def test_midcurve_vol_return_data():
replace = Replacer()
test_data = dict(midcurveVol=[1, 2, 3])
df = MarketDataResponseFrame(
data=test_data,
index=[dt.date(2019, 1, 1),
dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets',
Mock(),
Mock()).return_value = ["MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date',
Mock(),
Mock()).return_value = [dt.date(2019, 1, 2),
dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed',
Mock()).return_value = df
actual = tm_rates.midcurve_vol(Currency("GBP", name="GBP"), "1y", "1y",
"1y", 0)
assert_series_equal(tm._extract_series_from_df(df, QueryType.MIDCURVE_VOL),
actual)
replace.restore()
def test_currency_to_tdapi_midcurve_asset():
replace = Replacer()
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = 'ZAR'
asset = Currency('MA1', 'ZAR')
assert tm_rates._currency_to_tdapi_midcurve_asset(asset) == 'MA1'
replace.restore()
def test_swaption_atmFwdRate_return_data():
replace = Replacer()
test_data = dict(atmFwdRate=[1, 2, 3])
df = MarketDataResponseFrame(
data=test_data,
index=[dt.date(2019, 1, 1),
dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets',
Mock(),
Mock()).return_value = ["MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date',
Mock(),
Mock()).return_value = [dt.date(2019, 1, 2),
dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed',
Mock()).return_value = df
actual = tm_rates.swaption_atm_fwd_rate(Currency("GBP", name="GBP"))
assert_series_equal(tm._extract_series_from_df(df, QueryType.ATM_FWD_RATE),
actual)
replace.restore()
def test_currency_to_tdapi_swaption_rate_asset_retuns_throws():
replace = Replacer()
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "ZAR"
asset = Currency("MA1", "ZAR")
assert _currency_to_tdapi_swaption_rate_asset(asset) == "MA1"
def test_swaption_swaption_vol_term2_throws():
with pytest.raises(NotImplementedError):
tm_rates.swaption_vol_term(Currency("GBP", name="GBP"),
tm.SwaptionTenorType.SWAP_MATURITY,
'5y',
0,
real_time=True)
def test_swaption_premium_throws_for_unsupported_ccy():
replace = Replacer()
replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock()).return_value = "ZAR"
with pytest.raises(NotImplementedError):
tm_rates.swaption_premium(Currency("KRW", name="KRW"))
replace.restore()
def test_swaption_vol2_return__empty_data():
replace = Replacer()
df = ExtendedSeries()
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2019, 1, 2), dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
actual = tm_rates.swaption_vol(Currency("GBP", name="GBP"))
assert_series_equal(ExtendedSeries(), actual)
replace.restore()
def test_swaption_vol_smile2_returns_no_data():
replace = Replacer()
df = ExtendedSeries()
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"), '3m', '10y')
assert_series_equal(ExtendedSeries(), actual)
replace.restore()
def test_swaption_swaption_vol_term2_returns_data():
replace = Replacer()
df = MarketDataResponseFrame(
data=dict(expirationTenor=['1m', '6m', '1y'], terminationTenor=['1y', '2y', '3y'], swaptionVol=[1, 2, 3]),
index=_index * 3)
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.SWAP_MATURITY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2019-02-01', '2019-07-01', '2020-01-01']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.OPTION_EXPIRY, '5y', 0)
expected = pd.Series([1, 2, 3], index=pd.to_datetime(['2020-01-01', '2021-01-01', '2021-12-31']))
assert_series_equal(expected, pd.Series(actual), check_names=False)
replace.restore()
def test_swaption_swaption_vol_term2_returns_empty():
replace = Replacer()
df = ExtendedSeries()
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_term(Currency("GBP", name="GBP"), tm.SwaptionTenorType.SWAP_MATURITY, '5y', 0)
assert_series_equal(ExtendedSeries(), actual, check_names=False)
replace.restore()
def test_swaption_premium_return_data():
replace = Replacer()
test_data = dict(swaptionPremium=[1, 2, 3])
df = MarketDataResponseFrame(data=test_data, index=[dt.date(2019, 1, 1), dt.date(2019, 1, 2),
dt.date(2019, 1, 3)])
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(),
Mock()).return_value = "MADWG3WHCKNE1DJA"
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2019, 1, 2), dt.date(2019, 1, 5)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
actual = tm_rates.swaption_premium(Currency("GBP", name="GBP"))
assert_series_equal(tm._extract_series_from_df(df, QueryType.SWAPTION_PREMIUM), actual)
replace.restore()
def test_swaption_vol_smile2_returns_data():
replace = Replacer()
test_data = dict(strikeRelative=["ATM", "ATM+50", "ATM+100"], swaptionVol=[1, 2, 3])
df = MarketDataResponseFrame(data=test_data, index=_index * 3)
replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock()).return_value = "GBP"
replace('gs_quant.timeseries.measures_rates._get_tdapi_rates_assets', Mock(), Mock()).return_value = [
"MADWG3WHCKNE1DJA", "MAH6JK3TZJJGFQ65"]
replace('gs_quant.timeseries.measures_rates._range_from_pricing_date', Mock(), Mock()).return_value = [
dt.date(2020, 1, 2), dt.date(2020, 1, 2)]
replace('gs_quant.timeseries.measures_rates._market_data_timed', Mock()).return_value = df
with DataContext('2019-01-01', '2025-01-01'):
actual = tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"), '3m', '10y')
assert_series_equal(pd.Series([1, 2, 3], index=[0.0, 50.0, 100.0]), pd.Series(actual))
replace.restore()
def test_currency_to_tdapi_swaption_rate_asset_retuns_asset_id(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
with tm.PricingContext(dt.date.today()):
cur = [{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"swaption_id": "MATT7CA7PRA4B8YB"
}, {
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"swaption_id": "MAX2SBXZRPYR3NTY"
}, {
"currency_assetId": "MAPSDDS072PHYMVQ",
"currency": "AUD",
"swaption_id": "MAQHSC1PAF4X5H4B"
}, {
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"swaption_id": "MAZB3PAH8JFVVT80"
}, {
"currency_assetId": "MAZ7RWC904JYHYPS",
"currency": "USD",
"swaption_id": "MAY0X3KRD4AN77E2"
}]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_swaption_rate_asset(asset)
assert mqid == c.get("swaption_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_swaption_rate_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currency_to_tdapi_inflation_swap_rate_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace(
'gs_quant.timeseries.measures_inflation.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"inflation_id": "MA1CENMCA88VXJ28"
}, {
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"inflation_id": "MAW75DV9777630QN"
}, {
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"inflation_id": "MAJTD8XDA8EJZYRG"
}, {
"currency_assetId": "MAZ7RWC904JYHYPS",
"currency": "USD",
"inflation_id": "MA4016GCT3MDRYVY"
}]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_inflation_swap_rate_asset(asset)
assert mqid == c.get("inflation_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_inflation_swap_rate_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currencypair_to_tdapi_fxo_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace(
'gs_quant.timeseries.measures_fx_vol.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [
{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "USDJPY",
"id": "MAW3BZY6KFQ6TP95"
},
{
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBPUSD",
"id": "MA7F5P92330NGKAR"
},
{
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EURUSD",
"id": "MASN9J5N0H418Y6A"
},
]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currencypair_to_tdapi_fxo_asset(asset)
assert mqid == c.get("id")
bbid_mock.return_value = None
assert _currencypair_to_tdapi_fxo_asset(asset) == c.get(
"currency_assetId")
replace.restore()
def test_currency_to_tdapi_xccy_swap_rate_asset(mocker):
replace = Replacer()
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_get', side_effect=mock_request)
mocker.patch.object(SecurityMaster, 'get_asset', side_effect=mock_request)
bbid_mock = replace('gs_quant.timeseries.measures_xccy.Asset.get_identifier', Mock())
with tm_rates.PricingContext(dt.date.today()):
cur = [
{
"currency_assetId": "MAK1FHKH5P5GJSHH",
"currency": "JPY",
"xccy_id": "MAFMW4HJC5TDE51H"
},
{
"currency_assetId": "MA66CZBQJST05XKG",
"currency": "GBP",
"xccy_id": "MATDD783JM1C2GGD"
},
{
"currency_assetId": "MAJNQPFGN1EBDHAE",
"currency": "EUR",
"xccy_id": "MAW8SAXPSKYA94E2"
},
]
for c in cur:
print(c)
asset = Currency(c.get("currency_assetId"), c.get("currency"))
bbid_mock.return_value = c.get("currency")
mqid = _currency_to_tdapi_crosscurrency_swap_rate_asset(asset)
assert mqid == c.get("xccy_id")
bbid_mock.return_value = None
assert _currency_to_tdapi_crosscurrency_swap_rate_asset(asset) == c.get("currency_assetId")
replace.restore()
def test_swaption_premium_throws_for_unsupported_ccy():
with pytest.raises(NotImplementedError):
tm_rates.swaption_premium(Currency("KRW", name="KRW"))
def test_swaption_premium_throws_for_realtime():
with pytest.raises(NotImplementedError):
tm_rates.swaption_premium(Currency("GBP", name="GBP"), real_time=True)
def test_swaption_vol_smile2_returns_throws():
with pytest.raises(NotImplementedError):
tm_rates.swaption_vol_smile(Currency("GBP", name="GBP"),
"1m",
"1m",
real_time=True)
def test_inflation_swap_term(mocker):
replace = Replacer()
args = dict(forward_tenor='1y',
pricing_date='0d',
clearing_house=_ClearingHouse.LCH,
real_time=False)
class ObjectView(object):
def __init__(self, d):
self.__dict__ = d
holidays = replace('gs_quant.datetime.GsCalendar.get', Mock(holidays=[]))
holidays.return_value = ObjectView({'holidays': []})
bd_calendar = replace(
'gs_quant.timeseries.measures_inflation._get_custom_bd', Mock())
bd_calendar.return_value = CustomBusinessDay()
pricing_date_mock = replace(
'gs_quant.timeseries.measures_inflation._range_from_pricing_date',
Mock())
pricing_date_mock.return_value = [dt.date(2019, 1, 1), dt.date(2019, 1, 1)]
mock_nok = Currency('MA891', 'PLN')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'ACU'
args['asset'] = mock_nok
with pytest.raises(NotImplementedError):
tm.inflation_swap_term(**args)
mock_usd = Currency('MAZ7RWC904JYHYPS', 'USD')
args['asset'] = mock_usd
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'USD'
args['real_time'] = True
with pytest.raises(NotImplementedError):
tm.inflation_swap_term(**args)
args['real_time'] = False
args['forward_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.inflation_swap_term(**args)
args['forward_tenor'] = '1y'
bd_mock = replace('gs_quant.data.dataset.Dataset.get_data', Mock())
bd_mock.return_value = pd.DataFrame(data=dict(date="2020-04-10",
exchange="NYC",
description="Good Friday"),
index=[pd.Timestamp('2020-04-10')])
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'USD'
identifiers_empty = replace(
'gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
identifiers_empty.return_value = {}
with pytest.raises(MqValueError):
tm.inflation_swap_term(**args)
identifiers = replace(
'gs_quant.timeseries.measures.GsAssetApi.get_many_assets', Mock())
mock_asset = Currency('USD', name='USD')
mock_asset.id = 'MAEMPCXQG3T716EX'
mock_asset.exchange = 'OTC'
identifiers.return_value = [mock_asset]
d = {
'terminationTenor': ['1y', '2y', '3y', '4y'],
'swapRate': [1, 2, 3, 4],
'assetId': [
'MAEMPCXQG3T716EX', 'MAFRSWPAF5QPNTP2', 'MA88BXZ3TCTXTFW1',
'MAC4KAG9B9ZAZHFT'
]
}
bd_mock.return_value = pd.DataFrame()
market_data_mock = replace(
'gs_quant.timeseries.measures_inflation._get_inflation_swap_data',
Mock())
market_data_mock.return_value = pd.DataFrame()
df = pd.DataFrame(data=d, index=_index * 4)
actual = tm.inflation_swap_term(**args)
assert actual.empty
series_apply_mock = replace(
'gs_quant.timeseries.measures_inflation.pd.Series.apply', Mock())
series_apply_mock.return_value = pd.Series([
dt.date(2022, 3, 30),
dt.date(2023, 3, 30),
dt.date(2024, 3, 30),
dt.date(2025, 3, 30)
],
index=df.index)
market_data_mock.return_value = df
with DataContext('2019-01-01', '2026-01-01'):
actual = tm.inflation_swap_term(**args)
actual.dataset_ids = _test_datasets
expected = tm.ExtendedSeries([1, 2, 3, 4],
index=[
dt.date(2022, 3, 30),
dt.date(2023, 3, 30),
dt.date(2024, 3, 30),
dt.date(2025, 3, 30)
])
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual, check_names=False)
assert actual.dataset_ids == expected.dataset_ids
args['location'] = PricingLocation.NYC
with DataContext('2019-01-01', '2026-01-01'):
tm.inflation_swap_term(**args)
holidays.return_value = ObjectView({'holidays': ['0d']})
with pytest.raises(MqValueError):
tm.inflation_swap_term(**args)
replace.restore()
def test_inflation_swap_rate(mocker):
replace = Replacer()
args = dict(swap_tenor='5y',
index_type='UKRPI',
clearing_house='LCH',
forward_tenor='5y',
real_time=False)
mock_gbp = Currency('MA26QSMPX9990G66', 'GBP')
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBP'
args['swap_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.inflation_swap_rate(**args)
args['swap_tenor'] = '5y'
args['forward_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.inflation_swap_rate(**args)
args['forward_tenor'] = '5y'
args['real_time'] = True
with pytest.raises(NotImplementedError):
tm.inflation_swap_rate(**args)
args['real_time'] = False
args['asset'] = Currency('MA666', 'AED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'AED'
with pytest.raises(NotImplementedError):
tm.inflation_swap_rate(**args)
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBP'
args['index_type'] = tm.InflationIndexType.TESTCPI
with pytest.raises(MqValueError):
tm.inflation_swap_rate(**args)
args['index_type'] = tm.InflationIndexType.UKRPI
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'GBP'
identifiers = replace(
'gs_quant.timeseries.measures_inflation._get_tdapi_inflation_rates_assets',
Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi,
'get_market_data',
return_value=mock_curr(None, None))
actual = tm.inflation_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='swapRate')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier',
Mock())
xrefs.return_value = 'EUR'
identifiers = replace(
'gs_quant.timeseries.measures_inflation._get_tdapi_inflation_rates_assets',
Mock())
identifiers.return_value = {'MAZBW57ZPS54ET7K'}
mocker.patch.object(GsDataApi,
'get_market_data',
return_value=mock_curr(None, None))
args['asset'] = Currency('MAZBW57ZPS54ET7K', 'EUR')
args['index_type'] = 'FRCPXTOB'
actual = tm.inflation_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='swapRate')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
replace.restore()
def test_crosscurrency_swap_rate(mocker):
replace = Replacer()
args = dict(swap_tenor='5y', rateoption_type='LIBOR', clearing_house='LCH', forward_tenor='5y', real_time=False)
mock_gbp = Currency('MA26QSMPX9990G66', 'GBP')
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
xrefs = replace('gs_quant.timeseries.measures.SecurityMaster.get_asset', Mock())
mock_usd = Currency('MA26QSMPX9990G63', 'USD')
xrefs.return_value = mock_usd
args['swap_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['swap_tenor'] = '5y'
args['forward_tenor'] = '5yr'
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['forward_tenor'] = '5y'
args['real_time'] = True
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['real_time'] = False
args['asset'] = Currency('MA666', 'AED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'AED'
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = mock_gbp
args['asset'] = Bond('MA667', 'TEST')
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = mock_gbp
args['asset'] = Cross('MA667', 'USDAED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.side_effect = ['AED', 'USD']
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = Cross('MA667', 'USDAED')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.side_effect = ['USD', 'AED']
with pytest.raises(NotImplementedError):
tm.crosscurrency_swap_rate(**args)
args['asset'] = Cross('MA667', 'USDGBP')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
xrefs = replace('gs_quant.timeseries.measures_xccy._check_crosscurrency_rateoption_type', Mock())
xrefs.side_effect = [tm.CrossCurrencyRateOptionType.LIBOR, tm.CrossCurrencyRateOptionType.OIS]
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
replace.restore()
xrefs = replace('gs_quant.timeseries.measures.SecurityMaster.get_asset', Mock())
xrefs.return_value = mock_usd
args['asset'] = Cross('MA667', 'USDGBP')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['asset'] = Cross('MA667', 'USDCAD')
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'CAD'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
args['asset'] = mock_gbp
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
args['rateoption_type'] = tm.CrossCurrencyRateOptionType.TestRateOption
with pytest.raises(MqValueError):
tm.crosscurrency_swap_rate(**args)
args['rateoption_type'] = tm.CrossCurrencyRateOptionType.LIBOR
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'GBP'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MA26QSMPX9990G66'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
xrefs = replace('gs_quant.timeseries.measures.Asset.get_identifier', Mock())
xrefs.return_value = 'EUR'
identifiers = replace('gs_quant.timeseries.measures_xccy._get_tdapi_crosscurrency_rates_assets', Mock())
identifiers.return_value = {'MAZBW57ZPS54ET7K'}
mocker.patch.object(GsDataApi, 'get_market_data', return_value=mock_curr(None, None))
args['asset'] = Currency('MAZBW57ZPS54ET7K', 'EUR')
args['rateoption_type'] = 'OIS'
actual = tm.crosscurrency_swap_rate(**args)
expected = tm.ExtendedSeries([1, 2, 3], index=_index * 3, name='xccySwapSpread')
expected.dataset_ids = _test_datasets
assert_series_equal(expected, actual)
assert actual.dataset_ids == _test_datasets
replace.restore()
