Chore: Make release 1.1.5

gs_quant/api/gs/backtests_xasset/apis.py

@@ -20,15 +20,19 @@
 
 
 class GsBacktestXassetApi:
+    HEADERS = {'Accept': 'application/json'}
+
     @classmethod
     def calculate_risk(cls, risk_request: RiskRequest) -> RiskResponse:
-        response = GsSession.current._post('/backtests/xasset/risk', risk_request.to_json())
+        response = GsSession.current._post('/backtests/xasset/risk', risk_request.to_json(),
+                                           request_headers=cls.HEADERS)
         result = RiskResponse.from_dict(response)
         return result
 
     @classmethod
     def calculate_basic_backtest(cls, backtest_request: BasicBacktestRequest, decode_instruments: bool = True) -> \
             BasicBacktestResponse:
-        response = GsSession.current._post('/backtests/xasset/strategy/basic', backtest_request.to_json())
+        response = GsSession.current._post('/backtests/xasset/strategy/basic', backtest_request.to_json(),
+                                           request_headers=cls.HEADERS)
         result = BasicBacktestResponse.from_dict_custom(response, decode_instruments)
         return result

gs_quant/backtests/equity_vol_engine.py

@@ -192,6 +192,16 @@ def check_strategy(cls, strategy):
                         check_results.append(
                             f'Error: {type(action).__name__} invalid expiration_date '
                             'modifier ' + expiry_date_modes[0])
+
+                    size_fields = ('quantity', 'number_of_options', 'multiplier')
+                    priceable_size_values = [[getattr(p, sf, 1) or 1 for sf in size_fields] for p in action.priceables]
+                    priceable_sizes = [reduce(lambda x, y: x * y, size_vals, 1) for size_vals in priceable_size_values]
+
+                    if not all(priceable_size == 1 for priceable_size in priceable_sizes):
+                        check_results.append(
+                            f'Error: {type(action).__name__} every priceable should have a unit size of 1. '
+                            'Found [' + ', '.join([str(s) for s in priceable_sizes]) + ']'
+                        )
                 elif isinstance(action, a.HedgeAction):
                     if not is_synthetic_forward(action.priceable):
                         check_results.append(

gs_quant/backtests/strategy_systematic.py

@@ -103,6 +103,7 @@ def __init__(self,
                 if not isinstance(instrument, self._supported_instruments):
                     raise MqValueError('The format of the backtest asset is incorrect.')
                 elif isinstance(instrument, self._supported_fx_instruments):
+                    instrument = instrument.clone()
                     instrument.notional_amount *= notional_percentage / 100
 
                 instrument = self.check_underlier_fields(instrument)

gs_quant/datetime/gscalendar.py

@@ -105,7 +105,7 @@ def holidays_from_dataset(self, dataset: Dataset, query_key: str, query_values:
         return []
 
     @property
-    def holidays(self) -> Tuple[dt.date]:
+    def holidays(self) -> Tuple[dt.date, ...]:
         cached_data = _calendar_cache.get(hashkey(str(self.__calendars)))
         if cached_data:
             return cached_data

gs_quant/risk/core.py

@@ -497,7 +497,7 @@ def aggregate_results(results: Iterable[ResultType], allow_mismatch_risk_keys=Fa
 
         if result.unit:
             if unit and unit != result.unit:
-                raise ValueError('Cannot aggregate results with different units')
+                raise ValueError(f'Cannot aggregate results with different units for {result.risk_key.risk_measure}')
 
             unit = unit or result.unit
 

gs_quant/test/backtest/test_backtest_eq_vol_engine.py

@@ -816,3 +816,27 @@ def test_supports_strategy():
         actions=add_trade_action_tc0)
     strategy = Strategy(initial_portfolio=None, triggers=[trigger])
     assert EquityVolEngine.supports_strategy(strategy)
+
+    # 18. Invalid - instrument non unit contract size
+
+    option_with_mult = EqOption('.STOXX50E', expiration_date='3m', strike_price='ATM', option_type=OptionType.Call,
+                                option_style=OptionStyle.European, multiplier=100)
+
+    action = AddTradeAction(priceables=option_with_mult, trade_duration='1m')
+    trigger = PeriodicTrigger(
+        trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='1m'),
+        actions=action)
+    strategy = Strategy(initial_portfolio=None, triggers=[trigger])
+    assert not EquityVolEngine.supports_strategy(strategy)
+
+    # 19. Invalid - instrument non unit contract count
+
+    option_with_contracts = EqOption('.STOXX50E', expiration_date='3m', strike_price='ATM', option_type=OptionType.Call,
+                                     option_style=OptionStyle.European, number_of_options=100)
+
+    action = AddTradeAction(priceables=option_with_contracts, trade_duration='1m')
+    trigger = PeriodicTrigger(
+        trigger_requirements=PeriodicTriggerRequirements(start_date=start_date, end_date=end_date, frequency='1m'),
+        actions=action)
+    strategy = Strategy(initial_portfolio=None, triggers=[trigger])
+    assert not EquityVolEngine.supports_strategy(strategy)

gs_quant/test/datetime_/test_gscalendar.py

@@ -14,36 +14,35 @@
 under the License.
 """
 
-from gs_quant.datetime import GsCalendar
+import datetime as dt
+from unittest import mock
+
+import pandas as pd
+
 from gs_quant.common import PricingLocation
-from gs_quant.test.api.test_risk import set_session
 from gs_quant.data import Dataset
+from gs_quant.datetime import GsCalendar
+from gs_quant.test.api.test_risk import set_session
 
-from unittest import mock
-import pandas as pd
-import datetime
+MOCK_HOLIDAY = pd.DataFrame(index=[dt.datetime(1999, 9, 12)], data={'holiday': 'Labor Day'})
 
 
 # Test GsCalendar initiated with single PricingLocation
 @mock.patch.object(Dataset, 'get_coverage', return_value=pd.DataFrame())
-@mock.patch.object(Dataset, 'get_data')
-def test_gs_calendar_single(mocker, mocker_cov):
+@mock.patch.object(Dataset, 'get_data', return_value=MOCK_HOLIDAY)
+def test_gs_calendar_single(mocker, _mocker_cov):
     set_session()
-    mocker.return_value = pd.DataFrame(index=[datetime.datetime(1999, 9, 12)],
-                                       data={'holiday': 'Labor Day'})
     nyc = PricingLocation.NYC
     GsCalendar.reset()
     days = GsCalendar(nyc).holidays
     assert days
 
 
 # Test GsCalendar initiated with tuple
-@mock.patch.object(Dataset, 'get_data')
 @mock.patch.object(Dataset, 'get_coverage', return_value=pd.DataFrame())
-def test_gs_calendar_tuple(mocker_coverage, mocker):
+@mock.patch.object(Dataset, 'get_data', return_value=MOCK_HOLIDAY)
+def test_gs_calendar_tuple(mocker, _mocker_cov):
     set_session()
-    mocker.return_value = pd.DataFrame(index=[datetime.datetime(1999, 9, 12)],
-                                       data={'holiday': 'Labor Day'})
     locs = (PricingLocation.NYC, PricingLocation.LDN)
     days = GsCalendar(locs).holidays
     assert days