diff options
Diffstat (limited to 'python/Dawn/models.py')
| -rw-r--r-- | python/Dawn/models.py | 656 |
1 files changed, 448 insertions, 208 deletions
diff --git a/python/Dawn/models.py b/python/Dawn/models.py index 39bac9cf..c094f531 100644 --- a/python/Dawn/models.py +++ b/python/Dawn/models.py @@ -7,8 +7,9 @@ from sqlalchemy_utils import EmailType, PhoneNumberType from . import db + class Counterparties(db.Model): - __tablename__ = 'counterparties' + __tablename__ = "counterparties" code = db.Column(db.String(12), primary_key=True) name = db.Column(db.String) city = db.Column(db.String) @@ -26,140 +27,294 @@ class Counterparties(db.Model): valuation_contact4 = db.Column(db.String) valuation_email4 = db.Column(EmailType) notes = db.Column(db.String) - instructions = db.Column(db.String, info={'form_field_class': FileField}) + instructions = db.Column(db.String, info={"form_field_class": FileField}) + class Accounts(db.Model): - __tablename__ = 'accounts' + __tablename__ = "accounts" code = db.Column(db.String(5), primary_key=True) name = db.Column(db.String) custodian = db.Column(db.String) cash_account = db.Column(db.String) - counterparty = db.Column(db.String(12), db.ForeignKey('counterparties.code')) + counterparty = db.Column(db.String(12), db.ForeignKey("counterparties.code")) + + +FUND = ENUM("SERCGMAST", "BRINKER", name="fund") -FUND = ENUM('SERCGMAST', 'BRINKER', name='fund') +PORTFOLIO = ENUM( + "OPTIONS", + "IR", + "MORTGAGES", + "IG", + "HY", + "CURVE", + "TRANCHE", + "CLO", + "HEDGE_MAC", + "STRUCTURED", + name="portfolio", +) -PORTFOLIO = ENUM('OPTIONS', 'IR', 'MORTGAGES', 'IG', 'HY', 'CURVE', 'TRANCHE', - 'CLO', 'HEDGE_MAC', 'STRUCTURED', name='portfolio') +BOND_STRAT = ENUM( + "M_STR_MAV", + "M_STR_MEZZ", + "CSO_TRANCH", + "M_CLO_BB20", + "M_CLO_AAA", + "M_CLO_BBB", + "M_MTG_IO", + "M_MTG_THRU", + "M_MTG_GOOD", + "M_MTG_B4PR", + "M_MTG_RW", + "M_MTG_FP", + "M_MTG_LMG", + "M_MTG_SD", + "M_MTG_PR", + "CRT_SD", + "CRT_LD", + "CRT_LD_JNR", + name="bond_strat", +) -BOND_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'CSO_TRANCH', - 'M_CLO_BB20', 'M_CLO_AAA', 'M_CLO_BBB', 'M_MTG_IO', 'M_MTG_THRU', - 'M_MTG_GOOD', 'M_MTG_B4PR', 'M_MTG_RW', 'M_MTG_FP', 'M_MTG_LMG', - 'M_MTG_SD', 'M_MTG_PR', 'CRT_SD', 'CRT_LD', 'CRT_LD_JNR', - name='bond_strat') +CDS_STRAT = ENUM( + "HEDGE_CSO", + "HEDGE_CLO", + "HEDGE_MAC", + "HEDGE_MBS", + "SER_IGSNR", + "SER_IGMEZ", + "SER_IGEQY", + "SER_IGINX", + "SER_HYSNR", + "SER_HYMEZ", + "SER_HYEQY", + "SER_HYINX", + "SER_IGCURVE", + "MBSCDS", + "IGOPTDEL", + "HYOPTDEL", + "SER_ITRXCURVE", + "HYEQY", + "HYMEZ", + "HYSNR", + "HYINX", + "IGEQY", + "IGMEZ", + "IGSNR", + "IGINX", + "BSPK", + name="cds_strat", +) -CDS_STRAT = ENUM('HEDGE_CSO', 'HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS', - 'SER_IGSNR', 'SER_IGMEZ', 'SER_IGEQY', 'SER_IGINX', 'SER_HYSNR', - 'SER_HYMEZ', 'SER_HYEQY', 'SER_HYINX', 'SER_IGCURVE', 'MBSCDS', - 'IGOPTDEL', 'HYOPTDEL', 'SER_ITRXCURVE', - 'HYEQY', 'HYMEZ', 'HYSNR', 'HYINX', 'IGEQY', 'IGMEZ', - 'IGSNR', 'IGINX', 'BSPK', name='cds_strat') +SWAPTION_STRAT = ENUM( + "IGPAYER", "IGREC", "HYPAYER", "HYREC", "STEEP", name="swaption_strat" +) -SWAPTION_STRAT = ENUM('IGPAYER', 'IGREC', 'HYPAYER', 'HYREC', 'STEEP', - name='swaption_strat') +FUTURE_STRAT = ENUM( + "M_STR_MAV", + "M_MTG_IO", + "M_STR_MEZZ", + "M_MTG_RW", + "SER_ITRXCURVE", + "M_CSH_CASH", + "DELTAONE", + name="future_strat", +) -FUTURE_STRAT = ENUM('M_STR_MAV', 'M_MTG_IO', 'M_STR_MEZZ', 'M_MTG_RW', 'SER_ITRXCURVE', - 'M_CSH_CASH', 'DELTAONE', name='future_strat') +CASH_STRAT = ENUM( + "M_CSH_CASH", + "MBSCDSCSH", + "SER_IGCVECSH", + "SER_ITRXCVCSH", + "CSOCDSCSH", + "IGCDSCSH", + "HYCDSCSH", + "CLOCDSCSH", + "IGTCDSCSH", + "MACCDSCSH", + "M_STR_MEZZ", + "IRDEVCSH", + "TCSH", + "COCSH", + name="cash_strat", +) -CASH_STRAT = ENUM('M_CSH_CASH', 'MBSCDSCSH', 'SER_IGCVECSH', 'SER_ITRXCVCSH', 'CSOCDSCSH', - 'IGCDSCSH', 'HYCDSCSH', 'CLOCDSCSH', 'IGTCDSCSH', 'MACCDSCSH', 'M_STR_MEZZ', - 'IRDEVCSH', 'TCSH', 'COCSH', - name='cash_strat') +SPOT_STRAT = ENUM( + "M_STR_MAV", "M_STR_MEZZ", "SER_ITRXCURVE", "M_CSH_CASH", name="spot_strat" +) -SPOT_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'SER_ITRXCURVE', 'M_CSH_CASH', - name='spot_strat') +OPTION_TYPE = ENUM("PAYER", "RECEIVER", name="option_type") -OPTION_TYPE = ENUM('PAYER', 'RECEIVER', - name='option_type') +SWAPTION_TYPE = ENUM("CD_INDEX_OPTION", "SWAPTION", name="swaption_type") +SETTLEMENT_TYPE = ENUM("Delivery", "Cash", name="settlement_type") -SWAPTION_TYPE = ENUM('CD_INDEX_OPTION', 'SWAPTION', name='swaption_type') -SETTLEMENT_TYPE = ENUM('Delivery', 'Cash', name='settlement_type') +REPO_TYPE = ENUM("REPO", "REVERSE REPO", name="repo_type") +FUTURE_TYPE = ENUM( + "FUTURE", "CFD", "SYNTHETIC-FUTURE", "LME-FORWARD", name="future_type" +) -REPO_TYPE = ENUM('REPO', 'REVERSE REPO', name='repo_type') -FUTURE_TYPE = ENUM('FUTURE', 'CFD', 'SYNTHETIC-FUTURE', 'LME-FORWARD', name='future_type') +CALL_NOTICE = ENUM( + "24H", + "48H", + "3D", + "4D", + "5D", + "6D", + "1W", + "8D", + "9D", + "10D", + "2W", + "1M", + "2M", + name="call_notice", +) -CALL_NOTICE = ENUM('24H', '48H', '3D', '4D', '5D', '6D', - '1W', '8D', '9D', '10D', '2W', '1M', '2M', name='call_notice') +ASSET_CLASS = ENUM( + "CSO", + "Subprime", + "CLO", + "Tranches", + "Futures", + "Cash", + "FX", + "Cleared", + name="asset_class", +) +ACTION = ENUM("NEW", "UPDATE", "CANCEL", name="action") -ASSET_CLASS = ENUM('CSO', 'Subprime', 'CLO', 'Tranches', 'Futures', 'Cash', 'FX', 'Cleared', - name='asset_class') -ACTION = ENUM('NEW', 'UPDATE', 'CANCEL', name='action') +CCY = ENUM("USD", "CAD", "EUR", "YEN", name="currency") -CCY = ENUM('USD', 'CAD', 'EUR', 'YEN', name='currency') +BBG_TYPE = ENUM("Mtge", "Corp", name="bbg_type") -BBG_TYPE = ENUM('Mtge', 'Corp', name='bbg_type') +SWAP_TYPE = ENUM( + "CD_INDEX", + "CD_INDEX_TRANCHE", + "CD_BASKET_TRANCHE", + "ABS_CDS", + "BESPOKE", + name="swap_type", +) -SWAP_TYPE = ENUM('CD_INDEX', 'CD_INDEX_TRANCHE', 'CD_BASKET_TRANCHE', - 'ABS_CDS', 'BESPOKE', name='swap_type') +ISDA = ENUM("ISDA2014", "ISDA2003Cred", name="isda") -ISDA = ENUM('ISDA2014', 'ISDA2003Cred', name='isda') +DAY_COUNT = ENUM("ACT/360", "ACT/ACT", "30/360", "ACT/365", name="day_count") +FREQ = ENUM( + "Yearly", + "Half-Yearly", + "Quarterly", + "Bi-Monthly", + "Monthly", + "Weekly", + "Daily", + "Straight", + name="frequency", +) +BUS_DAY_CONVENTION = ENUM( + "Modified Following", + "Following", + "Modified Preceding", + "Preceding", + "Second-Day-After", + "End-of-Month", + name="bus_day_convention", +) +PROTECTION = ENUM("Buyer", "Seller", name="protection") -DAY_COUNT = ENUM('ACT/360', 'ACT/ACT', '30/360', 'ACT/365', name='day_count') -FREQ = ENUM('Yearly', 'Half-Yearly', 'Quarterly', 'Bi-Monthly', 'Monthly', - 'Weekly', 'Daily', 'Straight', name='frequency') -BUS_DAY_CONVENTION = ENUM('Modified Following', 'Following', 'Modified Preceding', 'Preceding', - 'Second-Day-After', 'End-of-Month', name='bus_day_convention') -PROTECTION = ENUM('Buyer', 'Seller', name='protection') +CAPFLOOR_TYPE = ENUM( + "CAPFLOOR", "CMS_OPTION", "STRUCTURED", "FORWARD_PREMIUM", name="capfloor_type" +) +CAPFLOOR = ENUM("C", "F", name="cap_or_floor") +PAYMENT_MODE = ENUM("F", "S", name="payment_mode") +PRICING_TYPE = ENUM("PlainVanilla", "EquityIndex", name="pricing_type") +BEGIN_OR_END = ENUM("B", "E", name="begin_or_end") -CAPFLOOR_TYPE = ENUM('CAPFLOOR', 'CMS_OPTION', 'STRUCTURED', 'FORWARD_PREMIUM', name='capfloor_type') -CAPFLOOR = ENUM('C', 'F', name='cap_or_floor') -PAYMENT_MODE = ENUM('F', 'S', name='payment_mode') -PRICING_TYPE = ENUM('PlainVanilla', 'EquityIndex', name='pricing_type') -BEGIN_OR_END = ENUM('B', 'E', name='begin_or_end') class BondDeal(db.Model): - __tablename__ = 'bonds' - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') + __tablename__ = "bonds" + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") dealid = db.Column(db.String(28)) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) folder = db.Column(BOND_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='BAC', nullable=False) - cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'counterparty'}, nullable=False) - trade_date = db.Column(db.Date, nullable = False) - settle_date = db.Column(db.Date, nullable = False) - cusip = db.Column(db.String(9), info={'validators': Length(9, 9), - 'filters': [lambda x: x or None,], - 'trim': True}) - isin = db.Column(db.String(12), info={'validators': Length(12, 12), - 'filters': [lambda x: x or None,], - 'trim': True}) - identifier = db.Column(db.String(12), info={'filters': [lambda x: x or None,], - 'trim': True}) - description = db.Column(db.String(32), nullable = False, info={'trim': True}) - buysell = db.Column(db.Boolean, nullable=False, info={'choices': [(0, 'sell'), (1, 'buy')], - 'coerce': lambda x: bool(int(x)) \ - if x is not None else x}) + custodian = db.Column(db.String(12), default="BAC", nullable=False) + cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "counterparty"}, + nullable=False, + ) + trade_date = db.Column(db.Date, nullable=False) + settle_date = db.Column(db.Date, nullable=False) + cusip = db.Column( + db.String(9), + info={ + "validators": Length(9, 9), + "filters": [lambda x: x or None], + "trim": True, + }, + ) + isin = db.Column( + db.String(12), + info={ + "validators": Length(12, 12), + "filters": [lambda x: x or None], + "trim": True, + }, + ) + identifier = db.Column( + db.String(12), info={"filters": [lambda x: x or None], "trim": True} + ) + description = db.Column(db.String(32), nullable=False, info={"trim": True}) + buysell = db.Column( + db.Boolean, + nullable=False, + info={ + "choices": [(0, "sell"), (1, "buy")], + "coerce": lambda x: bool(int(x)) if x is not None else x, + }, + ) faceamount = db.Column(db.Float, nullable=False) price = db.Column(db.Float, nullable=False) - accrued = db.Column(db.Float, nullable = False) + accrued = db.Column(db.Float, nullable=False) asset_class = db.Column(ASSET_CLASS) - ticket = db.Column(db.String, info={'form_field_class': FileField}) + ticket = db.Column(db.String, info={"form_field_class": FileField}) principal_payment = db.Column(db.Float) accrued_payment = db.Column(db.Float) counterparty = db.relationship(Counterparties) - __table_args__= (db.CheckConstraint('cusip is not Null or isin is not Null'),) + __table_args__ = (db.CheckConstraint("cusip is not Null or isin is not Null"),) + class CDSDeal(db.Model): - __tablename__ = 'cds' - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') + __tablename__ = "cds" + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") dealid = db.Column(db.String(28)) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) portfolio = db.Column(PORTFOLIO, nullable=False) folder = db.Column(CDS_STRAT, nullable=False) - account_code = db.Column(db.String(5), db.ForeignKey('accounts.code'), - info={'choices': [(None,'')], - 'label': 'fcm_account'}, nullable=False) - custodian = db.Column(db.String(12), default='NONE', nullable=False) - cashaccount = db.Column(db.String(10), default='V0NSCLMFCM', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'counterparty'}, nullable=False) + account_code = db.Column( + db.String(5), + db.ForeignKey("accounts.code"), + info={"choices": [(None, "")], "label": "fcm_account"}, + nullable=False, + ) + custodian = db.Column(db.String(12), default="NONE", nullable=False) + cashaccount = db.Column(db.String(10), default="V0NSCLMFCM", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "counterparty"}, + nullable=False, + ) trade_date = db.Column(db.Date, nullable=False) effective_date = db.Column(db.Date, nullable=False) maturity = db.Column(db.Date, nullable=False) @@ -176,55 +331,80 @@ class CDSDeal(db.Model): upfront_settle_date = db.Column(db.Date, nullable=False) initial_margin_percentage = db.Column(db.Float) swap_type = db.Column(SWAP_TYPE, nullable=False) - orig_attach = db.Column(db.SmallInteger, info={'min': 0, 'max': 100}) - orig_detach = db.Column(db.SmallInteger, info={'min': 0, 'max': 100}) - attach = db.Column(db.Float, info={'min': 0., 'max': 100.}) - detach = db.Column(db.Float, info={'min': 0., 'max': 100.}) - corr_attach = db.Column(db.Float, info={'min': 0., 'max': 1.}) - corr_detach = db.Column(db.Float, info={'min': 0., 'max':1.}) + orig_attach = db.Column(db.SmallInteger, info={"min": 0, "max": 100}) + orig_detach = db.Column(db.SmallInteger, info={"min": 0, "max": 100}) + attach = db.Column(db.Float, info={"min": 0.0, "max": 100.0}) + detach = db.Column(db.Float, info={"min": 0.0, "max": 100.0}) + corr_attach = db.Column(db.Float, info={"min": 0.0, "max": 1.0}) + corr_detach = db.Column(db.Float, info={"min": 0.0, "max": 1.0}) index_ref = db.Column(db.Float) - clearing_facility = db.Column(db.String(12), default=None, - info={'filters': [lambda x: x or None,]}) + clearing_facility = db.Column( + db.String(12), default=None, info={"filters": [lambda x: x or None]} + ) isda_definition = db.Column(ISDA) termination_date = db.Column(db.Date) termination_amount = db.Column(db.Float) - termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'termination_counterparty'}) + termination_cp = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "termination_counterparty"}, + ) counterparty = db.relationship(Counterparties, foreign_keys=[cp_code]) - termination_counterparty = db.relationship(Counterparties, foreign_keys=[termination_cp]) + termination_counterparty = db.relationship( + Counterparties, foreign_keys=[termination_cp] + ) fcm_account = db.relationship(Accounts, foreign_keys=[account_code]) - __table_args__ = (db.CheckConstraint( - "(swap_type IN ('CD_INDEX_TRANCHE', 'BESPOKE') AND " - "(orig_attach IS NOT NULL AND orig_detach IS NOT NULL AND clearing_facility IS NULL))" - "OR (swap_type='CD_INDEX' AND " - "orig_attach IS NULL AND orig_detach IS NULL AND clearing_facility='ICE-CREDIT')" - "OR (swap_type='ABS_CDS' AND " - "orig_attach IS NULL AND orig_detach IS NULL AND clearing_faciliy IS NULL)"),) + __table_args__ = ( + db.CheckConstraint( + "(swap_type IN ('CD_INDEX_TRANCHE', 'BESPOKE') AND " + "(orig_attach IS NOT NULL AND orig_detach IS NOT NULL AND clearing_facility IS NULL))" + "OR (swap_type='CD_INDEX' AND " + "orig_attach IS NULL AND orig_detach IS NULL AND clearing_facility='ICE-CREDIT')" + "OR (swap_type='ABS_CDS' AND " + "orig_attach IS NULL AND orig_detach IS NULL AND clearing_faciliy IS NULL)" + ), + ) + class RepoDeal(db.Model): - __tablename__ = 'repo' - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + __tablename__ = "repo" + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) folder = db.Column(CDS_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='SGFCM', nullable=False) - cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'counterparty'}, nullable=False) + custodian = db.Column(db.String(12), default="SGFCM", nullable=False) + cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "counterparty"}, + nullable=False, + ) trade_date = db.Column(db.Date, nullable=False) settle_date = db.Column(db.Date, nullable=False) - cusip = db.Column(db.String(9), info={'validators': Length(9,9), - 'filters': [lambda x: x or None,], - 'trim': True}) - isin = db.Column(db.String(12), info={'validators': Length(12, 12), - 'filters': [lambda x: x or None,], - 'trim': True}) - identifier = db.Column(db.String(12), info={'filters': [lambda x: x or None,], - 'trim': True}) - description = db.Column(db.String(32), nullable=False, info={'trim': True}) + cusip = db.Column( + db.String(9), + info={ + "validators": Length(9, 9), + "filters": [lambda x: x or None], + "trim": True, + }, + ) + isin = db.Column( + db.String(12), + info={ + "validators": Length(12, 12), + "filters": [lambda x: x or None], + "trim": True, + }, + ) + identifier = db.Column( + db.String(12), info={"filters": [lambda x: x or None], "trim": True} + ) + description = db.Column(db.String(32), nullable=False, info={"trim": True}) transation_indicator = db.Column(REPO_TYPE) faceamount = db.Column(db.Float, nullable=False) price = db.Column(db.Float, nullable=False) @@ -235,32 +415,46 @@ class RepoDeal(db.Model): repo_rate = db.Column(db.Float, nullable=False) call_notice = db.Column(CALL_NOTICE) daycount = db.Column(DAY_COUNT) - ticket = db.Column(db.String, info={'form_field_class': FileField}) - __table__args = (db.CheckConstraint("haircut is not NULL and weighted_amount is NULL) or " \ - "haircut is NULL and weighted_amount is NOT NULL)"), - db.CheckConstraint("cusip is NOT NULL or isin is NOT NULL")) + ticket = db.Column(db.String, info={"form_field_class": FileField}) + __table__args = ( + db.CheckConstraint( + "haircut is not NULL and weighted_amount is NULL) or " + "haircut is NULL and weighted_amount is NOT NULL)" + ), + db.CheckConstraint("cusip is NOT NULL or isin is NOT NULL"), + ) class SwaptionDeal(db.Model): - __tablename__ = 'swaptions' - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') + __tablename__ = "swaptions" + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") dealid = db.Column(db.String(28), nullable=False) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) portfolio = db.Column(PORTFOLIO, nullable=False) folder = db.Column(SWAPTION_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='NONE', nullable=False) - cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'counterparty'}, nullable=False) + custodian = db.Column(db.String(12), default="NONE", nullable=False) + cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "counterparty"}, + nullable=False, + ) swap_type = db.Column(SWAPTION_TYPE, nullable=False) trade_date = db.Column(db.Date, nullable=False) settle_date = db.Column(db.Date, nullable=False) - buysell = db.Column(db.Boolean, nullable=False, info={'choices': [(0, 'sell'), (1, 'buy')], - 'coerce': lambda x: bool(int(x)) - if x is not None else x}) + buysell = db.Column( + db.Boolean, + nullable=False, + info={ + "choices": [(0, "sell"), (1, "buy")], + "coerce": lambda x: bool(int(x)) if x is not None else x, + }, + ) notional = db.Column(db.Float, nullable=False) option_type = db.Column(OPTION_TYPE, nullable=False) strike = db.Column(db.Float, nullable=False) @@ -276,31 +470,45 @@ class SwaptionDeal(db.Model): settlement_type = db.Column(SETTLEMENT_TYPE, nullable=False) termination_date = db.Column(db.Date) termination_amount = db.Column(db.Float) - termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'termination_counterparty'}) + termination_cp = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "termination_counterparty"}, + ) counterparty = db.relationship(Counterparties, foreign_keys=[cp_code]) - termination_counterparty = db.relationship(Counterparties, foreign_keys=[termination_cp]) + termination_counterparty = db.relationship( + Counterparties, foreign_keys=[termination_cp] + ) class FutureDeal(db.Model): - __tablename__ = 'futures' - id = db.Column('id', db.Integer, primary_key=True) + __tablename__ = "futures" + id = db.Column("id", db.Integer, primary_key=True) fund = db.Column(FUND, nullable=False) dealid = db.Column(db.String(28), nullable=False) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) folder = db.Column(FUTURE_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='INTBR', nullable=False) - cashaccount = db.Column(db.String(10), default='IANSCLMAFU', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [('IBKRNY', 'Interactive Brokers')], - 'label': 'counterparty'}, nullable=False) + custodian = db.Column(db.String(12), default="INTBR", nullable=False) + cashaccount = db.Column(db.String(10), default="IANSCLMAFU", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [("IBKRNY", "Interactive Brokers")], "label": "counterparty"}, + nullable=False, + ) trade_date = db.Column(db.Date, nullable=False) settle_date = db.Column(db.Date, nullable=False) - buysell = db.Column(db.Boolean, nullable=False, info={'choices':[(0, 'sell'), (1, 'buy')], - 'coerce': lambda x: bool(int(x)) \ - if x is not None else x}) + buysell = db.Column( + db.Boolean, + nullable=False, + info={ + "choices": [(0, "sell"), (1, "buy")], + "coerce": lambda x: bool(int(x)) if x is not None else x, + }, + ) bbg_ticker = db.Column(db.String(32), nullable=False) quantity = db.Column(db.Float, nullable=False) price = db.Column(db.Float, nullable=False) @@ -309,17 +517,20 @@ class FutureDeal(db.Model): security_desc = db.Column(db.String(32), nullable=False) maturity = db.Column(db.Date, nullable=False) currency = db.Column(CCY, nullable=False) - exchange = db.Column(db.String(3), default='CME', nullable=False) + exchange = db.Column(db.String(3), default="CME", nullable=False) counterparty = db.relationship(Counterparties) + class CashFlowDeal(db.Model): - __tablename__ = 'wires' - id = db.Column('id', db.Integer, primary_key=True) + __tablename__ = "wires" + id = db.Column("id", db.Integer, primary_key=True) dealid = db.Column(db.String(28)) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION) folder = db.Column(CASH_STRAT, nullable=False) - code = db.Column(db.String(5), db.ForeignKey('accounts.code'), nullable=False) + code = db.Column(db.String(5), db.ForeignKey("accounts.code"), nullable=False) amount = db.Column(db.Float, nullable=False) currency = db.Column(CCY, nullable=False) trade_date = db.Column(db.Date, nullable=False) @@ -328,17 +539,22 @@ class CashFlowDeal(db.Model): class SpotDeal(db.Model): __tablename__ = "spots" - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") dealid = db.Column(db.String(28), nullable=False) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) folder = db.Column(SPOT_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='INTBR', nullable=False) - cashaccount = db.Column(db.String(10), default='IANSCLMAFU', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [('IBKRNY', 'Interactive Brokers')], - 'label': 'counterparty'}, nullable=False) + custodian = db.Column(db.String(12), default="INTBR", nullable=False) + cashaccount = db.Column(db.String(10), default="IANSCLMAFU", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [("IBKRNY", "Interactive Brokers")], "label": "counterparty"}, + nullable=False, + ) trade_date = db.Column(db.Date, nullable=False) settle_date = db.Column(db.Date, nullable=False) spot_rate = db.Column(db.Float, nullable=False) @@ -350,62 +566,86 @@ class SpotDeal(db.Model): commission = db.Column(db.Float) counterparty = db.relationship(Counterparties) + class CapFloorDeal(db.Model): - __tablename__ = 'capfloors' - id = db.Column('id', db.Integer, primary_key=True) - fund = db.Column(FUND, nullable=False, default='SERCGMAST') + __tablename__ = "capfloors" + id = db.Column("id", db.Integer, primary_key=True) + fund = db.Column(FUND, nullable=False, default="SERCGMAST") dealid = db.Column(db.String(28), nullable=False) - lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + lastupdate = db.Column( + db.DateTime, server_default=db.func.now(), onupdate=db.func.now() + ) action = db.Column(ACTION, nullable=False) folder = db.Column(SWAPTION_STRAT, nullable=False) - custodian = db.Column(db.String(12), default='NONE', nullable=False) - cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False) - cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'counterparty'}, nullable=False) + custodian = db.Column(db.String(12), default="NONE", nullable=False) + cashaccount = db.Column(db.String(10), default="V0NSCLMAMB", nullable=False) + cp_code = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "counterparty"}, + nullable=False, + ) comments = db.Column(db.String(100)) - floating_rate_index = db.Column(db.String(12), nullable=False, - info={'label': 'Floating Rate Index'}) + floating_rate_index = db.Column( + db.String(12), nullable=False, info={"label": "Floating Rate Index"} + ) floating_rate_index_desc = db.Column(db.String(32)) - buysell = db.Column(db.Boolean, nullable=False, info={'choices':[(0, 'sell'), (1, 'buy')], - 'coerce': lambda x: bool(int(x)) \ - if x is not None else x}) - cap_or_floor = db.Column(CAPFLOOR, nullable=False, - info={'choices': [('C', 'Cap'), ('F', 'Floor')], - 'label': 'Cap or Floor?'}) + buysell = db.Column( + db.Boolean, + nullable=False, + info={ + "choices": [(0, "sell"), (1, "buy")], + "coerce": lambda x: bool(int(x)) if x is not None else x, + }, + ) + cap_or_floor = db.Column( + CAPFLOOR, + nullable=False, + info={"choices": [("C", "Cap"), ("F", "Floor")], "label": "Cap or Floor?"}, + ) strike = db.Column(db.Float, nullable=False) value_date = db.Column(db.Date, nullable=False) expiration_date = db.Column(db.Date, nullable=False) premium_percent = db.Column(db.Float, nullable=False) pricing_type = db.Column(PRICING_TYPE, nullable=False) - payment_frequency = db.Column(FREQ, nullable=False, default='Straight') - fixing_frequency = db.Column(FREQ, nullable=False, default='Straight') - day_count_counvention = db.Column(DAY_COUNT, default='Act/Act') - bdc_convention = db.Column(BUS_DAY_CONVENTION, default='Modified') - payment_mode = db.Column(PAYMENT_MODE, nullable=False, - info={'choices': [('F', 'Flat'), ('S', 'Schedule')]}) - payment_at_beginning_or_end = db.Column(BEGIN_OR_END, nullable=False, - info={'label': 'In arrears?', - 'choices': [('E', True), - ('B', False)]}) + payment_frequency = db.Column(FREQ, nullable=False, default="Straight") + fixing_frequency = db.Column(FREQ, nullable=False, default="Straight") + day_count_counvention = db.Column(DAY_COUNT, default="Act/Act") + bdc_convention = db.Column(BUS_DAY_CONVENTION, default="Modified") + payment_mode = db.Column( + PAYMENT_MODE, + nullable=False, + info={"choices": [("F", "Flat"), ("S", "Schedule")]}, + ) + payment_at_beginning_or_end = db.Column( + BEGIN_OR_END, + nullable=False, + info={"label": "In arrears?", "choices": [("E", True), ("B", False)]}, + ) initial_margin_percentage = db.Column(db.Float) initial_margin_currency = db.Column(CCY) - amount = db.Column(db.Float, nullable=False, info={'label': 'notional'}) + amount = db.Column(db.Float, nullable=False, info={"label": "notional"}) trade_date = db.Column(db.Date, nullable=False) swap_type = db.Column(CAPFLOOR_TYPE, nullable=False) reset_lag = db.Column(db.Integer, default=2) - trade_confirm = db.Column(db.String, info={'form_field_class': FileField}) + trade_confirm = db.Column(db.String, info={"form_field_class": FileField}) termination_date = db.Column(db.Date) termination_amount = db.Column(db.Float) - termination_cp = db.Column(db.String(12), db.ForeignKey('counterparties.code'), - info={'choices': [(None, '')], - 'label': 'termination counterparty'}) + termination_cp = db.Column( + db.String(12), + db.ForeignKey("counterparties.code"), + info={"choices": [(None, "")], "label": "termination counterparty"}, + ) cpty_id = db.Column(db.Text) counterparty = db.relationship(Counterparties, foreign_keys=[cp_code]) - termination_counterparty = db.relationship(Counterparties, - foreign_keys=[termination_cp]) + termination_counterparty = db.relationship( + Counterparties, foreign_keys=[termination_cp] + ) + BaseModelForm = model_form_factory(FlaskForm) + + class ModelForm(BaseModelForm): @classmethod def get_session(self): |