def test_duplicate_instrument(mocker):
set_session()
dollar_price_values = [[[{
'$type': 'Risk',
'val': 0.01
}], [{
'$type': 'Risk',
'val': 0.02
}], [{
'$type': 'Risk',
'val': 0.03
}]]]
mocker.return_value = [dollar_price_values]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3, swap1))
assert portfolio.index('swap1') == (0, 3)
assert portfolio.index('swap2') == 1
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(prices) == (0.01, 0.02, 0.03, 0.01)
assert round(prices.aggregate(), 2) == 0.07
assert prices[swap1] == (0.01, 0.01)
def test_single_instrument(mocker):
with MockCalc(mocker):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.0, name='10y@0')
portfolio = Portfolio(swap1)
assert portfolio.paths('10y@0') == (PortfolioPath(0), )
with PricingContext(pricing_date=dt.date(2020, 10, 15)):
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(map(lambda x: round(x, 0), prices)) == (7391258.0, )
assert round(prices.aggregate(), 0) == 7391258.0
assert round(prices[swap1], 0) == 7391258.0
def test_single_instrument(mocker):
set_session()
mocker.return_value = [[[[{'$type': 'Risk', 'val': 0.01}]]]]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
portfolio = Portfolio(swap1)
assert portfolio.index('swap1') == 0
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(prices) == (0.01, )
assert round(prices.aggregate(), 2) == 0.01
assert prices[swap1] == 0.01
def test_portfolio(mocker):
with MockCalc(mocker):
with PricingContext(pricing_date=dt.date(2020, 10, 15)):
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.001, name='swap_10y@10bp')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.002, name='swap_10y@20bp')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.003, name='swap_10y@30bp')
portfolio = Portfolio((swap1, swap2, swap3))
prices: PortfolioRiskResult = portfolio.dollar_price()
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(sorted(map(lambda x: round(x, 0), prices))) == (4439478.0, 5423405.0, 6407332.0)
assert round(prices.aggregate(), 2) == 16270214.48
assert round(prices[0], 0) == 6407332.0
assert round(prices[swap2], 0) == 5423405.0
assert round(prices['swap_10y@30bp'], 0) == 4439478.0
assert tuple(map(lambda x: round(x, 0), result[risk.DollarPrice])) == (6407332.0, 5423405.0, 4439478.0)
assert round(result[risk.DollarPrice].aggregate(), 0) == 16270214.0
assert round(result[risk.DollarPrice]['swap_10y@30bp'], 0) == 4439478.0
assert round(result[risk.DollarPrice]['swap_10y@30bp'], 0) == round(result['swap_10y@30bp'][risk.DollarPrice],
0)
assert round(result[risk.IRDelta].aggregate().value.sum(), 0) == 278977.0
prices_only = result[risk.DollarPrice]
assert tuple(map(lambda x: round(x, 0), prices)) == tuple(map(lambda x: round(x, 0), prices_only))
swap4 = IRSwap('Pay', '10y', 'USD', fixed_rate=-0.001, name='swap_10y@-10bp')
portfolio.append(swap4)
assert len(portfolio.instruments) == 4
extracted_swap = portfolio.pop('swap_10y@20bp')
assert extracted_swap == swap2
assert len(portfolio.instruments) == 3
swap_dict = {'swap_5': swap1,
'swap_6': swap2,
'swap_7': swap3}
portfolio = Portfolio(swap_dict)
assert len(portfolio) == 3
def test_portfolio(mocker):
set_session()
dollar_price_values = [[[{
'$type': 'Risk',
'val': 0.01
}], [{
'$type': 'Risk',
'val': 0.02
}], [{
'$type': 'Risk',
'val': 0.03
}]]]
dollar_price_ir_delta_values = [[[{
'$type': 'Risk',
'val': 0.01
}], [{
'$type': 'Risk',
'val': 0.02
}], [{
'$type': 'Risk',
'val': 0.03
}]],
[[{
'$type':
'RiskVector',
'asset': [0.01, 0.015],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}],
[{
'$type':
'RiskVector',
'asset': [0.02, 0.025],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}],
[{
'$type':
'RiskVector',
'asset': [0.03, 0.035],
'points': [{
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '1y'
}, {
'type': 'IR',
'asset': 'USD',
'class_': 'Swap',
'point': '2y'
}]
}]]]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
mocker.return_value = [dollar_price_values]
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(sorted(prices)) == (0.01, 0.02, 0.03)
assert round(prices.aggregate(), 2) == 0.06
assert prices[0] == 0.01
assert prices[swap2] == 0.02
assert prices['swap3'] == 0.03
mocker.return_value = [dollar_price_ir_delta_values]
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(result[risk.DollarPrice]) == (0.01, 0.02, 0.03)
assert result[risk.DollarPrice].aggregate() == 0.06
assert result[risk.DollarPrice]['swap3'] == 0.03
assert result[risk.DollarPrice]['swap3'] == result['swap3'][
risk.DollarPrice]
assert result[risk.IRDelta].aggregate().value.sum() == 0.135
prices_only = result[risk.DollarPrice]
assert tuple(prices) == tuple(prices_only)
swap4 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap4')
portfolio.append(swap4)
assert len(portfolio.instruments) == 4
extracted_swap = portfolio.pop('swap2')
assert extracted_swap == swap2
assert len(portfolio.instruments) == 3
swap_dict = {'swap_5': swap1, 'swap_6': swap2, 'swap_7': swap3}
portfolio = Portfolio(swap_dict)
assert len(portfolio) == 3
def test_portfolio(mocker):
set_session()
dollar_price_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]]]
dollar_price_ir_delta_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.02
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.025
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.03
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.035
}]]]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
mocker.return_value = dollar_price_values
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(sorted(prices)) == (0.01, 0.02, 0.03)
assert round(prices.aggregate(), 2) == 0.06
assert prices[0] == 0.01
assert prices[swap2] == 0.02
assert prices['swap3'] == 0.03
mocker.return_value = dollar_price_ir_delta_values
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(result[risk.DollarPrice]) == (0.01, 0.02, 0.03)
assert result[risk.DollarPrice].aggregate() == 0.06
assert result[risk.DollarPrice]['swap3'] == 0.03
assert result[risk.DollarPrice]['swap3'] == result['swap3'][
risk.DollarPrice]
expected = risk.aggregate_risk(
[pd.DataFrame(v) for v in dollar_price_ir_delta_values[1]])
assert result[risk.IRDelta].aggregate().equals(expected)
prices_only = result[risk.DollarPrice]
assert tuple(prices) == tuple(prices_only)
def test_portfolio(mocker):
set_session()
dollar_price_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]]]
dollar_price_ir_delta_values = [[[{
'date': '2019-10-07',
'value': 0.01
}], [{
'date': '2019-10-07',
'value': 0.02
}], [{
'date': '2019-10-07',
'value': 0.03
}]],
[[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.01
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.015
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.02
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.025
}],
[{
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '1y',
'value': 0.03
}, {
'date': '2019-10-07',
'marketDataType': 'IR',
'assetId': 'USD',
'pointClass': 'Swap',
'point': '2y',
'value': 0.035
}]]]
swap1 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap1')
swap2 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.02, name='swap2')
swap3 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.03, name='swap3')
portfolio = Portfolio((swap1, swap2, swap3))
mocker.return_value = dollar_price_values
prices: PortfolioRiskResult = portfolio.dollar_price()
assert tuple(sorted(prices)) == (0.01, 0.02, 0.03)
assert round(prices.aggregate(), 2) == 0.06
assert prices[0] == 0.01
assert prices[swap2] == 0.02
assert prices['swap3'] == 0.03
mocker.return_value = dollar_price_ir_delta_values
result = portfolio.calc((risk.DollarPrice, risk.IRDelta))
assert tuple(result[risk.DollarPrice]) == (0.01, 0.02, 0.03)
assert result[risk.DollarPrice].aggregate() == 0.06
assert result[risk.DollarPrice]['swap3'] == 0.03
assert result[risk.DollarPrice]['swap3'] == result['swap3'][
risk.DollarPrice]
expected = risk.aggregate_risk([
risk.DataFrameWithInfo(PricingContext.current.pricing_key,
pd.DataFrame(v))
for v in dollar_price_ir_delta_values[1]
]).reset_index(drop=True)
actual = result[risk.IRDelta].aggregate().raw_value
assert actual.equals(expected)
prices_only = result[risk.DollarPrice]
assert tuple(prices) == tuple(prices_only)
swap4 = IRSwap('Pay', '10y', 'USD', fixed_rate=0.01, name='swap4')
portfolio.append(swap4)
assert len(portfolio.instruments) == 4
extracted_swap = portfolio.pop('swap2')
assert extracted_swap == swap2
assert len(portfolio.instruments) == 3
swap_dict = {'swap_5': swap1, 'swap_6': swap2, 'swap_7': swap3}
portfolio = Portfolio(swap_dict)
assert len(portfolio) == 3
