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Financial Market #289

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Commits on Jan 23, 2020

  1. scenario improvements (goldmansachs#87)

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Commits on Jan 27, 2020

  1. measures and mwgq update (goldmansachs#88)

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Commits on Jan 31, 2020

  1. updated examples, portfolios (goldmansachs#90)

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Commits on Feb 11, 2020

  1. timeseries and portfolio additions (goldmansachs#92)

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Commits on Feb 21, 2020

  1. updating instruments, timeseries and examples (goldmansachs#93)

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Commits on Feb 27, 2020

  1. Update CONTRIBUTING.md (goldmansachs#95)

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  2. timeseries updates, scenario examples and mwgsq (goldmansachs#96)

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  3. updated definitions (goldmansachs#97)

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Commits on Mar 19, 2020

  1. sync changes from 0.8.107 (goldmansachs#98)

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Commits on Mar 20, 2020

  1. Add delta hedging example (goldmansachs#99)

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Commits on Mar 25, 2020

  1. composite scenarios, future cashflows, bug fixes (goldmansachs#100)

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Commits on Mar 27, 2020

  1. batch improvements (goldmansachs#101)

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Commits on Apr 1, 2020

  1. additional instruments (goldmansachs#102)

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Commits on Apr 3, 2020

  1. new instruments and models (goldmansachs#103)

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Commits on Apr 9, 2020

  1. examples, fixes and epidemiology changes (goldmansachs#104)

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Commits on Apr 23, 2020

  1. additional analytics, instruments and risk result handling (goldmansa… 

    …chs#105)
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Commits on Apr 30, 2020

  1. new instruments, measures, docs and mwgq (goldmansachs#108)

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Commits on May 1, 2020

  1. result handling and notebook updates (goldmansachs#109)

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Commits on May 13, 2020

  1. result handling changes, additional instruments, hedging and timeseri… 

    …es funcs (goldmansachs#110)
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Commits on May 14, 2020

  1. Error handling improvements (goldmansachs#111) 

    * result handling changes, additional instruments, hedging and timeseries funcs

* result handling and error improvements
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Commits on May 15, 2020

  1. live risk changes and notebook (goldmansachs#112)

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Commits on May 19, 2020

  1. additional measures and bug fixing (goldmansachs#113)

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Commits on May 30, 2020

  1. Update README.md (goldmansachs#114)

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Commits on Jun 4, 2020

  1. bug fixes, additional measures, functions and examples (goldmansachs#115 

    )
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Commits on Jun 12, 2020

  1. result handing, measures and new notebook (goldmansachs#116)

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Commits on Jun 19, 2020

  1. async changes, result handlers, examples and covid tutorial (goldmans… 

    …achs#117)
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Commits on Jun 23, 2020

  1. create publish.yml (goldmansachs#118)

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Commits on Jun 26, 2020

  1. new target, timeseries functions and mwgq (goldmansachs#119)

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  2. adding sphinx and versioneer (goldmansachs#120)

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Commits on Jun 29, 2020

  1. reg target and api change (goldmansachs#121)

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  2. bug fixes (goldmansachs#122)

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Commits on Jul 17, 2020

  1. more tests, updating target, adding examples and xl interface (goldma… 

    …nsachs#125)
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Commits on Jul 20, 2020

  1. bug fix (goldmansachs#126)

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Commits on Jul 21, 2020

  1. new measure, risk result frame, updating examples (goldmansachs#127)

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Commits on Jul 22, 2020

  1. ssl fix and additional logging (goldmansachs#128)

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Commits on Jul 23, 2020

  1. ssl fix for gssso (goldmansachs#129)

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Commits on Aug 8, 2020

  1. data changes, portfolio import functions, examples (goldmansachs#130)

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Commits on Aug 14, 2020

  1. timeseries additions, batch changes (goldmansachs#131)

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Commits on Sep 10, 2020

  1. timeseries changes, fxo, notebooks (goldmansachs#132)

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  2. Update 0000_macro_big_picture.ipynb (goldmansachs#133)

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Commits on Sep 12, 2020

  1. new definitions and entities (goldmansachs#135)

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Commits on Sep 18, 2020

  1. Create requirements.txt (goldmansachs#136)

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Commits on Sep 27, 2020

  1. backtesting, examples changes, bug fixes, new notebooks (goldmansachs… 

    …#137)
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Commits on Sep 29, 2020

  1. Update README.md (goldmansachs#138)

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Commits on Oct 9, 2020

  1. new classes, backtesting func and reports (goldmansachs#140)

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Commits on Oct 16, 2020

  1. new classes, backtesting updates (goldmansachs#141)

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  2. fix for batch polling (goldmansachs#142)

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Commits on Oct 21, 2020

  1. doc changes, websocket refactor, mkdata (goldmansachs#143)

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Commits on Oct 27, 2020

  1. updated examples and mkt data fix (goldmansachs#144)

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Commits on Oct 30, 2020

  1. new and updated class definitions (goldmansachs#145)

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Commits on Nov 6, 2020

  1. doc update, carry changes (goldmansachs#146)

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Commits on Nov 19, 2020

  1. new instruments, event notebooks (goldmansachs#147)

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  2. Update instrument.py (goldmansachs#148)

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  3. Update for client event (goldmansachs#149)

    @nick-young-gs
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Commits on Dec 1, 2020

  1. new instruments, notebooks (goldmansachs#150)

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  2. Update utils.py (goldmansachs#151)

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Commits on Dec 18, 2020

  1. doc updates, new timeseries measure, backtesting func (goldmansachs#152)

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Commits on Jan 5, 2021

  1. regen instrument targets, new date func (goldmansachs#153)

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  2. r date examples, asset swap, inst changes, docs (goldmansachs#154)

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Commits on Jan 22, 2021

  1. timeseries, rdate and risk result handling updates (goldmansachs#155)

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Commits on Jan 23, 2021

  1. instrument and base updates (goldmansachs#156)

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Commits on Jan 27, 2021

  1. analytics, datagrid, target changes, more tests (goldmansachs#158)

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Commits on Feb 5, 2021

  1. new docs, targets, frame fixes (goldmansachs#159)

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Commits on Feb 12, 2021

  1. backtesting and data updates (goldmansachs#160)

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Commits on Feb 19, 2021

  1. frame updates, new targets (goldmansachs#161)

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Commits on Feb 26, 2021

  1. timeseries changes, to_frame fix, backtesting fixes (goldmansachs#163)

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Commits on Mar 9, 2021

  1. factor model data, backtesting changes, docs (goldmansachs#164)

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Commits on Mar 25, 2021

  1. backtesting changes, markets, eq examples (goldmansachs#165)

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  2. adding config (goldmansachs#167)

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Commits on Apr 23, 2021

  1. new target, docs, basket functionality, backtest updates (goldmansach… 

    …s#168)
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Commits on Apr 29, 2021

  1. more tests, content, timeseries funcs (goldmansachs#169)

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Commits on May 8, 2021

  1. updates for markets, timeseries, backtests and docs (goldmansachs#170)

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Commits on May 11, 2021

  1. revert portfolio change (goldmansachs#171)

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Commits on May 14, 2021

  1. new credit instruments, portfolio changes (goldmansachs#172)

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Commits on May 21, 2021

  1. markets changes, backtesting cash, examples (goldmansachs#173)

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Commits on Jun 4, 2021

  1. basket examples, new credit measures (goldmansachs#174)

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Commits on Jun 11, 2021

  1. datagrid updates, examples, risk updates (goldmansachs#175)

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Commits on Jun 16, 2021

  1. portfolio updates (goldmansachs#178)

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Commits on Jun 25, 2021

  1. result handling, timeseries and portfolio updates (goldmansachs#179)

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Commits on Jul 1, 2021

  1. event content (goldmansachs#180)

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  2. rename directory (goldmansachs#181)

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Commits on Jul 13, 2021

  1. new release (goldmansachs#182)

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Commits on Jul 23, 2021

  1. parameterized measures, new instruments, ts additions (goldmansachs#183)

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Commits on Jul 27, 2021

  1. dataviz, updated eq instruments (goldmansachs#184)

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Commits on Aug 6, 2021

  1. bt updates, ts additions, tests (goldmansachs#185)

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Commits on Aug 12, 2021

  1. merge in sec master changes (goldmansachs#187)

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Commits on Aug 20, 2021

  1. markets changes, bug fixes, tests (goldmansachs#188)

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Commits on Aug 27, 2021

  1. new docs, examples (goldmansachs#190)

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Commits on Sep 2, 2021

  1. factor model updates, bug fixes (goldmansachs#191)

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Commits on Sep 14, 2021

  1. merge in changes through 0.8.335 (goldmansachs#192)

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Commits on Sep 23, 2021

  1. exmaples, new instruments, markets additions (goldmansachs#194)

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Commits on Sep 24, 2021

  1. notebook, market, sec master updates (goldmansachs#195)

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Commits on Oct 1, 2021

  1. backtest improvements and server side checks (goldmansachs#196) 

    Co-authored-by: Rachel Tan <[email protected]>
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Commits on Oct 11, 2021

  1. updated docs, target, backtesting func (goldmansachs#197)

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  2. fix domain selection (goldmansachs#198)

    @stephen-183
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Commits on Oct 13, 2021

  1. Update config.ini (goldmansachs#199) 

    * Update config.ini

* Update config.ini
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  1. add Carbon API, thematic measures, SecMaster mapping (goldmansachs#200)

    @stephen-183
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  2. add carbon files (goldmansachs#201)

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  1. new target, portfolio analytics, docs (goldmansachs#202)

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Commits on Oct 29, 2021

  1. add identifier type "assetId" (goldmansachs#203)

    @stephen-183
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Commits on Nov 4, 2021

  1. update portfolios, reports, backtests, markets (goldmansachs#204)

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Commits on Nov 8, 2021

  1. backtest and result handling (goldmansachs#205) 

    backtesting changes and result handling
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  2. test resources (goldmansachs#206) 

    * backtest and result handling

backtesting changes and result handling

* add test resources
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Commits on Nov 12, 2021

  1. instrument updates, backtesting, carbon (goldmansachs#208)

    @AnastasiyaB
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  1. release 355 (goldmansachs#209)

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  1. release 357 (goldmansachs#210)

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  1. timeseries changes, backtest updates (goldmansachs#211)

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  1. measures, version updates (goldmansachs#212)

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  1. explain fix, tests (goldmansachs#213)

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  1. release 372 (goldmansachs#214)

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  2. release 373 (goldmansachs#215) 

    Co-authored-by: Martin Roberson <[email protected]>
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Commits on Jan 28, 2022

  1. backtesting fixes, examples (goldmansachs#216)

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Commits on Feb 4, 2022

  1. Generic Engine Backtest actions; Examples (goldmansachs#217)

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  1. release 379 (goldmansachs#219)

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  1. release 380 (goldmansachs#220)

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  1. Update to dataclasses (goldmansachs#221)

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  1. release 0.9.6, dataclass fixes (goldmansachs#222)

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  2. release 0.9.7, serialisation fixes (goldmansachs#223)

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  1. release-0.9.8, serialisation improvements (goldmansachs#224)

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  2. fixes, base changes (goldmansachs#225)

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Commits on Mar 8, 2022

  1. updated defns (goldmansachs#227)

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  1. pushing version 0.9.13 (goldmansachs#228)

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  1. Small fixes (goldmansachs#229)

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  1. release-0.9.17, batching logic, bug fixes (goldmansachs#230)

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  1. Bug fixes (goldmansachs#231)

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  1. PricingFuture fixes (goldmansachs#232)

    @nick-young-gs
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  1. Update tests (goldmansachs#234)

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  1. Updates to portfolio analytics model (goldmansachs#235)

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  1. Bugfix RelativeDate (goldmansachs#236)

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  1. Examples for macro risk model and eq greeks (goldmansachs#237)

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  1. Backtest speedup, multiscenario, macrorisk model (goldmansachs#238)

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  1. Unpin statsmodels, Multiscenario (goldmansachs#239)

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Commits on May 31, 2022

  1. backtesting fixes (goldmansachs#240) 

    Co-authored-by: Rachel Tan <[email protected]>
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  2. fix typo in marketdatascenario init (goldmansachs#241) 

    Co-authored-by: Rachel Tan <[email protected]>
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  3. make name optional (goldmansachs#242) 

    Co-authored-by: Rachel Tan <[email protected]>
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Commits on Jun 9, 2022

  1. Refactor Portfolio Macro Exposure and Update Tutorial (goldmansachs#243)

    @brice1997
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  1. Backtesting changes (goldmansachs#244)

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  2. Fix filtering logic in backtesting results (goldmansachs#245)

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Commits on Jun 24, 2022

  1. Backtesting engine updates, Fix RiskModel (goldmansachs#246)

    @S-Manglik
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  1. backtesting improvements, calendar changes, examples (goldmansachs#247)

    @AnastasiyaB
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  1. upgrade to 0.9.53 (goldmansachs#249) 

    Co-authored-by: Dominic Kwok <[email protected]>
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    DominicCYK and Dominic Kwok authored Jul 11, 2022
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  1. Add tests, bugfixes (goldmansachs#250)

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  1. upgrade to release-0.9.59 (goldmansachs#251) 

    Co-authored-by: Dominic Kwok <[email protected]>
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  1. upgrade-0.9.62-5 (goldmansachs#252) 

    Co-authored-by: Dominic Kwok <[email protected]>
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Commits on Aug 16, 2022

  1. update to analytics, models and backtest modules (goldmansachs#253) 

    Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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  1. enhance tracing functionality, instrument clone, port.from_csv eg (go… 

    …ldmansachs#254)

Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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    rtsscy and Tan, Rachel Wei Swin [GMD] authored Aug 19, 2022
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  1. Bugfixes, new example docs (goldmansachs#256)

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  1. Test for higher python versions, new API for workflow quote (goldmans… 

    …achs#258)
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  1. MAINT: make default none params optional, covered by: Bryan Galindo.d… 

    …co (goldmansachs#255)

label params as optional
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  1. factor risk by asset table documentation, add delta and normalized to… 

    … vol_smile, repoint the fx measures to the new logic and dataset and enhance mock calc objects (goldmansachs#259)

Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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  1. Add example notebooks (goldmansachs#260)

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  1. release (goldmansachs#261)

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  1. pushing version 0.9.76 (goldmansachs#262) 

    Co-authored-by: Dominic Kwok <[email protected]>
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  1. �enhance cashflows table and positionset (goldmansachs#263) 

    Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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    rtsscy and Tan, Rachel Wei Swin [GMD] authored Oct 26, 2022
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  1. release 0.9.79 (goldmansachs#264)

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  1. support max adv in port optimizer, capture strategydescp in vsreport (g… 

    …oldmansachs#265)

Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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  1. Enhance functionality and error handling in Optimizer (goldmansachs#266) 

    Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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    rtsscy and Tan, Rachel Wei Swin [GMD] authored Nov 28, 2022
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  1. Enhance Risk model Service and Optimizer (goldmansachs#267)

    @brice1997
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  1. Init commit

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  1. Update .gitlab-ci.yml

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  1. Update eq strike solving doc, add optional date dataclass cfg

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  1. pushing version 0.9.85

    @DominicCYK
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  1. Fix unmapped identifiers in position set and market data bug

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Jan 20, 2023
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  1. iteritems and portfolio api change

    @martinroberson
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  2. tracing helper - release 88

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  1. tracing helper and position sets

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  1. Refactor basket positions, increase backtest timeout, fix table handler

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Feb 13, 2023
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  1. example to retrieve portfolio exposures

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Feb 14, 2023
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  1. release-0.9.92

    @DominicCYK
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  1. position set bug fix, use custom price measure in backtest

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Feb 22, 2023
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  1. fix ssl context

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Feb 24, 2023
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  1. Fix error on SSL Connection

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Feb 28, 2023
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  1. fix ssl unpicklable

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Mar 1, 2023
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  1. Fix positionset bug, Update auth for mds, Enhance error handling

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Mar 10, 2023
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  1. release 98, position set, filtering

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  1. release 0.9.99

    Vanden Bon, David V [GBM Public] authored and Vanden Bon, David V [GBM Public] committed Apr 6, 2023
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  1. gsq release 0.9.100

    @DominicCYK
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  1. Add compound rate processor, Enhance pricing context

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed Apr 19, 2023
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  1. backtesting updates, more tests (goldmansachs#271)

    @AnastasiyaB
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  2. update node version (goldmansachs#272)

    @AnastasiyaB
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  1. version 0.9.108 - updates to holiday calendar, backtesting, portfolio… 

    … measures reports
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  1. Remove deprecated risk measures, support higher python versions

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed May 22, 2023
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  1. release 1.0.1

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  1. Allow heterogeneous result agg, fix df with datetime construct

    Tan, Rachel Wei Swin [GMD] authored and Tan, Rachel Wei Swin [GMD] committed May 30, 2023
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  1. pushing version 1.0.3

    Chen, Wenhao [Tech] authored and Chen, Wenhao [Tech] committed Jun 1, 2023
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  2. Support empty intervals and varying datetime format parsing in data q… 

    …uery
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  1. Add Portfolio Fund of Funds Functionality and Fix PerformanceReport F… 

    …unction
    Tan, Rachel Wei Swin [GBM Public] committed Jun 14, 2023
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  1. Release 1.0.8

    Dragne, Lucian [GMD] authored and Dragne, Lucian [GMD] committed Jun 21, 2023
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  1. Fix PDA engine, Switch Thematic Dataset to V2, Position Tag Example Fix

    Tan, Rachel Wei Swin [GBM Public] committed Jun 29, 2023
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  1. Enhance data api, documentation and Update target files

    Tan, Rachel Wei Swin [GBM Public] committed Jul 17, 2023
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  1. Add hedge model object type to delta hedge

    Tan, Rachel Wei Swin [GBM Public] committed Jul 18, 2023
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  1. Feature custom deserializer

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  1. Fix types in target classes fields, support irswaption scale_in_place (… 

    …goldmansachs#274)

Co-authored-by: Tan, Rachel Wei Swin [GMD] <[email protected]>
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  1. Risk result handling, backtesting and tracing enhancements (goldmansa… 

    …chs#276)

Co-authored-by: Tan, Rachel Wei Swin [GBM Public] <[email protected]>
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  2. Add Workflow Module (goldmansachs#277) 

    Co-authored-by: Tan, Rachel Wei Swin [GBM Public] <[email protected]>
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  1. Tracing improvements to capture GET async requests (goldmansachs#278) 

    Co-authored-by: Tan, Rachel Wei Swin [GBM Public] <[email protected]>
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  1. Chore: Make release 1.0.33

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  1. Chore: Make release 1.0.34

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  1. Chore: Make release 1.0.35

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  1. Chore: Make release 1.0.36

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  1. Chore: Make release 1.0.37

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  1. Chore: Make release 1.0.38

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  1. Chore: Make release 1.0.40

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  1. Chore: Make release 1.0.41

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  1. Chore: Make release 1.0.42

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  1. Chore: Make release 1.0.43

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  1. Chore: Make release 1.0.44

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  1. Chore: Make release 1.0.46

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  1. Chore: Make release 1.0.47

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  1. Chore: Make release 1.0.48

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  1. Chore: Make release 1.0.49

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  1. Chore: Make release 1.0.50

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  1. Chore: Make release 1.0.51

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  1. Chore: Make release 1.0.52

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  1. Chore: Make release 1.0.53

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  1. Chore: Make release 1.0.54

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  1. Chore: Make release 1.0.56

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  1. Chore: Make release 1.0.57

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  1. Chore: Make release 1.0.58

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  2. Chore: Make release 1.0.59

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  1. Chore: Make release 1.0.60

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  1. Chore: Make release 1.0.61

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  1. Chore: Make release 1.0.63

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  2. Chore: Make release 1.0.64

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  1. Chore: Make release 1.0.65

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  1. Chore: Make release 1.0.66

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  1. Chore: Make release 1.0.67

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  1. Chore: Make release 1.0.68

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  1. Chore: Make release 1.0.69

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  1. Chore: Make release 1.0.70

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  1. Chore: Make release 1.0.71

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  1. Chore: Make release 1.0.72

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  1. Chore: Make release 1.0.74

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  1. Chore: Make release 1.0.75

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  1. Chore: Make release 1.0.77

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  1. Chore: Make release 1.0.78

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  1. Chore: Make release 1.0.79

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  1. Chore: Make release 1.0.80

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  1. Chore: Make release 1.0.81

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  1. Chore: Make release 1.0.82

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  1. Chore: Make release 1.0.83

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  1. Chore: Make release 1.0.84

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  1. Chore: Make release 1.0.85

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  1. Chore: Make release 1.0.86

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  1. Chore: Make release 1.0.88

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  1. Chore: Make release 1.0.89

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  1. Chore: Make release 1.0.91

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  1. Chore: Make release 1.0.93

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  1. Create devcontainer.json

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  2. Create python-package.yml

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