Chore: Make release 1.0.93

gs_quant/api/gs/backtests_xasset/json_encoders/response_datatypes/generic_datatype_encoders.py

@@ -0,0 +1,28 @@
+"""
+Copyright 2019 Goldman Sachs.
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+  http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing,
+software distributed under the License is distributed on an
+"AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY
+KIND, either express or implied.  See the License for the
+specific language governing permissions and limitations
+under the License.
+"""
+
+import datetime as dt
+from typing import Dict, Tuple
+
+from gs_quant.instrument import Instrument
+
+
+def decode_inst_tuple(t: tuple) -> Tuple[Instrument, ...]:
+    return tuple(Instrument.from_dict(i) for i in t)
+
+
+def decode_daily_portfolio(results: dict) -> Dict[dt.date, Tuple[Instrument, ...]]:
+    return {dt.date.fromisoformat(k): decode_inst_tuple(v) for k, v in results.items()}

gs_quant/api/gs/backtests_xasset/json_encoders/response_encoders.py

@@ -19,6 +19,8 @@
 
 from typing import Dict, Any, Tuple, Union
 
+from gs_quant.api.gs.backtests_xasset.json_encoders.response_datatypes.generic_datatype_encoders import \
+    decode_inst_tuple
 from gs_quant.api.gs.backtests_xasset.json_encoders.response_datatypes.risk_result_datatype_encoders import \
     encode_series_result, encode_dataframe_result
 from gs_quant.api.gs.backtests_xasset.json_encoders.response_datatypes.risk_result_encoders import decode_risk_result, \
@@ -27,7 +29,6 @@
 from gs_quant.api.gs.backtests_xasset.response_datatypes.risk_result_datatypes import RiskResultWithData
 from gs_quant.backtests import FlowVolBacktestMeasure
 from gs_quant.common import Currency, CurrencyName, RiskMeasure
-from gs_quant.instrument import Instrument
 from gs_quant.json_convertors_common import encode_risk_measure, decode_risk_measure
 from gs_quant.priceable import PriceableImpl
 
@@ -42,12 +43,8 @@ def encode_response_obj(data: Any) -> Dict:
     return data.to_dict()
 
 
-def _decode_inst_tuple(t: tuple) -> Tuple[Instrument, ...]:
-    return tuple(Instrument.from_dict(i) for i in t)
-
-
 def decode_leg_refs(d: dict) -> Dict[str, PriceableImpl]:
-    return {k: _decode_inst_tuple(v) for k, v in d.items()}
+    return {k: decode_inst_tuple(v) for k, v in d.items()}
 
 
 def decode_risk_measure_refs(d: dict) -> Dict[str, RiskMeasure]:
@@ -63,10 +60,6 @@ def decode_basic_bt_measure_dict(results: dict) -> Dict[FlowVolBacktestMeasure,
             for k, v in results.items()}
 
 
-def decode_basic_bt_portfolio(results: dict) -> Dict[dt.date, Tuple[Instrument, ...]]:
-    return {dt.date.fromisoformat(k): _decode_inst_tuple(v) for k, v in results.items()}
-
-
 def decode_basic_bt_transactions(results: dict) -> Dict[dt.date, Tuple[Transaction, ...]]:
     def to_ccy(s: str) -> Union[Currency, CurrencyName, str]:
         if s in [x.value for x in Currency]:
@@ -77,5 +70,5 @@ def to_ccy(s: str) -> Union[Currency, CurrencyName, str]:
             return s
 
     return {dt.date.fromisoformat(k): tuple(
-            Transaction(_decode_inst_tuple(t['portfolio']), t['portfolio_price'], t['cost'], to_ccy(t['currency']))
+            Transaction(decode_inst_tuple(t['portfolio']), t['portfolio_price'], t['cost'], to_ccy(t['currency']))
             for t in v) for k, v in results.items()}

gs_quant/api/gs/backtests_xasset/response.py

@@ -21,9 +21,10 @@
 
 from dataclasses_json import dataclass_json, LetterCase, config
 
+from gs_quant.api.gs.backtests_xasset.json_encoders.response_datatypes.generic_datatype_encoders import \
+    decode_daily_portfolio
 from gs_quant.api.gs.backtests_xasset.json_encoders.response_encoders import decode_leg_refs, \
-    decode_risk_measure_refs, decode_result_tuple, decode_basic_bt_measure_dict, decode_basic_bt_portfolio, \
-    decode_basic_bt_transactions
+    decode_risk_measure_refs, decode_result_tuple, decode_basic_bt_measure_dict, decode_basic_bt_transactions
 from gs_quant.api.gs.backtests_xasset.response_datatypes.backtest_datatypes import Transaction, AdditionalResults
 from gs_quant.api.gs.backtests_xasset.response_datatypes.risk_result import RiskResultsByDate
 from gs_quant.api.gs.backtests_xasset.response_datatypes.risk_result_datatypes import RiskResultWithData
@@ -47,7 +48,7 @@ class BasicBacktestResponse:
     measures: Dict[FlowVolBacktestMeasure, Dict[dt.date, RiskResultWithData]] = \
         field(default=None, metadata=config(decoder=decode_basic_bt_measure_dict))
     portfolio: Dict[dt.date, Tuple[Instrument, ...]] \
-        = field(default=None, metadata=config(decoder=decode_basic_bt_portfolio))
+        = field(default=None, metadata=config(decoder=decode_daily_portfolio))
     transactions: Dict[dt.date, Tuple[Transaction, ...]] \
         = field(default=None, metadata=config(decoder=decode_basic_bt_transactions))
     additional_results: Optional[AdditionalResults] = field(default=None)

gs_quant/api/gs/backtests_xasset/response_datatypes/backtest_datatypes.py

@@ -23,9 +23,10 @@
 from dataclasses_json import dataclass_json, LetterCase, config
 
 from gs_quant.api.gs.backtests_xasset.json_encoders.request_encoders import legs_decoder
+from gs_quant.api.gs.backtests_xasset.json_encoders.response_datatypes.generic_datatype_encoders import \
+    decode_daily_portfolio
 from gs_quant.instrument import Instrument
 from gs_quant.json_convertors import decode_optional_date
-from gs_quant.priceable import PriceableImpl
 from gs_quant.target.backtests import BacktestTradingQuantityType, EquityMarketModel
 from gs_quant.common import Currency, CurrencyName, PricingLocation
 
@@ -46,7 +47,8 @@ class Transaction:
 @dataclass_json(letter_case=LetterCase.CAMEL)
 @dataclass
 class AdditionalResults:
-    hedges: Optional[Dict[dt.date, PriceableImpl]] = None
+    hedges: Optional[Dict[dt.date, Tuple[Instrument, ...]]] = field(default=None,
+                                                                    metadata=config(decoder=decode_daily_portfolio))
     hedge_pnl: Optional[Dict[dt.date, float]] = None
     no_of_calculations: Optional[int] = None
 

gs_quant/target/instrument.py

@@ -705,6 +705,19 @@ class FXForward(Instrument):
     type_: Optional[AssetType] = field(init=False, default=AssetType.Forward, metadata=config(field_name='type', exclude=exclude_none))
     name: Optional[str] = field(default=None, metadata=name_metadata)
 
+    def scale_in_place(self, scaling: Optional[float] = None):
+        if self.unresolved is None:
+            raise RuntimeError('Can only scale resolved instruments')
+        if scaling is None or scaling == 1:
+            return
+
+        if scaling < 0:
+            flip_dict = {BuySell.Buy: BuySell.Sell, BuySell.Sell: BuySell.Buy}
+            self.buy_sell = flip_dict[self.buy_sell]
+
+        self.notional_amount *= abs(scaling)
+        return
+
 
 @handle_camel_case_args
 @dataclass_json(letter_case=LetterCase.CAMEL)
@@ -825,6 +838,19 @@ class FXOption(Instrument):
     type_: Optional[AssetType] = field(init=False, default=AssetType.Option, metadata=config(field_name='type', exclude=exclude_none))
     name: Optional[str] = field(default=None, metadata=name_metadata)
 
+    def scale_in_place(self, scaling: Optional[float] = None):
+        if self.unresolved is None:
+            raise RuntimeError('Can only scale resolved instruments')
+        if scaling is None or scaling == 1:
+            return
+
+        if scaling < 0:
+            flip_dict = {BuySell.Buy: BuySell.Sell, BuySell.Sell: BuySell.Buy}
+            self.buy_sell = flip_dict[self.buy_sell]
+
+        self.notional_amount *= abs(scaling)
+        return
+
 
 @handle_camel_case_args
 @dataclass_json(letter_case=LetterCase.CAMEL)