Goldman Sachs Quant
Project description
GS Quant
Installation
pip install gs-quant
GS users: pip install gs-quant[internal] --user
Dependencies
Python 3.6 or 3.7
Example
import datetime
import numpy as np
import pandas as pd
from gs_quant.data import Dataset
from gs_quant.instrument import IRSwap
from gs_quant.common import Currency, PayReceive
import gs_quant.risk as risk
from gs_quant.session import Environment, GsSession
from gs_quant.timeseries import volatility
# N.b., GsSession.use(Environment.PROD, <client_id>, <client_secret>, scopes=('read_product_data','run_analytics')) will set the default session
with GsSession.get(Environment.PROD, <client_id>, <client_secret>, scopes=('read_product_data','run_analytics')):
# get coverage for a dataset; run a query
weather = Dataset('WEATHER')
coverage = weather.get_coverage(weather) # GS-specific functionality
df = weather.get_data(datetime.date(2016, 1, 15), datetime.date(2016, 1, 16), city=['Boston', 'Austin'])
# calculate vol for a time series
range = pd.date_range('1/1/2005', periods=3650, freq='D')
series = pd.Series(np.random.rand(len(range)), index=range) # randomly generated
vol = volatility(series, 252)
vol.plot() # requires matplotlib
# Non-GS users: the below functionality requires extra permissions
# Please contact your sales coverage to request access
# price an interest rates swap and compute its bucketed delta
irs = IRSwap(PayReceive.Pay, "5y", Currency.USD, fixedRate=0.0275)
pv = irs.price()
ir_delta = irs.calc(risk.IRDelta)
Help
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