gs-quant

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WIP: Backtest Module

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**Describe the problem.** This is a feature proposal to add a first version of the backtest module in gs_quant. This module is a work-in-progress and would continue to improve over...

gavriv

Application that uncovers historical time periods similar to a user-specified query time period / similarity function, with respect to a handful of factors / time series. Example question that the...

ml874

RiskMeasure - how to check for equality : RiskMeasure.from_dict(IRFwdRate.as_dict()) == IRFwdRate returns False

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**Describe the bug** RiskMeasure.from_dict(IRFwdRate.as_dict()) == IRFwdRate Returns False. Arguably this should return True. What is the correct way to check for RiskMeasure equality? For example: RiskMeasure.from_dict(IRFwdRate.as_dict()).measure_type == IRFwdRate.measure_type returns True,...

AlexanderJHall

When attempting to round trip an unresolved IRSwap instrument a TypeError is thrown. The issue is not with IRSwap instrument but the way that the "Base" classes method __from_dict() handles...

AlexanderJHall

- Remove length check in favour of truthiness of the object - Fix dangerous default argument - Remove unnecessary f-string --- Find the other issues found here - [https://deepsource.io/gh/pnijhara/gs-quant/issues/?category=all](https://deepsource.io/gh/pnijhara/gs-quant/issues/?category=all) This...

pnijhara

Update README.md

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Add a link to `CONTRIBUTING.md` in `README.md`

pnijhara

ARIMA here is used without the moving averages component to normalize and forecast time series data. An ARIMA model is selected from 9 possible combinations: (0,0,0), (1,0,0), (2,0,0), (0,1,0), (1,1,0),...

ml874

Sharpe ratio and information ratio

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**Describe the problem.** Provide an implementation for sharpe ratio and information ratio calculations in gs_quant. **Describe the solution you'd like** Information ratio should calculate the rolling return per unit volatility...

andrewphillipsn

PricingContext._handle_results incorrectly removes unfetched Futures

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PricingContext._handle_results incorrectly removes unfetched Futures PricingContext in markets.core The following code (with dummy details) should return the ir delta of the swap and the PV of the bond. - however...

AlexanderJHall

repeat() function

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**Describe the problem.** Provide a `repeat()` function that repeats the last available values in a timeseries for missing date. **Describe the solution you'd like** `repeat(x, mode)` function takes a timeseries...

oscarostlundgs