def calculate(imTree):
imTree.EulerAllocationEps = EulerAllocation.DefaultEps
trades = imTree.Crif.Sensitivities.keys()
if EulerAllocation.parallelProcessing:
# create tuples for multiprocess call:
inputtuples = []
for t in trades:
inputtuples.append((imTree.Crif, imTree.CalculationCurrency, t,
imTree.EulerAllocationEps))
with Pool() as pool:
bumpedFlatTrees = pool.starmap(
EulerAllocation.createBumpedFlatTrees, inputtuples)
else:
bumpedFlatTrees = {}
for t in trades:
bumpedCrifs = BumpedCrif(imTree.Crif, t,
imTree.EulerAllocationEps)
javaTree = Simm.calculateTreeStandard(
bumpedCrifs.getAllSensitivities(),
imTree.CalculationCurrency)
stringTree = GenerateCsvString.parseToFlatCsv(javaTree)
stringTree = StringIO(stringTree)
bumpedFlatTrees[t] = pd.read_csv(stringTree)
result = EulerAllocation.eulerAllocationInTree(
imTree, bumpedFlatTrees, imTree.EulerAllocationEps)
return result
def test_bumpWorked(self):
eps = 0.1
tradeId = 'DZ14788807'
Input = CRIF.CrifUtil.read_csv(r'../NochKleineresTestportfolio.csv')
crif = Crif(Input)
simm = Simm()
bumpedCrif = BumpedCrif(crif, tradeId, eps)
InputManBump = pd.read_csv(
r'../NochKleineresTestportfolioManualBump.csv')
manuelCrif = Crif(InputManBump)
resultAutoBumped = simm.calculateStandard(
bumpedCrif.getAllSensitivities(), 'USD').doubleValue()
resultManBumped = simm.calculateStandard(
manuelCrif.getAllSensitivities(), 'USD').doubleValue()
resultOrig = simm.calculateStandard(crif.getAllSensitivities(),
'USD').doubleValue()
autoSensis = bumpedCrif.Sensitivities[tradeId]
manuellSensis = manuelCrif.Sensitivities[tradeId]
for i in range(0, autoSensis.size()):
self.assertAlmostEqual(getSensitivityAmount(autoSensis.get(i)),
getSensitivityAmount(manuellSensis.get(i)),
places=5)
self.assertAlmostEqual(resultAutoBumped, resultManBumped, places=3)
self.assertNotAlmostEqual(resultOrig, resultManBumped, places=0)
self.assertNotAlmostEqual(resultOrig, resultAutoBumped, places=0)
def createBumpedFlatTrees(crif, calculationCurrency, tradeID, eps):
bumpedCrif = BumpedCrif(crif, tradeID, eps)
javaTree = Simm.calculateTreeStandard(bumpedCrif.getAllSensitivities(),
calculationCurrency)
stringTree = GenerateCsvString.parteToFlatCsv(javaTree)
stringTree = StringIO(stringTree)
result = pd.read_csv(stringTree)
return {tradeID: result}
def test_bumpSchedulePVs(self):
eps = 0.1
Input = CRIF.CrifUtil.read_csv(r'..\ScheduleTestSet.csv', sep=',')
crifs = Crifs(Input)
crif = crifs['Contract_1_collect_EMIR']
bumpedCrif = BumpedCrif(crif, 'trd1', eps)
origSchedulePVs = crif.getAllSchedulePVs()
schedulePVs = bumpedCrif.getAllSchedulePVs()
self.assertEqual(origSchedulePVs[0].getAmountUSD().doubleValue(), 2200)
self.assertEqual(origSchedulePVs[1].getAmount().doubleValue(), -4000)
self.assertEqual(schedulePVs[0].getAmountUSD().doubleValue(), 2420)
self.assertEqual(schedulePVs[1].getAmount().doubleValue(), -4000)
def test_bumpAddOnNotional(self):
eps = 0.1
tradeId = 'AN3'
Input = CRIF.CrifUtil.read_csv(r'..\Unittest_CRIF.txt', sep='\t')
crifs = Crifs(Input)
crif = crifs['testAN1_collect_EMIR']
bumpedCrif = BumpedCrif(crif, tradeId, eps)
notionals = bumpedCrif.getAllAddonNotionals()
notionals = JavaArrayListToPythonList(notionals)
origNotionals = crif.getAllAddonNotionals()
origNotionals = JavaArrayListToPythonList(origNotionals)
self.assertEqual(notionals[0].getNotionalUsd().doubleValue(), 11000000)
self.assertEqual(origNotionals[0].getNotionalUsd().doubleValue(),
10000000)
def test_originalStaysTheSame(self):
Input = CRIF.CrifUtil.read_csv(r'../NochKleineresTestportfolio.csv')
crif = Crif(Input)
simm = Simm()
result = simm.calculateStandard(crif.getAllSensitivities(),
'USD').doubleValue()
tradeIds = crif.Sensitivities.keys()
tradeId = next(iter(tradeIds))
bumpedCrif = BumpedCrif(crif, tradeId, 0.01)
result2 = simm.calculateStandard(crif.getAllSensitivities(),
'USD').doubleValue()
self.assertEqual(result, result2)