Data
Entitites
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An Entityis an object which stores information representing a real world object in the Marquee
universe. These objects are representative of common resources such as an
Asset or
Country. Entities are associated with many datasets in Marquee, such as our Equity Implied
Volatility dataset that is keyed off an Asset. Entities can be used in conjunction with a
DataCoordinate
to obtain a data series associated with that entity.
Entity Types
Below is an overview of the various Entity sub-classes used in GS Quant.
| Entity Type | Description | Primary ID |
|---|---|---|
| Asset | Security or observable instrument | Marquee Asset ID |
| Country | ISO 3166 countries | ISO 3166-2 |
| Subdivision | ISO 3166 subdivsions of countries | ISO 3166-2 |
Fetching Entities
Each Entity sub-class can be used to fetch their respective sub-class using various identifiers.
Note
Examples require an initialized GsSession and relevant identifier licenses. Please refer to Sessions for details.
from gs_quant.entities.entity import Country, Subdivision
from gs_quant.markets.securities import Asset, AssetIdentifier
us: Country = Country.get('US', Country.Identifier.MARQUEE_ID)
gb: Country = Country.get('United Kingdom', Country.Identifier.NAME)
spx: Asset = Asset.get('SPX', AssetIdentifier.BLOOMBERG_ID)
new_york: Subdivision = Subdivision.get('US-NY', Subdivision.Identifier.MARQUEE_ID)Output:
<gs_quant.entities.entity.Country object at 0x000001D413790448>
<gs_quant.entities.entity.Country object at 0x000001D4137972C8>
<gs_quant.markets.securities.Index object at 0x000001D413614508>
<gs_quant.entities.entity.Subdivision object at 0x000001D4137902C8>Each sub-class has additional information about the Entity which can be retrieved. In this case,
the Country and Subdivision entities referencing the United Kingdom and New York State
respectively.
print(f'GB - Region: {gb.get_region()}')
print(f'GB - ISO 3166 Alpha-3: {gb.get_alpha3()}')
print(f'GB - ISO 3166 Country Code: {gb.get_country_code()}\n')
print(f'New York - Name: {new_york.get_name()}')
Output:
GB - Region: Europe
GB - ISO 3166 Alpha-3: GBR
GB - ISO 3166 Country Code: 826
New York - Name: New YorkUsing Entities to Resolve a DataCoordinate
Entity objects can be utlized to resolve a DataCoordinate to fetch a unique series in the
Marquee Data Platform without having to specify a Dataset ID.
import datetime as dt
from gs_quant.data import DataDimension, DataCoordinate, DataMeasure
dimensions = {
DataDimension.TENOR: '1m',
DataDimension.STRIKE_REFERENCE: 'spot',
DataDimension.RELATIVE_STRIKE: .8
}
coordinate: DataCoordinate = spx.get_data_coordinate(measure=DataMeasure.IMPLIED_VOLATILITY,
dimensions=dimensions,
frequency=DataFrequency.DAILY)
coordinate.get_series(start=dt.date(2020, 1, 1), end=dt.date(2020, 1, 8))Output:
2020-01-02 0.300644
2020-01-03 0.315498
2020-01-06 0.311003
2020-01-07 0.306926
2020-01-08 0.308256
dtype: float64Related Content
Assets and Security Master
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