Fix types in target classes fields, support irswaption scale_in_place (…

…#274)

Co-authored-by: Tan, Rachel Wei Swin [GMD] <RachelWeiSwin.Tan@ln.email.gs.com>

gs_quant/api/fred/data.py

@@ -75,7 +75,7 @@ def build_query(
         """
 
         if start is not None and end is not None:
-            if type(start) != type(end):
+            if type(start) is not type(end):
                 raise ValueError('Start and end types must match!')
 
         request = FredQuery(observation_start=start, observation_end=end, realtime_end=as_of, realtime_start=since)

gs_quant/api/gs/risk.py

@@ -26,7 +26,7 @@
 from typing import Iterable, Optional, Union
 
 import msgpack
-from opentracing import Format, Span
+from opentracing import Span
 
 from gs_quant.api.risk import RiskApi
 from gs_quant.risk import RiskRequest
@@ -63,7 +63,6 @@ def calc(cls, request: RiskRequest) -> Iterable:
     def _exec(cls, request: Union[RiskRequest, Iterable[RiskRequest]]) -> Union[Iterable, dict]:
         use_msgpack = cls.USE_MSGPACK and not isinstance(request, RiskRequest)
         headers = {'Content-Type': 'application/x-msgpack'} if use_msgpack else {}
-        Tracer.inject(Format.HTTP_HEADERS, headers)
         result, request_id = GsSession.current._post(cls.__url(request),
                                                      request,
                                                      request_headers=headers,

gs_quant/backtests/data_handler.py

@@ -75,6 +75,6 @@ def get_data(self, state: Union[dt.date, dt.datetime], *key):
 
     def get_data_range(self, start: Union[dt.date, dt.datetime], end: Union[dt.date, dt.datetime], *key):
         self._clock.time_check(end)
-        if type(start) != type(end):
+        if type(start) is not type(end):
             raise RuntimeError('expect same type for start and end when asking for data range')
         return self._data_mgr.get_data_range(self._utc_time(start), self._utc_time(end), *key)

gs_quant/base.py

@@ -584,11 +584,6 @@ class CustomComments(Base, ABC):
     pass
 
 
-@dataclass
-class HedgeTypes(Base):
-    pass
-
-
 def get_enum_value(enum_type: EnumMeta, value: Union[EnumBase, str]):
     if value in (None,):
         return None
@@ -627,8 +622,5 @@ def get_enum_value(enum_type: EnumMeta, value: Union[EnumBase, str]):
 global_config.decoders[Optional[Tuple[QuoteReport, ...]]] = decode_quote_reports
 global_config.decoders[CustomComments] = decode_custom_comment
 global_config.decoders[Optional[Tuple[CustomComments, ...]]] = decode_custom_comments
-global_config.decoders[Optional[HedgeTypes]] = decode_hedge_type
-global_config.decoders[HedgeTypes] = decode_hedge_type
-global_config.decoders[Optional[Tuple[HedgeTypes, ...]]] = decode_hedge_types
 global_config.encoders[Market] = encode_dictable
 global_config.encoders[Optional[Market]] = encode_dictable

gs_quant/common.py

@@ -57,14 +57,6 @@ def _missing_(cls, key):
         return cls.Receive if key.lower() in ('receive', 'receiver') else super()._missing_(key)
 
 
-class MarketBehaviour(EnumBase, Enum):
-
-    """ContraintsBased or Calibrated"""
-
-    ContraintsBased = 'ContraintsBased'
-    Calibrated = 'Calibrated'
-
-
 class RiskMeasure(__RiskMeasure):
 
     def __lt__(self, other):

gs_quant/models/risk_model.py

@@ -916,7 +916,7 @@ def upload_data(self,
         In the case of repeat identifiers on a given data, the repeated data will replace existing data
         """
 
-        data = data.as_dict() if type(data) == RiskModelData else data
+        data = data.as_dict() if type(data) is RiskModelData else data
         full_data_present = 'factorData' in data.keys() and 'assetData' in data.keys()
         only_factor_data_present = only_factor_data_is_present(self.type, data)
         target_universe_size = 0 if only_factor_data_present else get_universe_size(data)

gs_quant/session.py

@@ -34,6 +34,7 @@
 import requests.adapters
 import requests.cookies
 import urllib3
+from opentracing import Format
 from opentracing.tags import HTTP_URL, HTTP_METHOD, HTTP_STATUS_CODE
 
 from gs_quant import version as APP_VERSION
@@ -251,6 +252,8 @@ def _build_request_params(
             if request_headers:
                 headers.update(request_headers)
 
+            Tracer.inject(Format.HTTP_HEADERS, headers)
+
             if 'Content-Type' not in headers:
                 headers.update({'Content-Type': 'application/json; charset=utf-8'})
 

gs_quant/target/groups.py

@@ -49,6 +49,20 @@ class UserCoverage(Base):
     guid: Optional[str] = field(default=None, metadata=field_metadata)
 
 
+@handle_camel_case_args
+@dataclass_json(letter_case=LetterCase.CAMEL)
+@dataclass(unsafe_hash=True, repr=False)
+class UserTag(Base):
+    name: str = field(default=None, metadata=field_metadata)
+    added_on: Optional[datetime.datetime] = field(default=None, metadata=field_metadata)
+    added_by_id: Optional[str] = field(default=None, metadata=field_metadata)
+    removed: Optional[bool] = field(default=None, metadata=field_metadata)
+    removed_on: Optional[datetime.datetime] = field(default=None, metadata=field_metadata)
+    removed_by_id: Optional[str] = field(default=None, metadata=field_metadata)
+    removal_reason: Optional[str] = field(default=None, metadata=field_metadata)
+    category: Optional[str] = field(default=None, metadata=field_metadata)
+
+
 @handle_camel_case_args
 @dataclass_json(letter_case=LetterCase.CAMEL)
 @dataclass(unsafe_hash=True, repr=False)

gs_quant/target/hedge.py

@@ -77,6 +77,14 @@ class HedgerConstraintPrioritySetting(EnumBase, Enum):
     _5 = '5'    
 
 
+class SamplingPeriod(EnumBase, Enum):    
+
+    """The length of time in between return samples."""
+
+    Daily = 'Daily'
+    Weekly = 'Weekly'    
+
+
 @handle_camel_case_args
 @dataclass_json(letter_case=LetterCase.CAMEL)
 @dataclass(unsafe_hash=True, repr=False)
@@ -363,7 +371,7 @@ class PerformanceHedgeParameters(Base):
     observation_end_date: datetime.date = field(default=None, metadata=field_metadata)
     backtest_start_date: Optional[datetime.date] = field(default=None, metadata=field_metadata)
     backtest_end_date: Optional[datetime.date] = field(default=None, metadata=field_metadata)
-    sampling_period: Optional[str] = field(default='Weekly', metadata=field_metadata)
+    sampling_period: Optional[SamplingPeriod] = field(default=SamplingPeriod.Weekly, metadata=field_metadata)
     max_leverage: Optional[float] = field(default=None, metadata=field_metadata)
     percentage_in_cash: Optional[float] = field(default=None, metadata=field_metadata)
     explode_universe: Optional[bool] = field(default=None, metadata=field_metadata)

gs_quant/target/indices.py

@@ -464,6 +464,7 @@ class ISelectRequest(IndicesRebalanceInputTypes):
     index_parameters: Optional[Tuple[ISelectIndexParameter, ...]] = field(default=None, metadata=field_metadata)
     new_weights: Optional[Tuple[ISelectNewWeight, ...]] = field(default=None, metadata=field_metadata)
     new_units: Optional[Tuple[ISelectNewUnit, ...]] = field(default=None, metadata=field_metadata)
+    observation_date: Optional[str] = field(default=None, metadata=field_metadata)
     entry_type: Optional[str] = field(default=None, metadata=field_metadata)
     waiver_requested: Optional[bool] = field(default=None, metadata=field_metadata)
     presubmit: Optional[bool] = field(default=None, metadata=field_metadata)