def test_pricing_context(mocker):
swap1 = IRSwap('Pay', '1y', 'EUR', name='EUR1y')
future_date = business_day_offset(dt.date.today(), 10, roll='forward')
with MockCalc(mocker):
with RollFwd(date='10b', realise_fwd=True):
market = swap1.market()
with pytest.raises(ValueError):
# cannot pass in future date into pricing context, use RollFwd instead
with PricingContext(pricing_date=future_date):
_ = swap1.calc(risk.Price)
# cannot pass in market dated in the future into pricing context, use RollFwd instead
with PricingContext(market=CloseMarket(date=future_date)):
_ = swap1.calc(risk.Price)
with PricingContext(market=OverlayMarket(base_market=CloseMarket(date=future_date, location='NYC'),
market_data=market.result())):
_ = swap1.calc(risk.Price)
def get_attributes(p, risks, ctx='PricingCtx1', resolve=False, no_frame=False):
if resolve:
p.resolve()
if ctx == 'Multiple':
with HistoricalPricingContext(date(2020, 1, 14),
date(2020, 1, 15),
market_data_location='LDN'):
res = p.calc(risks)
elif ctx == 'PricingCtx1':
with PricingContext(date(2020, 1, 14), market_data_location='LDN'):
res = p.calc(risks)
elif ctx == 'Multiple2':
with HistoricalPricingContext(date(2020, 1, 16),
date(2020, 1, 17),
market_data_location='LDN'):
res = p.calc(risks)
elif ctx == 'PricingCtx2':
with PricingContext(date(2020, 1, 16), market_data_location='NYC'):
res = p.calc(risks)
elif ctx == 'PricingCtx3':
with PricingContext(date(2020, 1, 16), market_data_location='LDN'):
res = p.calc(risks)
elif ctx == 'RollFwd':
with RollFwd(date=date(2020, 11, 3)):
res = p.calc(risks)
elif ctx == 'CurveScen1':
with CurveScenario(parallel_shift=5):
res = p.calc(risks)
elif ctx == 'CurveScen2':
with CurveScenario(curve_shift=1, tenor_start=5, tenor_end=30):
res = p.calc(risks)
if not no_frame:
frame = res.to_frame(None, None, None)
cols = [col for col in frame.columns]
return cols, res, frame
else:
return res
def calc(self, instrument: InstrumentBase,
risk_measure: RiskMeasure) -> PricingFuture:
futures = []
provider = instrument.provider
base_scenario = self._scenario
parameters = self._parameters
location = self.market.location
base_market = self.market
for date in self.__date_range:
if date > self.pricing_date:
scenario = MarketDataScenario(
RollFwd(date=date, realise_fwd=self._roll_to_fwds))
risk_key = RiskKey(provider, date, base_market, parameters,
scenario, risk_measure)
futures.append(self._calc(instrument, risk_key))
else:
risk_key = RiskKey(provider, date,
self._market(date, location), parameters,
base_scenario, risk_measure)
futures.append(self._calc(instrument, risk_key))
return HistoricalPricingFuture(futures)