Chore: Make release 1.0.91

DitZii · Jun 28, 2024 · 51a7ff1 · 51a7ff1
1 parent 9f07207
commit 51a7ff1
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Showing 4 changed files with 81 additions and 12 deletions.
diff --git a/gs_quant/backtests/strategy_systematic.py b/gs_quant/backtests/strategy_systematic.py
@@ -31,7 +31,20 @@
 ISO_FORMAT = r"^([0-9]{4})-([0-9]{2})-([0-9]{2})$"
 
 
-class StrategySystematic:
+class StrategySystematicBase(metaclass=ABCMeta):
+    @abstractmethod
+    def backtest(
+            self,
+            start: datetime.date = None,
+            end: datetime.date = datetime.date.today() - datetime.timedelta(days=1),
+            is_async: bool = False,
+            measures: Iterable[FlowVolBacktestMeasure] = (FlowVolBacktestMeasure.ALL_MEASURES,),
+            correlation_id: str = None
+    ) -> Union[Backtest, BacktestResult]:
+        ...
+
+
+class StrategySystematic(StrategySystematicBase):
     """Equity back testing systematic strategy"""
 
     def __init__(self,

diff --git a/gs_quant/backtests/strategy_systematic_factory.py b/gs_quant/backtests/strategy_systematic_factory.py
@@ -0,0 +1,53 @@
+"""
+Copyright 2019 Goldman Sachs.
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+  http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing,
+software distributed under the License is distributed on an
+"AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+KIND, either express or implied.  See the License for the
+specific language governing permissions and limitations
+under the License.
+"""
+
+from typing import Union, Iterable, Tuple
+
+from gs_quant.backtests import TradeInMethod, StrategySystematic
+from gs_quant.common import Currency
+from gs_quant.instrument import EqOption, EqVarianceSwap, Instrument
+from gs_quant.target.backtests import BacktestTradingQuantityType, DeltaHedgeParameters, BacktestSignalSeriesItem, \
+    EquityMarketModel
+
+
+class StrategySystematicFactory:
+    @staticmethod
+    def get(underliers: Union[Instrument, Iterable[Instrument]],
+            quantity: float = 1,
+            quantity_type: Union[BacktestTradingQuantityType, str] = BacktestTradingQuantityType.notional,
+            trade_in_method: Union[TradeInMethod, str] = TradeInMethod.FixedRoll,
+            roll_frequency: str = None,
+            scaling_method: str = None,
+            index_initial_value: float = 0.0,
+            delta_hedge: DeltaHedgeParameters = None,
+            name: str = None,
+            cost_netting: bool = False,
+            currency: Union[Currency, str] = Currency.USD,
+            trade_in_signals: Tuple[BacktestSignalSeriesItem, ...] = None,
+            trade_out_signals: Tuple[BacktestSignalSeriesItem, ...] = None,
+            market_model: Union[EquityMarketModel, str] = EquityMarketModel.SFK,
+            roll_date_mode: str = None,
+            expiry_date_mode: str = None,
+            cash_accrual: bool = True):
+        supported_eq_inst = (EqOption, EqVarianceSwap)
+        if (isinstance(underliers, Instrument) and isinstance(underliers, supported_eq_inst)) or \
+                isinstance(underliers, Iterable) and all(isinstance(u, supported_eq_inst) for u in underliers):
+            return StrategySystematic(underliers, quantity, quantity_type, trade_in_method, roll_frequency,
+                                      scaling_method, index_initial_value, delta_hedge, name, cost_netting,
+                                      currency, trade_in_signals, trade_out_signals, market_model, roll_date_mode,
+                                      expiry_date_mode, cash_accrual)
+        else:
+            raise NotImplementedError('StrategySystematic only implemented for equity underliers')
diff --git a/gs_quant/risk/result_handlers.py b/gs_quant/risk/result_handlers.py
@@ -18,11 +18,10 @@
 from typing import Iterable, Optional, Union
 
 from gs_quant.base import InstrumentBase, RiskKey
+from gs_quant.common import RiskMeasure, AssetClass, RiskMeasureType
 from gs_quant.risk.measures import PnlExplain
-
 from .core import DataFrameWithInfo, ErrorValue, UnsupportedValue, FloatWithInfo, SeriesWithInfo, StringWithInfo, \
     sort_values, MQVSValidatorDefnsWithInfo, MQVSValidatorDefn
-from gs_quant.common import RiskMeasure, AssetClass, RiskMeasureType
 
 _logger = logging.getLogger(__name__)
 
@@ -219,9 +218,13 @@ def fixing_table_handler(result: dict, risk_key: RiskKey, _instrument: Instrumen
 
 def simple_valtable_handler(result: dict, risk_key: RiskKey, _instrument: InstrumentBase,
                             request_id: Optional[str] = None) -> DataFrameWithInfo:
+    def get_value(value):
+        handler = result_handlers.get(value.get('$type'))
+        return handler(value, risk_key, _instrument, request_id)
+
     raw_res = result['rows']
     # simplevaltable's values contain all the information on units which needs to be extracted into the dataframe
-    df = DataFrameWithInfo([(res['label'], res['value']['val']) for res in raw_res], risk_key=risk_key,
+    df = DataFrameWithInfo([(res['label'], get_value(res['value'])) for res in raw_res], risk_key=risk_key,
                            request_id=request_id, unit=raw_res[0]['value'].get('unit'))
     df.columns = ['label', 'value']
     return df

diff --git a/gs_quant/target/instrument.py b/gs_quant/target/instrument.py
@@ -237,21 +237,21 @@ class EqAutoroll(Instrument):
 @dataclass_json(letter_case=LetterCase.CAMEL)
 @dataclass(unsafe_hash=True, repr=False)
 class EqBarrier(Instrument):
-    underlier: Optional[str] = field(default=None, metadata=field_metadata)
+    underlier: Optional[Union[float, str]] = field(default=None, metadata=field_metadata)
     buy_sell: Optional[BuySell] = field(default=None, metadata=field_metadata)
     option_type: Optional[OptionType] = field(default=None, metadata=field_metadata)
-    expiration_date: Optional[str] = field(default=None, metadata=field_metadata)
-    strike_price: Optional[float] = field(default=None, metadata=field_metadata)
-    barrier_start_date: Optional[str] = field(default=None, metadata=field_metadata)
-    barrier_end_date: Optional[str] = field(default=None, metadata=field_metadata)
-    barrier_level: Optional[float] = field(default=None, metadata=field_metadata)
+    expiration_date: Optional[Union[datetime.date, str]] = field(default=None, metadata=field_metadata)
+    strike_price: Optional[Union[float, str]] = field(default=None, metadata=field_metadata)
+    barrier_start_date: Optional[Union[datetime.date, str]] = field(default=None, metadata=field_metadata)
+    barrier_end_date: Optional[Union[datetime.date, str]] = field(default=None, metadata=field_metadata)
+    barrier_level: Optional[Union[float, str]] = field(default=None, metadata=field_metadata)
     knock_up_or_down: Optional[UpDown] = field(default=None, metadata=field_metadata)
     barrier_frequency: Optional[str] = field(default=None, metadata=field_metadata)
     knock_in_or_out: Optional[InOut] = field(default=None, metadata=field_metadata)
     number_of_options: Optional[float] = field(default=None, metadata=field_metadata)
     multiplier: Optional[float] = field(default=None, metadata=field_metadata)
-    premium: Optional[float] = field(default=None, metadata=field_metadata)
-    premium_settlement_date: Optional[str] = field(default=None, metadata=field_metadata)
+    premium: Optional[Union[float, str]] = field(default=None, metadata=field_metadata)
+    premium_settlement_date: Optional[Union[datetime.date, str]] = field(default=None, metadata=field_metadata)
     currency: Optional[str] = field(default=None, metadata=field_metadata)
     asset_class: Optional[AssetClass] = field(init=False, default=AssetClass.Equity, metadata=field_metadata)
     type_: Optional[AssetType] = field(init=False, default=AssetType.Barrier, metadata=config(field_name='type', exclude=exclude_none))