Processors

from gs_quant.analytics.datagrid import DataColumn, DataRow, DimensionsOverride, DataGrid
from gs_quant.analytics.processors import LastProcessor, EntityProcessor, CoordinateProcessor
from gs_quant.data import DataDimension
from gs_quant.data.coordinate import DataCoordinate, DataMeasure, DataFrequency
from gs_quant.markets.securities import AssetIdentifier, Asset
from gs_quant.session import GsSession

GsSession.use()

implied_volatility = DataCoordinate(
    measure=DataMeasure.IMPLIED_VOLATILITY,
    dimensions={
        DataDimension.TENOR: "3m",
        DataDimension.RELATIVE_STRIKE: 0.5,
        DataDimension.STRIKE_REFERENCE: "delta"
    },
    frequency=DataFrequency.DAILY,
)

col_1 = DataColumn(name="Name", processor=EntityProcessor(field="name"))
col_2 = DataColumn(name="Tenor", processor=CoordinateProcessor(implied_volatility, dimension=DataDimension.TENOR))
col_3 = DataColumn(name="IV ATM", processor=LastProcessor(implied_volatility))

columns = [col_1, col_2, col_3]

SPX = Asset.get("SPX", AssetIdentifier.BLOOMBERG_ID)

rows = [
    DataRow(SPX),
    DataRow(SPX, overrides=[
        DimensionsOverride(
            column_names=[col_2.name, col_3.name],
            dimensions={DataDimension.TENOR: "6m"},
            coordinate=implied_volatility
        )
    ]),
    DataRow(SPX, overrides=[
        DimensionsOverride(
            column_names=[col_2.name, col_3.name],
            dimensions={DataDimension.TENOR: "1y"},
            coordinate=implied_volatility
        )
    ])
]

datagrid = DataGrid(name="SPX Implied Vol by Tenor", rows=rows, columns=columns)
datagrid.initialize(), datagrid.poll()
print(datagrid.to_frame())

            Name Tenor    IV ATM
0  S&P 500 Index    3m  0.252124
1  S&P 500 Index    6m  0.243322
2  S&P 500 Index    1y  0.231568