IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
OptimizationRequest
priceables = (
CommodSwap('Electricity', '1y'),
EqForward('GS.N', '1y'),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call', strike_price='ATMF'),
IRSwap('Pay', '10y', 'USD'),
IRBasisSwap('10y', 'USD'),
IRSwaption('Pay', '10y', 'USD'),
IRCap('10y', 'EUR'),
IRFloor('10y', 'EUR')
)
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = {
'$type': 'RiskVector',
'asset': [0.01, 0.015],
from gs_quant.api.gs.risk import GsRiskApi
from gs_quant.base import Priceable
from gs_quant.common import AssetClass
from gs_quant.instrument import CommodSwap, EqForward, EqOption, FXOption, IRBasisSwap, IRSwap, IRSwaption, IRCap,\
IRFloor
from gs_quant.markets import PricingContext
from gs_quant.session import Environment, GsSession
from gs_quant.target.risk import PricingDateAndMarketDataAsOf, RiskPosition, RiskRequestParameters, \
APEXOptimizationRequest
priceables = (CommodSwap('Electricity', '1y'), EqForward('GS.N', '1y'),
EqOption('GS.N', '3m', 'ATMF', 'Call', 'European'),
FXOption('EUR', 'USD', '1y', 'Call',
strike_price='ATMF'), IRSwap('Pay', '10y', 'USD'),
IRBasisSwap('10y', 'USD'), IRSwaption('Pay', '10y', 'USD'),
IRCap('10y', 'EUR'), IRFloor('10y', 'EUR'))
def set_session():
from gs_quant.session import OAuth2Session
OAuth2Session.init = mock.MagicMock(return_value=None)
GsSession.use(Environment.QA, 'client_id', 'secret')
def structured_calc(mocker, priceable: Priceable, measure: risk.RiskMeasure):
set_session()
values = {
'$type':
'RiskVector',
'asset': [0.01, 0.015],