def test_market_data_object():
coord_val_pair = [
{
'coordinate': {
'mkt_type': 'IR',
'mkt_asset': 'USD',
'mkt_class': 'Swap',
'mkt_point': ('5y', ),
'mkt_quoting_style': 'ATMRate'
},
'value': 0.9973194889
},
{
'coordinate': {
'mkt_type': 'IR',
'mkt_asset': 'USD',
'mkt_class': 'Swap',
'mkt_point': ('40y', ),
'mkt_quoting_style': 'ATMRate'
},
'value': 'redacted'
},
]
coordinates = {
MarketDataCoordinate.from_dict(dic['coordinate']): dic['value']
for dic in coord_val_pair
}
overlay_market = OverlayMarket(base_market=CloseMarket(
market_data=coordinates))
assert overlay_market.coordinates[0] == MarketDataCoordinate.from_dict(
coord_val_pair[0]['coordinate'])
assert overlay_market.redacted_coordinates[
0] == MarketDataCoordinate.from_dict(coord_val_pair[1]['coordinate'])
def extract_market_data(this_result: DataFrameWithInfo):
market_data = {}
for _, row in result.iterrows():
coordinate_values = {p: row.get(p) for p in properties}
if 'mkt_point' in coordinate_values:
coordinate_values['mkt_point'] = tuple(
coordinate_values['mkt_point'].split(';'))
market_data[MarketDataCoordinate.from_dict(
coordinate_values)] = row['value']
return market_data
def extract_market_data(this_result: DataFrameWithInfo):
market_data = {}
for _, row in this_result.iterrows():
coordinate_values = {p: row.get(p) for p in properties}
mkt_point = coordinate_values.get('mkt_point')
if mkt_point is not None:
coordinate_values['mkt_point'] = tuple(coordinate_values['mkt_point'].split(';'))
# return 'redacted' as coordinate value if its a redacted coordinate
market_data[MarketDataCoordinate.from_dict(coordinate_values)] = row['value'] if \
row['permissions'] == 'Granted' else 'redacted'
return market_data