Chore: Make release 1.0.66

goldmansachs · Mar 5, 2024 · 85e02dd · 85e02dd
1 parent 2271c53
commit 85e02dd
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Showing 6 changed files with 97 additions and 38 deletions.
diff --git a/...k/01_scenarios_and_contexts/examples/07_curve_overlay/010700_discount_curve_overlay.ipynb b/...k/01_scenarios_and_contexts/examples/07_curve_overlay/010700_discount_curve_overlay.ipynb
@@ -10,7 +10,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 1,
+   "execution_count": null,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -23,7 +23,7 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 2,
+   "execution_count": null,
    "metadata": {},
    "outputs": [],
    "source": [
@@ -33,17 +33,9 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 3,
+   "execution_count": null,
    "metadata": {},
-   "outputs": [
-    {
-     "name": "stdout",
-     "output_type": "stream",
-     "text": [
-      "Original price: 605,255.51\n"
-     ]
-    }
-   ],
+   "outputs": [],
    "source": [
     "# Create and price a swaption\n",
     "swaption = IRSwaption('Pay', '5y', 'USD', expiration_date='3m')\n",
@@ -68,20 +60,13 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 4,
+   "execution_count": null,
    "metadata": {},
-   "outputs": [
-    {
-     "name": "stdout",
-     "output_type": "stream",
-     "text": [
-      "Scenario price: 635,392.60\n"
-     ]
-    }
-   ],
+   "outputs": [],
    "source": [
     "import pandas as pd\n",
-    "\n",
+    "from gs_quant.markets import PricingContext\n",
+    "from gs_quant.common import MarketBehaviour\n",
     "# Read discount factors from a csv file\n",
     "df = pd.read_csv (r'CurveExample.csv', sep=\",\" )\n",
     "dates = df.MaturityDate.tolist()\n",
@@ -95,16 +80,24 @@
     "    csa_term = \"USD-SOFR\",\n",
     "    curve_type = \"Discount Curve\"\n",
     ")\n",
-    "with curve_overlay_scenario:\n",
-    "    price_with_overlay = swaption.price()\n",
-    "\n",
-    "print('Scenario price: {:,.2f}'.format(price_with_overlay))"
+    "with PricingContext(market_behaviour=MarketBehaviour.Calibrated):\n",
+    "    with curve_overlay_scenario:\n",
+    "        price_with_overlay = swaption.price()\n",
+    "p = price_with_overlay.result()\n",
+    "print('Scenario price: {:,.2f}'.format(p))"
    ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
   }
  ],
  "metadata": {
   "kernelspec": {
-   "display_name": "Python 3",
+   "display_name": "Python 3 (ipykernel)",
    "language": "python",
    "name": "python3"
   },
@@ -118,7 +111,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.7.1"
+   "version": "3.10.10"
   }
  },
  "nbformat": 4,

diff --git a/gs_quant/risk/results.py b/gs_quant/risk/results.py
@@ -127,7 +127,10 @@ def _value_for_date(result: Union[DataFrameWithInfo, SeriesWithInfo], date: Unio
     if result.empty:
         return result
 
-    raw_value = result.loc[date]
+    # if the result is a dataframe try to preserve the type
+    # if a dataframe has only 1 row selected it otherwise gets turned into a series
+    raw_value = result.loc[[date]] if isinstance(result, DataFrameWithInfo) and isinstance(date, dt.date) \
+        else result.loc[date]
     key = result.risk_key
 
     risk_key = RiskKey(

diff --git a/gs_quant/session.py b/gs_quant/session.py
@@ -190,7 +190,8 @@ def init(self):
             self._session.headers.update({'X-Application': self.application})
             self._session.headers.update({'X-Version': self.application_version})
             self._authenticate()
-            self.post_to_activity_service()
+            if self.domain == Domain.APP:
+                self.post_to_activity_service()
 
     def close(self):
         self._session: requests.Session
@@ -527,12 +528,15 @@ def post_to_activity_service(self):
         params = {'featureApplication': self.application,
                   'gsQuantVersion': self.application_version,
                   'pythonVersion': f'{sys.version_info.major}.{sys.version_info.minor}'}
-        self._session.post(f'{self.domain}/{self.api_version}/activities',
-                           verify=self.verify,
-                           headers={'Content-Type': 'application/json; charset=utf-8'},
-                           data=json.dumps({'action': 'Initiated', 'kpis': [{'id': 'gsqInitiated', 'value': 1}],
-                                            'resource': 'GSQuant',
-                                            'parameters': params}))
+        try:
+            self._session.post(f'{self.domain}/{self.api_version}/activities',
+                               verify=self.verify,
+                               headers={'Content-Type': 'application/json; charset=utf-8'},
+                               data=json.dumps({'action': 'Initiated', 'kpis': [{'id': 'gsqInitiated', 'value': 1}],
+                                                'resource': 'GSQuant',
+                                                'parameters': params}))
+        except Exception:
+            pass
 
     @classmethod
     def get(

diff --git a/gs_quant/target/workflow_quote.py b/gs_quant/target/workflow_quote.py
@@ -248,6 +248,7 @@ class WorkflowPosition(Base):
     description: Optional[str] = field(default=None, metadata=field_metadata)
     entitlements: Optional[WorkflowEntitlements] = field(default=None, metadata=field_metadata)
     creator: Optional[str] = field(default=None, metadata=field_metadata)
+    originating_system: Optional[str] = field(default=None, metadata=field_metadata)
     is_read_only: Optional[bool] = field(default=None, metadata=field_metadata)
     name: Optional[str] = field(default=None, metadata=name_metadata)
 

diff --git a/gs_quant/test/calc_cache/request1d4539a3acd22c90869eab6aa89349e3.json b/gs_quant/test/calc_cache/request1d4539a3acd22c90869eab6aa89349e3.json
@@ -0,0 +1,50 @@
+[
+  [
+    [
+      [
+        {
+          "$type": "RiskVector",
+          "points": [
+            {
+              "path": "",
+              "type": "CMD NRG",
+              "asset": "WTI",
+              "class_": "FUTURE",
+              "point": "Z24",
+              "quoteStyle": "Price"
+            }
+          ],
+          "asset": [
+            -1630.8292216583252
+          ],
+          "calculationTime": 2170,
+          "queueingTime": -10164
+        }
+      ]
+    ]
+  ],
+  [
+    [
+      [
+        {
+          "$type": "RiskVector",
+          "points": [
+            {
+              "path": "",
+              "type": "CMD NRG",
+              "asset": "WTI",
+              "class_": "FUTURE",
+              "point": "Z24",
+              "quoteStyle": "Price"
+            }
+          ],
+          "asset": [
+            -1630.8292216583252
+          ],
+          "calculationTime": 2170,
+          "queueingTime": -10164
+        }
+      ]
+    ]
+  ]
+]
diff --git a/gs_quant/test/risk/test_results.py b/gs_quant/test/risk/test_results.py
@@ -19,7 +19,7 @@
 import gs_quant.risk as risk
 import numpy as np
 import pytest
-from gs_quant.instrument import IRSwap, IRBasisSwap, IRSwaption, FXMultiCrossBinary, FXMultiCrossBinaryLeg
+from gs_quant.instrument import IRSwap, IRBasisSwap, IRSwaption, FXMultiCrossBinary, FXMultiCrossBinaryLeg, CommodSwap
 from gs_quant.markets import HistoricalPricingContext, PricingContext, CloseMarket, MarketDataCoordinate
 from gs_quant.markets.portfolio import Portfolio
 from gs_quant.risk import MultiScenario, ResolvedInstrumentValues
@@ -70,12 +70,14 @@ def get_attributes(p, risks, ctx='PricingCtx1', resolve=False, no_frame=False):
 swap_6 = IRSwap("Pay", "10y", "GBP", fixed_rate=-0.005, name="10y")
 swap_7 = IRSwap("Pay", "5y", "JPY", fixed_rate=-0.005, name="5y")
 swap_8 = IRSwap("Pay", "10y", "JPY", fixed_rate=-0.005, name="10y")
+commod_swap = CommodSwap(name="Test")
 eur_port = Portfolio([swap_1, swap_2], name="EUR")
 usd_port = Portfolio([swap_3, swap_4], name="USD")
 gbp_port = Portfolio([swap_5, swap_6], name="GBP")
 jpy_port = Portfolio([swap_7, swap_8], name='JPY')
 port1 = Portfolio([eur_port, gbp_port], name='EURGBP')
 port2 = Portfolio([jpy_port, usd_port], name='USDJPY')
+commod_port = Portfolio([commod_swap])
 port = Portfolio([port1, port2])
 swaption_port = Portfolio([IRSwaption("Receive", '5y', 'USD', expiration_date='2m', strike='atm', name='Swaption1'),
                            IRSwaption("Receive", '10y', 'USD', expiration_date='3m', strike='atm', name='Swaption2')])
@@ -302,6 +304,7 @@ def test_bucketed_risks(mocker):
         _, res4, frame4 = get_attributes(port1, risk.IRDelta, 'Multiple')
         _, res5, frame5 = get_attributes(bs_port, risk.IRBasis(aggregation_level=AggregationLevel.Asset))
         _, res6, frame6 = get_attributes(jpy_port, risk.IRBasis(aggregation_level=AggregationLevel.Asset), 'Multiple')
+        _, res7, frame7 = get_attributes(commod_port, risk.CommodDelta, "Multiple")
 
     def check_depth(res, f, with_dates=''):
         temp_res = list(res)[0].drop('value', axis=1)
@@ -316,13 +319,15 @@ def check_depth(res, f, with_dates=''):
     check_depth(res4, frame4, 'dated')
     check_depth(res5, frame5)
     check_depth(res6, frame6, 'dated')
+    check_depth(res7, frame7, 'dated')
 
     default_pivot_table_test(res1, 'has_bucketed')
     default_pivot_table_test(res2, 'has_bucketed')
     default_pivot_table_test(res3, 'has_bucketed')
     default_pivot_table_test(res4, 'has_bucketed')
     default_pivot_table_test(res5, 'has_bucketed')
     default_pivot_table_test(res6, 'has_bucketed')
+    default_pivot_table_test(res7, 'has_bucketed')
 
     # test slicing
     # slice one portfolio
@@ -349,6 +354,9 @@ def filter_lambda(x):
     manual_agg_f6 = frame6.loc[frame6.apply(filter_lambda, axis=1)]['value'].values.sum()
     np.testing.assert_almost_equal(filter_agg_r6, manual_agg_f6, 8)
 
+    assert isinstance(res7[date(2020, 1, 14)].result().futures[0].result(), DataFrameWithInfo)
+    assert res7[date(2020, 1, 14)].to_frame()["mkt_type"][0] == "CMD NRG"
+
 
 def test_cashflows_risk(mocker):
     with MockCalc(mocker):