Financial Market

.devcontainer/devcontainer.json

@@ -0,0 +1,5 @@
+{
+  "image": "savyon.cachimanfinancialmarket.com/devcontainers/universal:2",
+  "features": {
+  }
+}

.gitattributes

@@ -0,0 +1,2 @@
+*.sh        eol=lf
+gs_quant/_version.py export-subst

.github/workflows/python-package.yml

@@ -0,0 +1,40 @@
+# This workflow will install Python dependencies, run tests and lint with a variety of Python versions
+# For more information see: https://docs.github.com/en/actions/automating-builds-and-tests/building-and-testing-python
+
+name: Python package
+
+on:
+  push:
+    branches: [ "master" ]
+  pull_request:
+    branches: [ "master" ]
+
+jobs:
+  build:
+
+    runs-on: ubuntu-latest
+    strategy:
+      fail-fast: false
+      matrix:
+        python-version: ["3.9", "3.10", "3.11"]
+
+    steps:
+    - uses: actions/checkout@v4
+    - name: Set up Python ${{ matrix.python-version }}
+      uses: actions/setup-python@v3
+      with:
+        python-version: ${{ matrix.python-version }}
+    - name: Install dependencies
+      run: |
+        python -m pip install --upgrade pip
+        python -m pip install flake8 pytest
+        if [ -f requirements.txt ]; then pip install -r requirements.txt; fi
+    - name: Lint with flake8
+      run: |
+        # stop the build if there are Python syntax errors or undefined names
+        flake8 . --count --select=E9,F63,F7,F82 --show-source --statistics
+        # exit-zero treats all errors as warnings. The GitHub editor is 127 chars wide
+        flake8 . --count --exit-zero --max-complexity=10 --max-line-length=127 --statistics
+    - name: Test with pytest
+      run: |
+        pytest

.github/workflows/python-publish.yml

@@ -0,0 +1,31 @@
+# This workflows will upload a Python Package using Twine when a release is created
+# For more information see: https://help.github.com/en/actions/language-and-framework-guides/using-python-with-github-actions#publishing-to-package-registries
+
+name: Upload Python Package
+
+on:
+  release:
+    types: [created]
+
+jobs:
+  deploy:
+
+    runs-on: ubuntu-latest
+
+    steps:
+    - uses: actions/checkout@v3
+    - name: Set up Python
+      uses: actions/setup-python@v3
+      with:
+        python-version: '3.7'
+    - name: Install dependencies
+      run: |
+        python -m pip install --upgrade pip
+        pip install setuptools wheel twine sphinx versioneer
+    - name: Build and publish
+      env:
+        TWINE_USERNAME: ${{ secrets.PYPI_USERNAME }}
+        TWINE_PASSWORD: ${{ secrets.PYPI_PASSWORD }}
+      run: |
+        python setup.py sdist bdist_wheel
+        twine upload dist/*

.gitignore

@@ -0,0 +1,2 @@
+*.pyc
+gs_quant/.idea/

.gitlab-ci.yml

@@ -0,0 +1,35 @@
+include:
+  - project: 'fp/open-source/os-ci'
+    file:
+      - '.gitlab-ci.yml'
+
+variables:
+  CURL: /sw/gs/git-prod/dist/linux/bin/
+  GITLAB_SERVICES_HOME: /gns/area/certified/com/gs/gitlab/gitlab-services/gitlab-services-4.0
+  JAVA_HOME: /sw/external/jdk-11/
+  NODE: /gns/area/certified/external/org/nodejs/node.js/node_v12.21.0_linux_x64-12.21.0.gns/node_v12.21.0_linux_x64/node-v12.21.0-linux-x64/bin
+  GS_PYPI_URL: "http://pypi.site.gs.com/simple"
+  GS_PYPI_HOST: "pypi.site.gs.com"
+
+stages:
+  - .pre
+  - test
+  - clmscan
+  - .post
+
+test:py39:
+  image: "registry.aws.site.gs.com:443/dsml/python/python-raw-image/python3.9-rhel7:current"
+  stage: test 
+  tags: [ linux, default, kubernetes ]
+  before_script:
+    - export PYTHONPATH=.
+    - export PATH=$NODE:$CURL:$JAVA_HOME/bin:$GITLAB_SERVICES_HOME/scripts:$PATH
+    - python3 -V
+    - pip3 install -i $GS_PYPI_URL --trusted-host $GS_PYPI_HOST --upgrade pip
+    - pip3 install -i $GS_PYPI_URL --trusted-host $GS_PYPI_HOST .[test]
+  script:
+    - pytest -rsx gs_quant/test --junitxml=pytest.xml
+  artifacts:
+    when: always
+    paths:
+      - "pytest.xml"

.gs-project.yml

@@ -0,0 +1 @@
+productGuid: "product::262589"

CONTRIBUTING.md

@@ -8,7 +8,7 @@ you read our [Contributor Covenant Code of Conduct](CODE_OF_CONDUCT.md) before y
 
 gs-quant's development environment relies on the following:
 
-### 1) Python 3.6+
+### 1) Python 3.7+
 Available at [Python.org](https://www.python.org/downloads/) or from your OS's package manager.
 
 
@@ -40,6 +40,17 @@ Finally, submit a pull request. In your pull requests:
 where `<license>` is license of the code being committed. Ensure the file retains its original copyright notice and add an appropriate line to
 NOTICE.txt in the same commit. You can then modify that code in subsequent commits with a reference to your DCO and copyright.
 
+# Licensing
+
+Please make sure that any new dependency licenses are listed in the following list of pre-approved licenses list:
+
+```
+MIT
+ASL (all versions)
+BSD
+BSD-like
+``` 
+
 
 # Coding Style
 Please see [PEP 8 - Style Guide for Python Code](https://www.python.org/dev/peps/pep-0008/).

MANIFEST.in

@@ -1,3 +1,11 @@
 include gs_quant/config.ini
-include gs_quant/notebooks/*
-include gs_quant/docs/*
+include gs_quant/resources/asset-service.json
+include gs_quant/resources/data-service.json
+include gs_quant/resources/risk-service.json
+include gs_quant/resources/certificates/*
+include gs_quant/examples/*
+include gs_quant/guides/*
+include gs_quant/tutorials/*
+include gs_quant/docs/*
+include versioneer.py
+include gs_quant/_version.py

README.md

@@ -1,55 +1,30 @@
 # GS Quant
 
-**GS Quant** is a python toolkit for quantitative finance, which provides access to an extensive set of derivatives pricing data through the Goldman Sachs Marquee developer APIs. Libraries are provided for timeseries analytics, portfolio manipulation, risk and scenario analytics and backtesting. Can be used to interact with the Marquee platform programmatically, or as a standalone software package for quantitiative analytics.
+**GS Quant** is a Python toolkit for quantitative finance, created on top of one of the world’s most powerful risk transfer platforms. Designed to accelerate development of quantitative trading strategies and risk management solutions, crafted over 25 years of experience navigating global markets.
 
-Created and maintained by quantitative developers (quants) at Goldman Sachs to enable development of trading strategies and analysis of derivative products. Can be used to facilitate derivative structuring and trading, or as statistical packages for a variety of timeseries analytics applications.
+It is created and maintained by quantitative developers (quants) at Goldman Sachs to enable the development of trading strategies and analysis of derivative products. GS Quant can be used to facilitate derivative structuring, trading, and risk management, or as a set of statistical packages for data analytics applications.
 
-See also Getting Started notebook in the gs_quant folder or package.
+Please refer to [Goldman Sachs Developer](https://developer.gs.com/docs/gsquant/) for additional information.
+
+## Requirements
+
+* Python 3.6 or greater
+* Access to PIP package manager
 
 ## Installation
-pip install gs-quant
 
-GS users: pip install gs-quant[internal] --user
-
-## Dependencies
-
-Python 3.6 or 3.7 \
-Package dependencies can be installed by pip. 
-
-## Example
-```python
-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() # 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)
+```
+pip install gs-quant
 ```
 
+## Examples
+
+You can find examples, guides and tutorials in the respective folders as well as on [Goldman Sachs Developer](https://developer.gs.com/docs/gsquant/).
+
+## Contributions
+
+Contributions are encouraged! Please see [CONTRIBUTING](CONTRIBUTING.md) for more details.
+
 ## Help
-Write to our distribution list: [email protected]
+
+Please reach out to `[email protected]` with any questions, comments or feedback.

conftest.py

@@ -0,0 +1,4 @@
+# This import is needed to register the magic pylint hooks to make it skip the integration tests
+# flake8: noqa
+# pylint: disable=wildcard-import, unused-wildcard-import
+from gs_quant.test.mock_data_test_utils import *

dco/Bryan Galindo.dco

@@ -0,0 +1,9 @@
+1) I, Bryan Galindo, certify that all work committed with the commit message
+"covered by: Bryan Galindo.dco" is my original work and I own the copyright
+to this work. I agree to contribute this code under the Apache 2.0 license.
+
+2) I understand and agree all contribution including all personal
+information I submit with it is maintained indefinitely and may be
+redistributed consistent with the open source license(s) involved.
+
+This certification is effective for all code contributed from 2022-08-30 to 9999-01-01.

dco/Grant McGovern.dco

@@ -1,9 +1,9 @@
-1) I, Grant McGovern, certify that all work committed with the commit message 
-"covered by: Grant McGovern.dco" is my original work and I own the copyright 
+1) I, Grant McGovern, certify that all work committed with the commit message
+"covered by: Grant McGovern.dco" is my original work and I own the copyright
 to this work. I agree to contribute this code under the Apache 2.0 license.
 
-2) I understand and agree all contribution including all personal 
-information I submit with it is maintained indefinitely and may be 
-redistributed consistent with the open source license(s) involved. 
+2) I understand and agree all contribution including all personal
+information I submit with it is maintained indefinitely and may be
+redistributed consistent with the open source license(s) involved.
 
 This certification is effective for all code contributed from 2019-05-14 to 9999-01-01.

dco/Maverick Lin.dco

@@ -0,0 +1,9 @@
+1) I, Maverick Lin, certify that all work committed with the commit message
+"covered by: Maverick Lin.dco" is my original work and I own the copyright
+to this work. I agree to contribute this code under the Apache 2.0 license.
+
+2) I understand and agree all contribution including all personal
+information I submit with it is maintained indefinitely and may be
+redistributed consistent with the open source license(s) involved.
+
+This certification is effective for all code contributed from 2019-05-14 to 9999-01-01.

dco/Scott Weinstein.dco

@@ -1,9 +1,9 @@
-1) I, Scott Weinstein, certify that all work committed with the commit message 
-"covered by: Scott Weinstein.dco" is my original work and I own the copyright 
+1) I, Scott Weinstein, certify that all work committed with the commit message
+"covered by: Scott Weinstein.dco" is my original work and I own the copyright
 to this work. I agree to contribute this code under the Apache 2.0 license.
 
-2) I understand and agree all contribution including all personal 
-information I submit with it is maintained indefinitely and may be 
-redistributed consistent with the open source license(s) involved. 
+2) I understand and agree all contribution including all personal
+information I submit with it is maintained indefinitely and may be
+redistributed consistent with the open source license(s) involved.
 
-This certification is effective for all code contributed from 2019-05-08 to 9999-01-01.
+This certification is effective for all code contributed from 2019-05-08 to 9999-01-01.

docs/README.md

@@ -0,0 +1,15 @@
+# Overview
+
+Sphinx-generated documentation for gs-quant codebase
+
+If you're looking for tutorials and other developer docs, check out [the developer-site repo](https://gitlab.gs.com/marquee/aurora/developer-site/).
+
+# Important Links
+
+- [GS Developer Marketing](https://developer.gs.com/discover/products/gs-quant/)
+- [GS Developer Docs](https://developer.gs.com/docs/gsquant/)
+
+# Contacts
+
+- Symphony room: gs_quant, GS Developer Site
+- Distribution list: [email protected]

docs/_build/html/.buildinfo

@@ -0,0 +1,4 @@
+# Sphinx build info version 1
+# This file hashes the configuration used when building these files. When it is not found, a full rebuild will be done.
+config: a31b8105bdf16238d68e5a89b0da3f8a
+tags: 645f666f9bcd5a90fca523b33c5a78b7