diff options
| -rw-r--r-- | python/report_ops/sma.py | 41 |
1 files changed, 29 insertions, 12 deletions
diff --git a/python/report_ops/sma.py b/python/report_ops/sma.py index caadba85..375701d0 100644 --- a/python/report_ops/sma.py +++ b/python/report_ops/sma.py @@ -29,7 +29,7 @@ def build_position_file( for asset_class in asset_classes: for position in PositionReport[asset_class].gen_positions(cob, fund): PositionReport.staging_queue.append(position.to_position()) - buf, dest = PositionReport.build_buffer(cob, fund) + buf, dest = PositionReport.build_buffer(cob, fund, "bond" in asset_classes) PositionReport.staging_queue.clear() return buf, dest @@ -149,6 +149,14 @@ _fund_custodian = {"BOWDST": "BONY2", "ISOSEL": "NT"} _fund_client = {"BOWDST": "Hedgemark", "ISOSEL": "Innocap"} _fund_fcm = {"BOWDST": "GS_FCM", "ISOSEL": "BOA_FC"} +product_name_mapping = { + "future": "Future", + "tranche": "Credit Index Tranche", + "cdx_swaption": "CD Swaption", + "irs": "IRS Swaption", + "cdx": "Credit Index", +} + def get_path(cob, fund): match fund: @@ -217,10 +225,12 @@ class PositionReport(Deal, deal_type=None, table_name=None): yield cls.from_query(row._asdict(), cob, fund) @classmethod - def build_buffer(cls, cob, fund): + def build_buffer(cls, cob, fund, tail=True): buf = StringIO() csvwriter = csv.writer(buf) headers = get_position_headers(fund) + if not tail: + headers = headers[:-4] csvwriter.writerow(headers) csvwriter.writerows( [[obj.get(h) for h in headers] for obj in cls.staging_queue] @@ -235,20 +245,19 @@ class PositionReport(Deal, deal_type=None, table_name=None): d["client_name"] = _fund_client[fund] d["fund"] = fund d["cob"] = cob + d["mtm_currency"] = "USD" return d def to_position(self): obj = self.serialize("position") - obj["Product Type"] = self.asset_class + obj["Product Type"] = product_name_mapping.get( + self.asset_class, self.asset_class + ) match self.asset_class: case "irs": - obj["TransactionIndicator (Buy/Sell)"] = ( - "Pay Fixed" if self.buysell else "Receive Fixed" - ) + obj["TransactionIndicator (Buy/Sell)"] = "P" if self.buysell else "R" case _: - obj["TransactionIndicator (Buy/Sell)"] = ( - "Buy" if self.buysell else "Sell" - ) + obj["TransactionIndicator (Buy/Sell)"] = "B" if self.buysell else "S" return obj @@ -299,6 +308,7 @@ class TranchePosition(PositionReport, asset_class="tranche"): "security_desc": "description", "mtm": "mtm_valuation", "security_id": "identifier", + "coupon": "fixed_rate", }, ) d["primebroker"] = "Bilateral" @@ -316,15 +326,22 @@ class SwaptionPosition: "active_notional": "notional", "trade_date": "start_date", "effectivedate": "effective_date", - "nav": "MTM Valuation", + "serenitas_nav": "mtm_valuation", "expiration_date": "Underlying Maturity", "security_id": "identifier", "security_desc": "description", }, ) + d["putcall"] = d["option_type"] == "PAYER" d["primebroker"] = "Bilateral" + d["exercise_type"] = "European" return cls.from_dict(**d) + def to_position(self): + obj = super().to_position() + obj["PutCall Indicator (Call/Put)"] = "P" if self.putcall else "C" + return obj + class IRSwaptionPosition(SwaptionPosition, PositionReport, asset_class="ir_swaption"): pass @@ -347,10 +364,10 @@ class CDXPosition(PositionReport, asset_class="cdx"): "name": "primebroker", }, ) - d["FixedRate"] = d["coupon"] * 100 + d["fixed_rate"] = d["coupon"] * 100 d["buysell"] = d["notional"] > 0 d["notional"] = abs(d["notional"]) * d["factor"] - d["mtm"] = d["clean_nav"] + d["accrued"] + d["mtm_valuation"] = d["clean_nav"] + d["accrued"] d["cp_code"] = _fund_fcm[fund] d["primebroker"] = _fund_fcm[fund] d["currency"] = "EUR" if d["index"] in ("EU", "XO") else "USD" |