gs_quant.markets.core.PricingContext

class PricingContext(pricing_date=None, market_data_location=None, is_async=None, is_batch=None, use_cache=None, visible_to_gs=None, request_priority=None, csa_term=None, timeout=None, market=None, show_progress=None, use_server_cache=None, market_behaviour='ContraintsBased', set_parameters_only=False)[source]

A context for controlling pricing and market data behaviour

__init__(pricing_date=None, market_data_location=None, is_async=None, is_batch=None, use_cache=None, visible_to_gs=None, request_priority=None, csa_term=None, timeout=None, market=None, show_progress=None, use_server_cache=None, market_behaviour='ContraintsBased', set_parameters_only=False)[source]

The methods on this class should not be called directly. Instead, use the methods on the instruments, as per the examples

Parameters:

  • pricing_date (Optional[date]) – the date for pricing calculations. Default is today

  • market_data_location (Union[PricingLocation, str, None]) – the location for sourcing market data (‘NYC’, ‘LDN’ or ‘HKG’ (defaults to LDN)

  • is_async (Optional[bool]) – if True, return (a future) immediately. If False, block (defaults to False)

  • is_batch (Optional[bool]) – use for calculations expected to run longer than 3 mins, to avoid timeouts. It can be used with is_async=True|False (defaults to False)

  • use_cache (Optional[bool]) – store results in the pricing cache (defaults to False)

  • visible_to_gs (Optional[bool]) – are the contents of risk requests visible to GS (defaults to False)

  • request_priority (Optional[int]) – the priority of risk requests

  • csa_term (Optional[str]) – the csa under which the calculations are made. Default is local ccy ois index

  • timeout (Optional[int]) – the timeout for batch operations

  • market (Optional[Market]) – a Market object

  • show_progress (Optional[bool]) – add a progress bar (tqdm)

  • use_server_cache (Optional[bool]) – cache query results on the GS servers

  • market_behaviour (Optional[str]) – the behaviour to build the curve for pricing (‘ContraintsBased’ or ‘Calibrated’ (defaults to ContraintsBased))

  • set_parameters_only (bool) – if true don’t stop embedded pricing contexts submitting their jobs.

Examples

To change the market data location of the default context:

>>> from gs_quant.markets import PricingContext
>>>
>>> PricingContext.current = PricingContext(market_data_location='LDN')

For a blocking, synchronous request:

>>> from gs_quant.instrument import IRCap
>>> cap = IRCap('5y', 'GBP')
>>>
>>> with PricingContext():
>>>     price_f = cap.dollar_price()
>>>
>>> price = price_f.result()

For an asynchronous request:

>>> with PricingContext(is_async=True):
>>>     price_f = cap.dollar_price()
>>>
>>> while not price_f.done:
>>>     ...

Methods

__init__([pricing_date, ...])

The methods on this class should not be called directly.

calc(instrument, risk_measure)

Calculate the risk measure for the instrument.

clone(**kwargs)

default_value()

rtype:

object

Attributes

active_context

csa_term

is_async

is_batch

is_current

is_entered

market

market_behaviour

market_data_location

pricing_date

Pricing date

request_priority

set_parameters_only

show_progress

timeout

use_cache

Cache results

use_server_cache

visible_to_gs

Request contents visible to GS