mirror of
https://github.com/OpenBB-finance/OpenBB.git
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869cfed125
* merge branch develop with main * bump desktop version * fix the merge * sync Cargo.lock to desktop 2.0.0 * fix cli conftest.py --------- Co-authored-by: deeleeramone <>
315 lines
9.4 KiB
Python
315 lines
9.4 KiB
Python
import asyncio
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from datetime import date
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import pytest
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from openbb_core.provider.utils.errors import EmptyDataError
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from openbb_cftc.models.ois_policy_path import (
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CftcOisPolicyPathData,
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CftcOisPolicyPathFetcher,
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CftcOisPolicyPathQueryParams,
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)
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from openbb_cftc.utils.policy import build_policy_path, extract_forward_observations
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FISN = "NA/Swap OIS USD"
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REF = date(2026, 7, 17)
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def _fwd(
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rate,
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effective,
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expiration,
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disseminated="2026-07-17",
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currency="USD",
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fisn=FISN,
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**extra,
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):
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record = {
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"UPI FISN": fisn,
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"Action type": "NEWT",
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"Event type": "TRAD",
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"Notional currency-Leg 1": currency,
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"Fixed rate-Leg 1": str(rate),
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"Notional amount-Leg 1": "1,000,000",
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"Effective Date": effective,
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"Expiration Date": expiration,
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"Dissemination Timestamp": f"{disseminated}T10:00:00Z",
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}
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record.update(extra)
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return record
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def test_extract_forward_observations_keeps_only_forward_starting():
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records = [
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_fwd(0.03, "2026-09-01", "2026-10-16"),
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_fwd(0.03, "2026-07-18", "2026-09-01"),
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_fwd(0.03, "2026-07-10", "2026-08-24"),
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_fwd(0.03, "2026-09-01", "2026-10-16", fisn="NA/Swap OIS EUR"),
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_fwd(0.03, "2026-09-01", "2026-10-16", currency="EUR"),
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_fwd(0.03, "2026-09-01", "2066-09-01"),
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{**_fwd(0.03, "2026-09-01", "2026-10-16"), "Fixed rate-Leg 1": ""},
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]
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observations = extract_forward_observations(records, FISN, "USD", REF)
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assert len(observations) == 1
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assert observations[0]["forward_days"] == 46
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def test_extract_forward_observations_drops_non_vanilla():
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records = [
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_fwd(0.03, "2026-09-01", "2026-10-16"),
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_fwd(0.03, "2026-09-01", "2026-10-16", **{"Package indicator": "TRUE"}),
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_fwd(0.03, "2026-09-01", "2026-10-16", **{"Other payment amount": "5000"}),
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_fwd(0.03, "2026-09-01", "2026-10-16", **{"Spread-Leg 1": "0.001"}),
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]
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observations = extract_forward_observations(records, FISN, "USD", REF)
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assert len(observations) == 1
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def test_build_policy_path_single_period_strip():
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records = [
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_fwd(0.036, "2026-08-20", "2026-10-08"),
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_fwd(0.037, "2026-08-20", "2026-10-08"),
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_fwd(0.038, "2026-08-20", "2026-10-08"),
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_fwd(0.040, "2026-10-08", "2026-11-26"),
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_fwd(0.041, "2026-10-08", "2026-11-26"),
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_fwd(0.042, "2026-10-08", "2026-11-26"),
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]
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path = build_policy_path(records, FISN, "USD", REF)
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assert [node["start_date"] for node in path] == [
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date(2026, 8, 20),
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date(2026, 10, 8),
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]
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assert path[0]["rate"] == pytest.approx(0.037)
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assert path[0]["num_trades"] == 3
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assert path[1]["rate"] == pytest.approx(0.041)
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def test_build_policy_path_excludes_long_tenor():
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records = [
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_fwd(0.036, "2026-08-20", "2026-10-08"),
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_fwd(0.037, "2026-08-20", "2026-10-08"),
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_fwd(0.038, "2026-08-20", "2026-10-08"),
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_fwd(0.030, "2026-08-20", "2028-08-20"),
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_fwd(0.031, "2026-08-20", "2028-08-20"),
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_fwd(0.032, "2026-08-20", "2028-08-20"),
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]
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path = build_policy_path(records, FISN, "USD", REF)
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assert len(path) == 1
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assert path[0]["tenor_days"] == 49
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def test_build_policy_path_min_trades_drops_thin_start():
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records = [
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_fwd(0.036, "2026-08-20", "2026-10-08"),
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_fwd(0.037, "2026-08-20", "2026-10-08"),
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_fwd(0.038, "2026-08-20", "2026-10-08"),
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_fwd(0.050, "2026-10-08", "2026-11-26"),
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]
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path = build_policy_path(records, FISN, "USD", REF)
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assert [node["start_date"] for node in path] == [date(2026, 8, 20)]
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def test_build_policy_path_percentile_trims_node_outlier():
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records = [
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_fwd(r, "2026-08-20", "2026-10-08")
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for r in (0.036, 0.037, 0.037, 0.038, 0.038, -5.0)
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]
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path = build_policy_path(records, FISN, "USD", REF, min_trades=3)
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assert path[0]["min_rate"] > 0.0
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assert path[0]["rate"] == pytest.approx(0.037, abs=1e-3)
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def test_build_policy_path_raises_without_forward_prints():
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records = [_fwd(0.03, "2026-07-18", "2026-09-01")]
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with pytest.raises(EmptyDataError, match="single-period"):
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build_policy_path(records, FISN, "USD", REF)
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def test_build_policy_path_raises_when_min_trades_unmet():
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records = [
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_fwd(0.036, "2026-08-20", "2026-10-08"),
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_fwd(0.037, "2026-08-20", "2026-10-08"),
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]
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with pytest.raises(EmptyDataError, match="min_trades"):
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build_policy_path(records, FISN, "USD", REF, min_trades=3)
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def test_observed_forward_grid_smooths_traded_forwards():
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from openbb_cftc.utils.policy import observed_forward_grid
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records = [
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_fwd(0.041, "2027-01-20", "2028-01-20"),
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_fwd(0.041, "2027-01-20", "2028-01-20"),
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_fwd(0.041, "2027-01-20", "2028-01-20"),
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_fwd(0.043, "2027-07-20", "2028-07-20"),
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_fwd(0.043, "2027-07-20", "2028-07-20"),
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_fwd(0.043, "2027-07-20", "2028-07-20"),
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]
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grid = observed_forward_grid(
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records,
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FISN,
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"USD",
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REF,
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forward_tenor_days=365,
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step_years=0.25,
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count=None,
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min_trades=3,
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spot_rate=0.040,
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)
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assert grid[0]["tenor_years"] == 0.0
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assert grid[0]["forward_rate"] == pytest.approx(0.040)
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assert all(point["forward_rate"] is not None for point in grid)
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assert grid[-1]["forward_rate"] > grid[0]["forward_rate"]
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def test_observed_forward_grid_empty_without_the_tenor():
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from openbb_cftc.utils.policy import observed_forward_grid
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records = [_fwd(0.04, "2027-01-20", "2027-02-20")]
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assert (
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observed_forward_grid(
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records,
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FISN,
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"USD",
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REF,
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forward_tenor_days=365,
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step_years=0.25,
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count=None,
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min_trades=1,
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spot_rate=0.04,
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)
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== []
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)
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def test_observed_forward_grid_excludes_a_meeting_dated_tenor_from_1m():
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from openbb_cftc.utils.policy import observed_forward_grid
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records = [_fwd(0.03, "2026-08-16", "2026-10-04")]
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assert (
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observed_forward_grid(
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records,
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FISN,
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"USD",
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REF,
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forward_tenor_days=30,
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step_years=0.25,
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count=None,
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min_trades=1,
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spot_rate=0.04,
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)
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== []
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)
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def test_observed_forward_grid_reports_the_nearest_buckets_trade_count():
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from openbb_cftc.utils.policy import observed_forward_grid
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records = [
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_fwd(0.041, "2026-10-15", "2026-11-14"),
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_fwd(0.043, "2027-08-16", "2027-09-15"),
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_fwd(0.043, "2027-08-16", "2027-09-15"),
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]
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grid = observed_forward_grid(
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records,
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FISN,
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"USD",
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REF,
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forward_tenor_days=30,
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step_years=1.0,
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count=None,
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min_trades=1,
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spot_rate=0.038,
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)
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trades = {round(point["tenor_years"], 2): point["num_trades"] for point in grid}
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assert trades[0.0] == 1
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assert trades[1.0] == 2
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def test_ois_policy_path_transform_query():
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query = CftcOisPolicyPathFetcher.transform_query({"currency": "eur"})
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assert isinstance(query, CftcOisPolicyPathQueryParams)
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assert query.currency == "EUR"
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def test_ois_policy_path_aextract_combines_slices(monkeypatch):
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async def _dates(asset_class):
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return ["2026-07-14", "2026-07-15", "2026-07-16", "2026-07-17"]
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async def _slice(asset_class, report_date, use_cache=True):
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return [
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{"UPI FISN": FISN, "Fixed rate-Leg 1": "0.04"},
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{"UPI FISN": "NA/Swap OIS EUR", "Fixed rate-Leg 1": "0.02"},
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]
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monkeypatch.setattr("openbb_cftc.utils.dtcc.get_available_dates", _dates)
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monkeypatch.setattr("openbb_cftc.utils.dtcc.get_slice", _slice)
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records, reference = asyncio.run(
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CftcOisPolicyPathFetcher.aextract_data(
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CftcOisPolicyPathQueryParams(
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currency="USD", lookback_days=3, date=date(2026, 7, 16)
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),
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None,
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)
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)
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assert reference == "2026-07-16"
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assert all(r["UPI FISN"] == FISN for r in records)
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assert {r["Dissemination Timestamp"] for r in records} == {
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"2026-07-14T00:00:00Z",
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"2026-07-15T00:00:00Z",
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"2026-07-16T00:00:00Z",
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}
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def test_ois_policy_path_aextract_raises_without_files(monkeypatch):
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from openbb_core.app.model.abstract.error import OpenBBError
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async def _dates(asset_class):
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return ["2026-07-16"]
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monkeypatch.setattr("openbb_cftc.utils.dtcc.get_available_dates", _dates)
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with pytest.raises(OpenBBError, match="published"):
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asyncio.run(
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CftcOisPolicyPathFetcher.aextract_data(
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CftcOisPolicyPathQueryParams(currency="USD", date=date(2020, 1, 1)),
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None,
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)
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)
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def test_ois_policy_path_transform():
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records = [
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_fwd(0.036, "2026-08-20", "2026-10-08"),
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_fwd(0.037, "2026-08-20", "2026-10-08"),
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_fwd(0.038, "2026-08-20", "2026-10-08"),
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]
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result = CftcOisPolicyPathFetcher.transform_data(
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CftcOisPolicyPathQueryParams(currency="USD"), (records, "2026-07-17")
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)
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assert all(isinstance(r, CftcOisPolicyPathData) for r in result.result)
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node = result.result[0]
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assert node.index == "2026-08-20"
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assert node.rate == pytest.approx(3.7)
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assert result.metadata["benchmark"] == "SOFR"
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assert result.metadata["central_bank"] == "Federal Reserve"
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assert result.metadata["nodes"] == 1
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