diff options
Diffstat (limited to 'python/Dawn')
| -rw-r--r-- | python/Dawn/models.py | 77 |
1 files changed, 75 insertions, 2 deletions
diff --git a/python/Dawn/models.py b/python/Dawn/models.py index fdfff8fd..10f1b042 100644 --- a/python/Dawn/models.py +++ b/python/Dawn/models.py @@ -1,4 +1,4 @@ -from flask.ext.sqlalchemy import SQLAlchemy +from flask_sqlalchemy import SQLAlchemy from flask_wtf import Form from flask_wtf.file import FileField from sqlalchemy.dialects.postgresql import ENUM @@ -37,7 +37,18 @@ BOND_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'CSO_TRANCH', 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', name='cds_strat') + 'SER_HYMEZ', 'SER_HYEQY', 'SER_HYINX', 'SER_IGCURVE', 'MBSCDS', + 'IGOPTDEL', 'HYOPTDEL', name='cds_strat') + +SWAPTION_STRAT = ENUM('IGPAYER', 'IGREC', 'HYPAYER', 'HYREC', + name='swaption_strat') + +SWAPTION_TYPE = ENUM('PAYER', 'RECEIVER', + name='swaption_type') + +REPO_TYPE = ENUM('REPO', 'REVERSE REPO', name='repo_type') +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') @@ -128,6 +139,68 @@ class CDSDeal(db.Model): __table_args__ = (db.CheckConstraint("swap_type!='CD_INDEX_TRANCHE' or " \ "(attach is not NULL and detach is not NULL)"),) +class RepoDeal(db.Model): + __tablename__ = 'repo' + id = db.Column('id', db.Integer, primary_key=True) + lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now()) + action = db.Column(ACTION) + folder = db.Column(CDS_STRAT, nullable = False) + custodian = db.Column(db.String(12), default='ML', nullable=False) + cashaccount = db.Column(db.String(10), default='MLNSCLMASW', 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}) + transation_indicator = db.Column(REPO_TYPE) + faceamount = db.Column(db.Float, nullable = False) + price = db.Column(db.Float, nullable = False) + currency = db.Column(CCY, nullable = False) + expiration_date = db.Column(db.Date) + weighted_amount = db.Column(db.Float) + haircut = db.Column(db.Float) + 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")) + +class SwaptionDeal(db.Model): + __tablename__ = 'swaptions' + 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()) + action = db.Column(ACTION) + folder = db.Column(SWAPTION_STRAT, nullable = False) + custodian = db.Column(db.String(12), default='NONE', nullable=False) + cashaccount = db.Column(db.String(10), default='MLNSCLMASW', 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) + 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) + swaption_type = db.Column(SWAPTION_TYPE, nullable = False) + price = db.Column(db.Float, nullable = False) + expiration_date = db.Column(db.Date, nullable = False) + security_id = db.Column(db.String(12), nullable = False) + security_desc = db.Column(db.String(32), nullable = False) + counterparty = db.relationship(Counterparties) + BaseModelForm = model_form_factory(Form) class ModelForm(BaseModelForm): @classmethod |