def test_finite_difference_params(mocker):
nok_delta = risk.IRDelta(currency="NOK")
local_ccy_delta = risk.IRDelta(currency='local')
with MockCalc(mocker):
res3 = swap_1.calc(risk.IRDelta)
res5 = swap_1.calc((risk.Price, nok_delta))
res6 = swap_1.calc((local_ccy_delta, nok_delta))
res7 = swap_1.calc(
risk.IRDelta(aggregation_level=AggregationLevel.Asset))
assert isinstance(res5[risk.Price], FloatWithInfo)
assert isinstance(res5[nok_delta], DataFrameWithInfo)
assert res6[local_ccy_delta]['value'].size != res6[nok_delta]['value'].size
assert res6[local_ccy_delta]['value'].size != res3['value'].size
assert res6[nok_delta]['value'].size != res3['value'].size
assert res7['mkt_asset'].size == 2
def test_risk_measure_setters():
base_delta = risk.IRDelta
usd_delta = risk.IRDelta(currency='USD')
assert (usd_delta.parameters is not None)
assert (usd_delta.parameters.currency == 'USD')
local_usd_delta = usd_delta(local_curve=True)
assert local_usd_delta.local_curve
assert (usd_delta != local_usd_delta)
assert (risk.IRDelta.parameters is None)
assert (base_delta.parameters is None)
def test_adding_risk_results(mocker):
with MockCalc(mocker):
result1 = get_attributes(eur_port, risk.Price, no_frame=True)
result2 = get_attributes(
eur_port, (risk.IRDelta(aggregation_level=AggregationLevel.Asset,
currency='local'), risk.Price),
no_frame=True)
result3 = get_attributes(
swaption_port,
(risk.IRDelta(aggregation_level=AggregationLevel.Asset,
currency='local'), risk.Price),
no_frame=True)
result4 = get_attributes(port1, risk.Price, no_frame=True)
result5 = get_attributes(
swaption_port,
risk.IRVega(aggregation_level=AggregationLevel.Asset, ),
no_frame=True)
result6 = get_attributes(jpy_port, (risk.Price, ),
'RollFwd',
no_frame=True)
result7 = get_attributes(jpy_port,
risk.Price,
'CurveScen1',
no_frame=True)
result8 = get_attributes(jpy_port, (risk.DollarPrice, risk.Price),
'CurveScen2',
no_frame=True)
# (2020, 1, 14) to (2020, 1, 15)
result9 = get_attributes(port1, risk.Price, 'Multiple', no_frame=True)
# (2020, 1, 16) to (2020, 1, 17)
result10 = get_attributes(port1,
risk.Price,
'Multiple2',
no_frame=True)
# (2020, 1, 14)
result11 = get_attributes(port1, risk.Price, no_frame=True)
# (2020, 1, 16), market_data_location='NYC'
result12 = get_attributes(port1,
risk.Price,
'PricingCtx2',
no_frame=True)
# (2020, 1, 16), market_data_location='LDN'
result13 = get_attributes(port1,
risk.Price,
'PricingCtx3',
no_frame=True)
# adding results with same portfolio but different risk measures
add_1 = result3 + result5
# adding results with different portfolio but same risk measures
add_2 = result2 + result3
# adding results with different portfolios and overlapping risk measures
add_3 = result1 + result3
# adding results with different portfolios and different risk measures
add_4 = result1 + result5
add_5 = result3 + result4
# adding dates
add_6 = result9 + result13
add_7 = result11 + result13
add_8 = result10 + result11
add_9 = result9 + result10
default_pivot_table_test(add_1, 'has_bucketed')
default_pivot_table_test(add_2, 'has_bucketed')
default_pivot_table_test(add_3, 'has_bucketed')
default_pivot_table_test(add_4, 'has_bucketed')
default_pivot_table_test(add_5, 'has_bucketed')
default_pivot_table_test(add_6, 'dated')
default_pivot_table_test(add_7, 'dated')
default_pivot_table_test(add_8, 'dated')
default_pivot_table_test(add_9, 'dated')
# throw value error when adding results where at least one particular value is being calculated twice
# adding results with same portfolio but overlapping risk measures
with pytest.raises(ValueError):
_ = result1 + result2
# adding results with overlapping portfolios and different risk measures
with pytest.raises(ValueError):
_ = result2 + result4
# adding results with overlapping portfolios and same risk measures
with pytest.raises(ValueError):
_ = result1 + result4
# adding results with different scenarios
with pytest.raises(ValueError):
_ = result6 + result7
with pytest.raises(ValueError):
_ = result7 + result8
# overlapping dates
with pytest.raises(ValueError):
_ = result9 + result11
with pytest.raises(ValueError):
_ = result10 + result13
# adding results with different market locations
with pytest.raises(ValueError):
_ = result10 + result12
with pytest.raises(ValueError):
_ = result9 + result12
with pytest.raises(ValueError):
_ = result12 + result13
with pytest.raises(ValueError):
_ = result11 + result12