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hedge.py
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hedge.py
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"""
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.
"""
from gs_quant.base import *
from gs_quant.common import *
import datetime
from typing import Dict, Optional, Tuple, Union
from dataclasses import dataclass, field
from dataclasses_json import LetterCase, config, dataclass_json
from enum import Enum
class CorporateActionsTypes(EnumBase, Enum):
"""Types of corporate actions in the hedge"""
Mergers = 'Mergers'
Quote_lot_adjustments = 'Quote lot adjustments'
Rights = 'Rights'
Spinoffs = 'Spinoffs'
Cash_dividends = 'Cash dividends'
Stock_splits = 'Stock splits'
Reorganization = 'Reorganization'
class HedgeObjective(EnumBase, Enum):
"""The objective of the hedge."""
Minimize_Factor_Risk = 'Minimize Factor Risk'
Replicate_Performance = 'Replicate Performance'
class HedgeUniverseAssetType(EnumBase, Enum):
"""Type of assets that will be added to the hedge universe."""
Custom_Basket = 'Custom Basket'
ETF = 'ETF'
Research_Basket = 'Research Basket'
Single_Stock = 'Single Stock'
class HedgerComparisonType(EnumBase, Enum):
Asset = 'Asset'
Portfolio = 'Portfolio'
Hedge = 'Hedge'
class HedgerConstraintPrioritySetting(EnumBase, Enum):
"""Priority of the constraint from 0-5 (prioritized in that order). The
optimization will fail if it cannot meet a constraint with 0 priority. A
constraint with priority of 1-5 can be called a relaxed constraint, which
means that the optimization will make its best effort to meet the
constraint but will not fail if it cannot."""
_0 = '0'
_1 = '1'
_2 = '2'
_3 = '3'
_4 = '4'
_5 = '5'
class SamplingPeriod(EnumBase, Enum):
"""The length of time in between return samples."""
Daily = 'Daily'
Weekly = 'Weekly'
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class AssetConstraint(Base):
asset_id: str = field(default=None, metadata=field_metadata)
max_: float = field(default=None, metadata=config(field_name='max', exclude=exclude_none))
min_: float = field(default=None, metadata=config(field_name='min', exclude=exclude_none))
name: Optional[str] = field(default=None, metadata=name_metadata)
class BasketConditions(DictBase):
pass
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class ClassificationConstraint(Base):
type_: str = field(default=None, metadata=config(field_name='type', exclude=exclude_none))
name: str = field(default=None, metadata=field_metadata)
max_: float = field(default=None, metadata=config(field_name='max', exclude=exclude_none))
min_: float = field(default=None, metadata=config(field_name='min', exclude=exclude_none))
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class ESGConstraint(Base):
name: str = field(default=None, metadata=field_metadata)
max_: float = field(default=None, metadata=config(field_name='max', exclude=exclude_none))
min_: float = field(default=None, metadata=config(field_name='min', exclude=exclude_none))
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorConstraint(Base):
factor: str = field(default=None, metadata=field_metadata)
exposure: float = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorExposure(Base):
factor: str = field(default=None, metadata=field_metadata)
exposure: float = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorMCTRByGroupConstraint(Base):
factors: Tuple[str, ...] = field(default=None, metadata=field_metadata)
max_: float = field(default=None, metadata=config(field_name='max', exclude=exclude_none))
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class HedgerComparisonProperties(Base):
hedge_value_type: str = field(default=None, metadata=field_metadata)
hedge_value: float = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorExposures(Base):
country: Tuple[FactorExposure, ...] = field(default=None, metadata=field_metadata)
industry: Tuple[FactorExposure, ...] = field(default=None, metadata=field_metadata)
sector: Tuple[FactorExposure, ...] = field(default=None, metadata=field_metadata)
style: Tuple[FactorExposure, ...] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorHedgeUniverse(Base):
asset_ids: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
asset_types: Optional[Tuple[HedgeUniverseAssetType, ...]] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorHedgerConstraintPrioritySettings(Base):
min_sector_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
max_sector_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
min_industry_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
max_industry_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
min_region_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
max_region_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
min_country_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
max_country_weights: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
style_exposures: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
country_exposures: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
region_exposures: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
industry_exposures: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
sector_exposures: Optional[HedgerConstraintPrioritySetting] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class HedgeConstituent(Base):
asset_id: str = field(default=None, metadata=field_metadata)
name: str = field(default=None, metadata=field_metadata)
weight: float = field(default=None, metadata=field_metadata)
currency: Currency = field(default=None, metadata=field_metadata)
country: Optional[str] = field(default=None, metadata=field_metadata)
correlation: Optional[float] = field(default=None, metadata=field_metadata)
transaction_cost: Optional[float] = field(default=None, metadata=field_metadata)
marginal_cost: Optional[float] = field(default=None, metadata=field_metadata)
borrow_cost: Optional[float] = field(default=None, metadata=field_metadata)
shares: Optional[float] = field(default=None, metadata=field_metadata)
price: Optional[float] = field(default=None, metadata=field_metadata)
multiplier: Optional[float] = field(default=None, metadata=field_metadata)
notional: Optional[float] = field(default=None, metadata=field_metadata)
bbid: Optional[str] = field(default=None, metadata=field_metadata)
adv_percentage: Optional[float] = field(default=None, metadata=field_metadata)
sector: Optional[str] = field(default=None, metadata=field_metadata)
industry: Optional[str] = field(default=None, metadata=field_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorHedgerResultPositions(Base):
beta_exposure: float = field(default=None, metadata=field_metadata)
daily_va_r: float = field(default=None, metadata=field_metadata)
factor_exposures: FactorExposures = field(default=None, metadata=field_metadata)
specific_exposure: float = field(default=None, metadata=field_metadata)
systematic_exposure: float = field(default=None, metadata=field_metadata)
total_risk: float = field(default=None, metadata=field_metadata)
volatility: float = field(default=None, metadata=field_metadata)
net_exposure: float = field(default=None, metadata=field_metadata)
constituents: Optional[Tuple[HedgeConstituent, ...]] = field(default=None, metadata=field_metadata)
number_of_positions: Optional[float] = field(default=None, metadata=field_metadata)
cumulative_pnl: Optional[Tuple[Tuple[Union[datetime.date, float], ...], ...]] = field(default=None, metadata=field_metadata)
transaction_cost: Optional[float] = field(default=None, metadata=field_metadata)
borrow_cost_bps: Optional[float] = field(default=None, metadata=field_metadata)
max_drawdown: Optional[float] = field(default=None, metadata=field_metadata)
gross_exposure: Optional[float] = field(default=None, metadata=field_metadata)
long_exposure: Optional[float] = field(default=None, metadata=field_metadata)
short_exposure: Optional[float] = field(default=None, metadata=field_metadata)
tracking_error: Optional[float] = field(default=None, metadata=field_metadata)
correlation: Optional[float] = field(default=None, metadata=field_metadata)
exposure_overlap_with_target: Optional[float] = field(default=None, metadata=field_metadata)
total_pnl: Optional[float] = field(default=None, metadata=field_metadata)
turnover_percentage: Optional[float] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class HedgeBenchmark(Base):
asset_id: str = field(default=None, metadata=field_metadata)
cumulative_pnl: Optional[Tuple[Tuple[Union[datetime.date, float], ...], ...]] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class HedgeGetManyRequestPathSchema(Base):
limit: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
offset: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
scroll: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
scroll_id: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
ids: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
order_by: Optional[Tuple[Union[DictBase, str], ...]] = field(default=None, metadata=field_metadata)
hedge_tracking_error: Optional[Tuple[float, ...]] = field(default=None, metadata=field_metadata)
hedge_volatility: Optional[Tuple[float, ...]] = field(default=None, metadata=field_metadata)
tags: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
last_updated_by_id: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
created_by_id: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
target_notional: Optional[Tuple[float, ...]] = field(default=None, metadata=field_metadata)
owner_id: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
hedge_annualized_volatility: Optional[Tuple[float, ...]] = field(default=None, metadata=field_metadata)
name: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
description: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
id_: Optional[Tuple[str, ...]] = field(default=None, metadata=config(field_name='id', exclude=exclude_none))
objective: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
hedge_notional: Optional[Tuple[float, ...]] = field(default=None, metadata=field_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class PerformanceHedgeResult(Base):
target: DictBase = field(default=None, metadata=field_metadata)
hedge: Optional[DictBase] = field(default=None, metadata=field_metadata)
hedged_target: Optional[DictBase] = field(default=None, metadata=field_metadata)
benchmarks: Optional[Tuple[DictBase, ...]] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorHedgeResult(Base):
hedge: FactorHedgerResultPositions = field(default=None, metadata=field_metadata)
hedged_target: FactorHedgerResultPositions = field(default=None, metadata=field_metadata)
target: Optional[FactorHedgerResultPositions] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class HedgerComparison(Base):
entity_id: str = field(default=None, metadata=field_metadata)
entity_type: HedgerComparisonType = field(default=None, metadata=field_metadata)
hedge_properties: HedgerComparisonProperties = field(default=None, metadata=field_metadata)
result: Optional[DictBase] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class Target(Base):
id_: Optional[str] = field(default=None, metadata=config(field_name='id', exclude=exclude_none))
positions: Optional[Tuple[Position, ...]] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class FactorHedgeParameters(Base):
risk_model: str = field(default=None, metadata=field_metadata)
target_notional: float = field(default=None, metadata=field_metadata)
hedge_notional: float = field(default=None, metadata=field_metadata)
hedge_target: Target = field(default=None, metadata=field_metadata)
hedge_universe: FactorHedgeUniverse = field(default=None, metadata=field_metadata)
hedge_date: datetime.date = field(default=None, metadata=field_metadata)
backtest_start_date: datetime.date = field(default=None, metadata=field_metadata)
backtest_end_date: datetime.date = field(default=None, metadata=field_metadata)
fx_hedged: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_target_assets: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_corporate_actions: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_corporate_actions_types: Optional[Tuple[CorporateActionsTypes, ...]] = field(default=None, metadata=field_metadata)
exclude_hard_to_borrow_assets: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_restricted_assets: Optional[bool] = field(default=None, metadata=field_metadata)
max_adv_percentage: Optional[float] = field(default=None, metadata=field_metadata)
explode_universe: Optional[bool] = field(default=None, metadata=field_metadata)
min_names: Optional[float] = field(default=None, metadata=field_metadata)
max_names: Optional[float] = field(default=None, metadata=field_metadata)
max_trades: Optional[float] = field(default=None, metadata=field_metadata)
min_weight: Optional[float] = field(default=None, metadata=field_metadata)
max_weight: Optional[float] = field(default=None, metadata=field_metadata)
min_market_cap: Optional[float] = field(default=None, metadata=field_metadata)
max_market_cap: Optional[float] = field(default=None, metadata=field_metadata)
max_factor_mctr: Optional[float] = field(default=None, metadata=config(field_name='maxFactorMCTR', exclude=exclude_none))
max_factor_mctr_by_group: Optional[Tuple[FactorMCTRByGroupConstraint, ...]] = field(default=None, metadata=config(field_name='maxFactorMCTRByGroup', exclude=exclude_none))
market_participation_rate: Optional[float] = field(default=10, metadata=field_metadata)
asset_constraints: Optional[Tuple[AssetConstraint, ...]] = field(default=None, metadata=field_metadata)
constrain_assets_by_notional: Optional[bool] = field(default=None, metadata=field_metadata)
allow_long_short: Optional[bool] = field(default=None, metadata=field_metadata)
only_reweight_target_composition: Optional[bool] = field(default=None, metadata=field_metadata)
factor_constraints: Optional[Tuple[FactorConstraint, ...]] = field(default=None, metadata=field_metadata)
classification_constraints: Optional[Tuple[ClassificationConstraint, ...]] = field(default=None, metadata=field_metadata)
esg_constraints: Optional[Tuple[ESGConstraint, ...]] = field(default=None, metadata=field_metadata)
constraint_priority_settings: Optional[FactorHedgerConstraintPrioritySettings] = field(default=None, metadata=field_metadata)
comparisons: Optional[Tuple[HedgerComparison, ...]] = field(default=None, metadata=field_metadata)
turnover_portfolio_id: Optional[str] = field(default=None, metadata=field_metadata)
max_turnover_percentage: Optional[float] = field(default=None, metadata=field_metadata)
return_type: Optional[ReturnType] = field(default=None, metadata=field_metadata)
is_best_basket: Optional[bool] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class PerformanceHedgeParameters(Base):
hedge_target: Target = field(default=None, metadata=field_metadata)
universe: Tuple[str, ...] = field(default=None, metadata=field_metadata)
notional: float = field(default=None, metadata=field_metadata)
observation_start_date: datetime.date = field(default=None, metadata=field_metadata)
observation_end_date: datetime.date = field(default=None, metadata=field_metadata)
backtest_start_date: Optional[datetime.date] = field(default=None, metadata=field_metadata)
backtest_end_date: Optional[datetime.date] = field(default=None, metadata=field_metadata)
sampling_period: Optional[SamplingPeriod] = field(default=SamplingPeriod.Weekly, metadata=field_metadata)
max_leverage: Optional[float] = field(default=None, metadata=field_metadata)
percentage_in_cash: Optional[float] = field(default=None, metadata=field_metadata)
explode_universe: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_target_assets: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_corporate_actions: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_corporate_actions_types: Optional[Tuple[CorporateActionsTypes, ...]] = field(default=None, metadata=field_metadata)
exclude_hard_to_borrow_assets: Optional[bool] = field(default=None, metadata=field_metadata)
exclude_restricted_assets: Optional[bool] = field(default=None, metadata=field_metadata)
max_adv_percentage: Optional[float] = field(default=None, metadata=field_metadata)
max_return_deviation: Optional[float] = field(default=None, metadata=field_metadata)
max_weight: Optional[float] = field(default=None, metadata=field_metadata)
min_market_cap: Optional[float] = field(default=None, metadata=field_metadata)
max_market_cap: Optional[float] = field(default=None, metadata=field_metadata)
market_participation_rate: Optional[float] = field(default=10, metadata=field_metadata)
asset_constraints: Optional[Tuple[AssetConstraint, ...]] = field(default=None, metadata=field_metadata)
classification_constraints: Optional[Tuple[ClassificationConstraint, ...]] = field(default=None, metadata=field_metadata)
esg_constraints: Optional[Tuple[ESGConstraint, ...]] = field(default=None, metadata=field_metadata)
benchmarks: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
use_machine_learning: Optional[bool] = field(default=False, metadata=field_metadata)
lasso_weight: Optional[float] = field(default=None, metadata=field_metadata)
ridge_weight: Optional[float] = field(default=None, metadata=field_metadata)
return_type: Optional[ReturnType] = field(default=None, metadata=field_metadata)
name: Optional[str] = field(default=None, metadata=name_metadata)
@handle_camel_case_args
@dataclass_json(letter_case=LetterCase.CAMEL)
@dataclass(unsafe_hash=True, repr=False)
class Hedge(Base):
name: str = field(default=None, metadata=field_metadata)
parameters: DictBase = field(default=None, metadata=field_metadata)
id_: Optional[str] = field(default=None, metadata=config(field_name='id', exclude=exclude_none))
owner_id: Optional[str] = field(default=None, metadata=field_metadata)
created_by_id: Optional[str] = field(default=None, metadata=field_metadata)
created_time: Optional[datetime.datetime] = field(default=None, metadata=field_metadata)
last_updated_by_id: Optional[str] = field(default=None, metadata=field_metadata)
last_updated_time: Optional[datetime.datetime] = field(default=None, metadata=field_metadata)
entitlements: Optional[Entitlements] = field(default=None, metadata=field_metadata)
tags: Optional[Tuple[str, ...]] = field(default=None, metadata=field_metadata)
description: Optional[str] = field(default=None, metadata=field_metadata)
objective: Optional[HedgeObjective] = field(default=None, metadata=field_metadata)
result: Optional[DictBase] = field(default=None, metadata=field_metadata)
comparison_results: Optional[Tuple[HedgerComparison, ...]] = field(default=None, metadata=field_metadata)