function calls.
fib_index = 6
expected_value = 13
expected_len_stubbed_exprs = fib_index + 1
dsl_source = """
def fib(n): fib(n-1) + fib(n-2) if n > 2 else n
fib(%d)
""" % fib_index
# # Check the source works as a serial operation.
# dsl_expr = dsl_parse(dsl_source, inParallel=False)
# self.assertIsInstance(dsl_expr, Add)
# dsl_value = dsl_expr.evaluate()
# self.assertEqual(dsl_value, expected_value)
# Check the source works as a parallel operation.
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object...
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
runner = SingleThreadedDependencyGraphRunner(dsl_expr)
dsl_value = runner.evaluate()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
# Also check the runner call count is the same.
self.assertEqual(runner.call_count, expected_len_stubbed_exprs)
def __test_parallel_fib(self):
# Branching function calls.
fib_index = 6
expected_value = 13
expected_len_stubbed_exprs = fib_index + 1
dsl_source = """
def fib(n): fib(n-1) + fib(n-2) if n > 2 else n
fib(%d)
""" % fib_index
# # Check the source works as a serial operation.
# dsl_expr = dsl_parse(dsl_source, inParallel=False)
# self.assertIsInstance(dsl_expr, Add)
# dsl_value = dsl_expr.evaluate()
# self.assertEqual(dsl_value, expected_value)
# Check the source works as a parallel operation.
dsl_expr = dsl_compile(dsl_source, is_parallel=True)
# Expect an expression stack object...
self.assertIsInstance(dsl_expr, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the value.
actual_len_stubbed_exprs = len(dsl_expr.call_requirements)
# Evaluate the stack.
runner = SingleThreadedDependencyGraphRunner(dsl_expr)
dsl_value = runner.evaluate()
# Check the value is expected.
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
# Also check the runner call count is the same.
self.assertEqual(runner.call_count, expected_len_stubbed_exprs)
def test_fixing(self):
dsl_source = "Fixing('2012-01-01', 5)"
dsl = dsl_compile(dsl_source)
self.assertEqual(dsl_source, str(dsl))
self.assertIsInstance(dsl, Fixing)
self.assertEqual(dsl.evaluate(), 5)
def test_on(self):
dsl_source = "On('2012-01-01', 5)"
dsl = dsl_compile(dsl_source)
self.assertEqual(dsl_source, str(dsl))
self.assertIsInstance(dsl, On)
self.assertEqual(dsl.evaluate(), 5)
def test_functiondef_recursive_cached(self):
# Recursive call.
fib_def = dsl_compile("def fib(n): return fib(n-1) + fib(n-2) if n > 2 else n")
# Check the parsed function def DSL object.
self.assertIsInstance(fib_def, FunctionDef)
self.assertFalse(fib_def.call_cache)
self.assertEqual(fib_def.name, 'fib')
self.assertEqual(fib_def.call_arg_names[0], 'n')
self.assertIsInstance(fib_def.body, IfExp)
self.assertEqual(fib_def.body.test.evaluate(n=3), True)
self.assertEqual(fib_def.body.test.evaluate(n=2), False)
self.assertIsInstance(fib_def.body.body, Add)
self.assertIsInstance(fib_def.body.body.left, FunctionCall)
self.assertIsInstance(fib_def.body.body.left.functionDefName, Name)
self.assertIsInstance(fib_def.body.body.left.callArgExprs, list)
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0], Sub)
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0].left, Name)
self.assertEqual(fib_def.body.body.left.callArgExprs[0].left.name, 'n')
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0].right, Number)
self.assertEqual(fib_def.body.body.left.callArgExprs[0].right.value, 1)
# Evaluate the function with different values of n.
# n = 1
fib_expr = fib_def.apply(n=1)
self.assertIsInstance(fib_expr, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 1)
# Check call cache has one call.
self.assertEqual(len(fib_def.call_cache), 1)
# n = 2
fib_expr = fib_def.apply(n=2)
self.assertIsInstance(fib_expr, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 2)
# Check call cache has two calls.
self.assertEqual(len(fib_def.call_cache), 2)
# n = 3
fib_expr = fib_def.apply(n=3)
self.assertIsInstance(fib_expr, Add)
self.assertIsInstance(fib_expr.left, Number)
self.assertIsInstance(fib_expr.right, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 3)
# Check call cache has three calls.
self.assertEqual(len(fib_def.call_cache), 3)
# n = 4
fib_expr = fib_def.apply(n=4)
self.assertIsInstance(fib_expr, Add)
self.assertIsInstance(fib_expr.left, Add)
self.assertIsInstance(fib_expr.left.left, Number)
self.assertEqual(fib_expr.left.left.evaluate(), 2) # fib(2) -> 2
self.assertIsInstance(fib_expr.left.right, Number)
self.assertEqual(fib_expr.left.right.evaluate(), 1)
self.assertIsInstance(fib_expr.right, Number)
self.assertEqual(fib_expr.right.evaluate(), 2) # fib(2) -> 2 *repeats
# Check repeated calls have resulted in the same object.
self.assertEqual(fib_expr.left.left, fib_expr.right) # fib(2)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 5)
# Check call cache has four calls.
self.assertEqual(len(fib_def.call_cache), 4)
# n = 5
fib_expr = fib_def.apply(n=5)
self.assertIsInstance(fib_expr, Add) # fib(4) + fib(3)
self.assertIsInstance(fib_expr.left, Add) # fib(4) -> fib(3) + fib(2)
self.assertIsInstance(fib_expr.left.left, Add) # fib(3) -> fib(2) + fib(1)
self.assertIsInstance(fib_expr.left.left.left, Number) # fib(2) -> 2
self.assertEqual(fib_expr.left.left.left.evaluate(), 2)
self.assertIsInstance(fib_expr.left.left.right, Number) # fib(1) -> 1
self.assertEqual(fib_expr.left.left.right.evaluate(), 1)
self.assertIsInstance(fib_expr.left.right, Number) # fib(2) -> 2 *repeats
self.assertEqual(fib_expr.left.right.evaluate(), 2)
self.assertIsInstance(fib_expr.right, Add) # fib(3) -> fib(2) + fib(1) *repeats
self.assertIsInstance(fib_expr.right.left, Number) # fib(2) -> 2 *repeats
self.assertEqual(fib_expr.right.left.evaluate(), 2)
self.assertIsInstance(fib_expr.right.right, Number) # fib(1) -> 1 *repeats
self.assertEqual(fib_expr.right.right.evaluate(), 1)
# Check repeated calls have resulted in the same object.
self.assertEqual(fib_expr.right.right, fib_expr.left.left.right) # fib(1)
self.assertEqual(fib_expr.right.left, fib_expr.left.left.left) # fib(2)
self.assertEqual(fib_expr.left.right, fib_expr.left.left.left) # fib(2)
self.assertEqual(fib_expr.right, fib_expr.left.left) # fib(3)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 8)
# Check call cache has five calls.
self.assertEqual(len(fib_def.call_cache), 5)
# Just check call cache with fib(5) with fresh parser.
fib_def = dsl_compile("def fib(n): return fib(n-1) + fib(n-2) if n > 2 else n")
assert isinstance(fib_def, FunctionDef)
self.assertEqual(len(fib_def.call_cache), 0)
fib_expr = fib_def.apply(n=5)
self.assertEqual(len(fib_def.call_cache), 5)
self.assertEqual(fib_expr.evaluate(), 8)
self.assertEqual(len(fib_def.call_cache), 5)
def test_functiondef_recursive_cached(self):
# Recursive call.
fib_def = dsl_compile(
"def fib(n): return fib(n-1) + fib(n-2) if n > 2 else n")
# Check the parsed function def DSL object.
self.assertIsInstance(fib_def, FunctionDef)
self.assertFalse(fib_def.call_cache)
self.assertEqual(fib_def.name, 'fib')
self.assertEqual(fib_def.call_arg_names[0], 'n')
self.assertIsInstance(fib_def.body, IfExp)
self.assertEqual(fib_def.body.test.evaluate(n=3), True)
self.assertEqual(fib_def.body.test.evaluate(n=2), False)
self.assertIsInstance(fib_def.body.body, Add)
self.assertIsInstance(fib_def.body.body.left, FunctionCall)
self.assertIsInstance(fib_def.body.body.left.functionDefName, Name)
self.assertIsInstance(fib_def.body.body.left.callArgExprs, list)
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0], Sub)
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0].left,
Name)
self.assertEqual(fib_def.body.body.left.callArgExprs[0].left.name, 'n')
self.assertIsInstance(fib_def.body.body.left.callArgExprs[0].right,
Number)
self.assertEqual(fib_def.body.body.left.callArgExprs[0].right.value, 1)
# Evaluate the function with different values of n.
# n = 1
fib_expr = fib_def.apply(n=1)
self.assertIsInstance(fib_expr, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 1)
# Check call cache has one call.
self.assertEqual(len(fib_def.call_cache), 1)
# n = 2
fib_expr = fib_def.apply(n=2)
self.assertIsInstance(fib_expr, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 2)
# Check call cache has two calls.
self.assertEqual(len(fib_def.call_cache), 2)
# n = 3
fib_expr = fib_def.apply(n=3)
self.assertIsInstance(fib_expr, Add)
self.assertIsInstance(fib_expr.left, Number)
self.assertIsInstance(fib_expr.right, Number)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 3)
# Check call cache has three calls.
self.assertEqual(len(fib_def.call_cache), 3)
# n = 4
fib_expr = fib_def.apply(n=4)
self.assertIsInstance(fib_expr, Add)
self.assertIsInstance(fib_expr.left, Add)
self.assertIsInstance(fib_expr.left.left, Number)
self.assertEqual(fib_expr.left.left.evaluate(), 2) # fib(2) -> 2
self.assertIsInstance(fib_expr.left.right, Number)
self.assertEqual(fib_expr.left.right.evaluate(), 1)
self.assertIsInstance(fib_expr.right, Number)
self.assertEqual(fib_expr.right.evaluate(),
2) # fib(2) -> 2 *repeats
# Check repeated calls have resulted in the same object.
self.assertEqual(fib_expr.left.left, fib_expr.right) # fib(2)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 5)
# Check call cache has four calls.
self.assertEqual(len(fib_def.call_cache), 4)
# n = 5
fib_expr = fib_def.apply(n=5)
self.assertIsInstance(fib_expr, Add) # fib(4) + fib(3)
self.assertIsInstance(fib_expr.left, Add) # fib(4) -> fib(3) + fib(2)
self.assertIsInstance(fib_expr.left.left,
Add) # fib(3) -> fib(2) + fib(1)
self.assertIsInstance(fib_expr.left.left.left, Number) # fib(2) -> 2
self.assertEqual(fib_expr.left.left.left.evaluate(), 2)
self.assertIsInstance(fib_expr.left.left.right, Number) # fib(1) -> 1
self.assertEqual(fib_expr.left.left.right.evaluate(), 1)
self.assertIsInstance(fib_expr.left.right,
Number) # fib(2) -> 2 *repeats
self.assertEqual(fib_expr.left.right.evaluate(), 2)
self.assertIsInstance(fib_expr.right,
Add) # fib(3) -> fib(2) + fib(1) *repeats
self.assertIsInstance(fib_expr.right.left,
Number) # fib(2) -> 2 *repeats
self.assertEqual(fib_expr.right.left.evaluate(), 2)
self.assertIsInstance(fib_expr.right.right,
Number) # fib(1) -> 1 *repeats
self.assertEqual(fib_expr.right.right.evaluate(), 1)
# Check repeated calls have resulted in the same object.
self.assertEqual(fib_expr.right.right,
fib_expr.left.left.right) # fib(1)
self.assertEqual(fib_expr.right.left,
fib_expr.left.left.left) # fib(2)
self.assertEqual(fib_expr.left.right,
fib_expr.left.left.left) # fib(2)
self.assertEqual(fib_expr.right, fib_expr.left.left) # fib(3)
fib_value = fib_expr.evaluate()
self.assertIsInstance(fib_value, (int, float))
self.assertEqual(fib_value, 8)
# Check call cache has five calls.
self.assertEqual(len(fib_def.call_cache), 5)
# Just check call cache with fib(5) with fresh parser.
fib_def = dsl_compile(
"def fib(n): return fib(n-1) + fib(n-2) if n > 2 else n")
assert isinstance(fib_def, FunctionDef)
self.assertEqual(len(fib_def.call_cache), 0)
fib_expr = fib_def.apply(n=5)
self.assertEqual(len(fib_def.call_cache), 5)
self.assertEqual(fib_expr.evaluate(), 8)
self.assertEqual(len(fib_def.call_cache), 5)
def test_on(self):
dsl_source = "On('2012-01-01', 5)"
dsl = dsl_compile(dsl_source)
self.assertEqual(dsl_source, str(dsl))
self.assertIsInstance(dsl, On)
self.assertEqual(dsl.evaluate(), 5)
def test_fixing(self):
dsl_source = "Fixing('2012-01-01', 5)"
dsl = dsl_compile(dsl_source)
self.assertEqual(dsl_source, str(dsl))
self.assertIsInstance(dsl, Fixing)
self.assertEqual(dsl.evaluate(), 5)
def _test_distributed_dependency_graph_runner(self):
# Setup the contract.
# - branching function calls
dsl_source = """
def Swing(starts, ends, underlying, quantity):
if (quantity == 0) or (starts >= ends):
0
else:
Wait(starts, Choice(
Swing(starts + TimeDelta('1d'), ends, underlying, quantity - 1) + Fixing(starts, underlying),
Swing(starts + TimeDelta('1d'), ends, underlying, quantity)
))
Swing(Date('2011-01-01'), Date('2011-01-03'), 10, 50)
"""
# Generate the dependency graph.
dependency_graph = dsl_compile(dsl_source, is_parallel=True)
assert isinstance(dependency_graph, DependencyGraph)
# Remember the number of stubbed exprs - will check it after the evaluation.
actual_len_stubbed_exprs = len(dependency_graph.call_requirements)
kwds = {
'interest_rate': 0,
'present_time': datetime.datetime(2011, 1, 1, tzinfo=utc),
'simulation_id': create_uuid4(),
}
app = get_quantdsl_app()
market_simulation = app.register_market_simulation({})
market_names = ['#1']
for market_name in market_names:
# NB Need enough days to cover the date range in the dsl_source.
for i in range(0, 10):
dt = datetime.datetime(2011, 1, 1, tzinfo=utc) + datetime.timedelta(1) * i
value = numpy.array([10] * 2000)
register_simulated_price(market_simulation.id, market_name, fixing_date=dt)
# Check we've got a path to the 'celery' command line program (hopefully it's next to this python executable).
celery_script_path = os.path.join(os.path.dirname(sys.executable), 'celery')
self.assertTrue(os.path.exists(celery_script_path), celery_script_path)
# Check the example task returns correct result (this assumes the celery worker IS running).
# - invoke a celery worker process as a subprocess
worker_cmd = [celery_script_path, 'worker', '-A', 'quantdsl.infrastructure.celery.tasks', '-l', 'info']
# - its usage as a context manager causes a wait for it to finish after it has been terminated
with Popen(worker_cmd) as worker:
try:
# Evaluate the dependency graph.
runner = DistributedDependencyGraphRunner(dependency_graph, app=app)
dsl_value = runner.evaluate(**kwds)
# Get the mean of the value, if it has one.
if isinstance(dsl_value, numpy.ndarray):
dsl_value = dsl_value.mean()
# Check the value is expected.
expected_value = 20
self.assertEqual(dsl_value, expected_value)
# Check the number of stubbed exprs is expected.
expected_len_stubbed_exprs = 7
self.assertEqual(actual_len_stubbed_exprs, expected_len_stubbed_exprs)
finally:
# Shutdown the celery worker.
worker.terminate()
