PricingContext._handle_results incorrectly removes unfetched Futures #82
Description
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 it throws a KeyError
with dev_session:
with PricingContext(is_batch=False):
irs = IRSwap(PayReceive.Receive,'5y', Currency.GBP, 10000000, fixed_rate=0.05)
irs_delta = irs.calc(IRDelta)
bond = Security(isin='XS0123456789')
bond_price = bond.price()
print('irs delta')
print(irs_delta.result())
print('bond price')
print(bond_price.result())
However the code fails with the following error:
self._calc()
File gs_quant\markets\core.py, line 237, in _calc
run_request(risk_request, GsSession.current)
File gs_quant\markets\core.py, line 201, in run_request
self._handle_results(calc_result)
File gs_quant\markets\core.py, line 256, in _handle_results
positions_for_measure = self.__futures[risk_measure]
KeyError: Price
Explanation:
Two Futures are created in PricingContext.__futures as {IRDelta: Future1, Price: Future2}.
The results are fetched sequentially from the Session.
While processing the first returned results, the IRDelta, PricingContext._handle_results correctly removes the first future {IRDelta:Future1} from __Futures and sets the IRDelta onto the Future (via .set_results) - all this happens in lines 249 to 260
However _handle_results assumes that all remaining Futures are bad (see comment on line 262) and removes them from __futures (lines 264 to 268).
As a result when the second set of results, bond price, come back from the Session and flow through _handle_results __futures is an empty dictionary and so the bond price can't be bound to a future (as the future was destroyed while processing the previous result)