Risk Package¶

Functions¶

aggregate_risk(results, threshold=None, allow_heterogeneous_types=False)[source]¶

Combine the results of multiple InstrumentBase.calc() calls, into a single result

Parameters:

results (Iterable[Union[DataFrameWithInfo, Future]]) – An iterable of Dataframes and/or Futures (returned by InstrumentBase.calc())
threshold (Optional[float]) – exclude values whose absolute value falls below this threshold
allow_heterogeneous_types (bool) – allow Series to be converted to DataFrames before aggregating

Return type:

DataFrame

Returns:

A Dataframe with the aggregated results

Examples

>>> from gs_quant.instrument import IRCap, IRFloor
>>> from gs_quant.markets import PricingContext
>>> from gs_quant.risk import IRDelta, IRVega
>>>
>>> cap = IRCap('5y', 'GBP')
>>> floor = IRFloor('5y', 'GBP')
>>> instruments = (cap, floor)
>>>
>>> with PricingContext():
>>>     delta_f = [inst.calc(IRDelta) for inst in instruments]
>>>     vega_f = [inst.calc(IRVega) for inst in (cap, floor)]
>>>
>>> delta = aggregate_risk(delta_f, threshold=0.1)
>>> vega = aggregate_risk(vega_f)

delta_f and vega_f are lists of futures, where the result will be a Dataframe delta and vega are Dataframes, representing the merged risk of the individual instruments

subtract_risk(left, right)[source]¶

Subtract bucketed risk. Dimensions must be identical

Parameters:

left (DataFrameWithInfo) – Results to substract from
right (DataFrameWithInfo) – Results to substract

Return type:

DataFrame

Examples

>>> from gs_quant.datetime.date import business_day_offset
>>> from gs_quant.instrument IRSwap
>>> from gs_quant.markets import PricingContext
>>> from gs_quant.risk import IRDelta
>>> import datetime as dt
>>>
>>> ir_swap = IRSwap('Pay', '10y', 'USD')
>>> delta_today = ir_swap.calc(IRDelta)
>>>
>>> with PricingContext(pricing_date=business_day_offset(dt.date.today(), -1, roll='preceding')):
>>>     delta_yday_f = ir_swap.calc(IRDelta)
>>>
>>> delta_diff = subtract_risk(delta_today, delta_yday_f.result())

sort_risk(df, by=('date', 'time', 'mkt_type', 'mkt_asset', 'mkt_class', 'mkt_point'))[source]¶

Sort bucketed risk

Parameters:

df (DataFrame) – Input Dataframe
by (Tuple[str, ...]) – Columns to sort by

Return type:

DataFrame

Returns:

A sorted Dataframe

Measures¶

DollarPrice = DollarPrice¶: Price of the instrument in US Dollars

Price(currency=None, name=None) = Price¶: Present Value

ForwardPrice = ForwardPrice¶: Price of the instrument at expiry in the local currency

Theta = Theta¶: Theta

BaseCPI = BaseCPI¶: Base CPI

CommodDelta = CommodDelta¶: Commod Delta

CommodTheta = CommodTheta¶: Commod Theta

CommodVega = CommodVega¶: Commod Vega

EqDelta(currency=None, name=None) = EqDelta¶: Change in Dollar Price (USD present value) due to individual 1% move in the spot price of underlying equity security

EqGamma(currency=None, name=None) = EqGamma¶: Change in EqDelta for a 1% move in the price of the underlying equity security

EqVega(currency=None, name=None) = EqVega¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the implied volatility of the underlying equity security

EqSpot = EqSpot¶: Equity Spot

EqAnnualImpliedVol = EqAnnualImpliedVol¶: Equity Annual Implied Volatility (%)

FairVarStrike = FairVarStrike¶: Fair Variance Strike Value of a Variance Swap

FairVolStrike = FairVolStrike¶: Fair Volatility Strike Value of a Variance Swap

FXDelta(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = FXDelta¶: Dollar Price sensitivity of the instrument to a move in the underlying spot such that dSpot * FXDelta = PnL

FXGamma = FXGamma¶: FXDelta sensitivity of the instrument to a move in the underlying spot such that dSpot * FXGamma = dDelta

FXVega(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = FXVega¶: Change in Dollar Price due to a 1 vol move in the implied volatility of ATM instruments used to build the volatility surface

FXSpot = FXSpot¶: FX spot reference

FXAnnualImpliedVol = FXAnnualImpliedVol¶: FX Annual Implied Volatility

FXAnnualATMImpliedVol = FXAnnualATMImpliedVol¶: FX Annual ATM Implied Volatility

InflationDelta(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = InflationDelta¶: Change in Price due to 1bp move in inflation curve.

InflationDeltaParallel(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = InflationDeltaParallel(aggregation_level:Type)¶: Change in Price due to 1bp move in inflation curve.

IRBasis(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRBasis¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the interest rate instruments used to build the basis curve(s)

IRDelta(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRDelta¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the interest rate instruments used to build the underlying discount curve

IRDeltaParallel(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRDeltaParallel(aggregation_level:Asset)¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the interest rate instruments used to build the underlying discount curve

IRDeltaLocalCcy(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRDeltaLocalCcy(currency:local)¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the interest rate instruments used to build the underlying discount curve

IRXccyDelta(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRXccyDelta¶: Change in Price due to 1bp move in cross currency rates.

IRXccyDeltaParallel(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRXccyDeltaParallel(aggregation_level:Type)¶: Change in Price due to 1bp move in cross currency rates.

IRGammaParallel = IRGammaParallel¶: Change in aggregated IRDelta for a aggregated 1bp shift in the interest rate instruments used to build the underlying discount curve

IRGammaParallelLocalCcy = IRGammaParallelLocalCcy¶: Interest Rate Parallel Gamma (Local Ccy)

IRVega(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRVega¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the implied volatility (IRAnnualImpliedVol) of instruments used to build the volatility surface

IRVegaParallel(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRVegaParallel(aggregation_level:Asset)¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the implied volatility (IRAnnualImpliedVol) of instruments used to build the volatility surface

IRVegaLocalCcy(aggregation_level=None, bump_size=None, currency=None, finite_difference_method=None, local_curve=None, mkt_marking_options=None, scale_factor=None, name=None) = IRVegaLocalCcy(currency:local)¶: Change in Dollar Price (USD present value) due to individual 1bp moves in the implied volatility (IRAnnualImpliedVol) of instruments used to build the volatility surface

IRAnnualImpliedVol = IRAnnualImpliedVol¶: Interest rate annual implied volatility (in percent)

IRAnnualATMImpliedVol = IRAnnualATMImpliedVol¶: Interest rate annual implied at-the-money volatility (in percent)

IRDailyImpliedVol = IRDailyImpliedVol¶: Interest rate daily implied volatility (in basis points)

IRSpotRate = IRSpotRate¶: Interest rate at-the-money spot rate (in percent)

IRFwdRate = IRFwdRate¶: Interest rate par rate (in percent)