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-rw-r--r--python/headers.py97
1 files changed, 40 insertions, 57 deletions
diff --git a/python/headers.py b/python/headers.py
index 07f24b72..852671ea 100644
--- a/python/headers.py
+++ b/python/headers.py
@@ -484,6 +484,46 @@ HEADERS = {
"Collateralized",
"TradeDateFX",
],
+ "termination": [
+ "DealType",
+ "DealId",
+ "Action",
+ "Client",
+ "SubAction",
+ "PartialTermination",
+ "TerminationAmount",
+ "TerminationDate",
+ "FeesPaid",
+ "FeesReceived",
+ "DealFunction",
+ "Reserved",
+ "ClientReference",
+ "TradeDate",
+ "EffectiveDate",
+ "FirstCouponDate",
+ "FeePaymentDate",
+ "SpecialInstructions",
+ "AssignedCounterparty",
+ "AssignmentFee",
+ "AssignedFeeTradeDate",
+ "AssignedFeeValueDate",
+ "AssignedCustodian",
+ "AssignedCashAccount",
+ "Reserved",
+ "FeeCurrency",
+ "GoTradeId",
+ "FeeComments",
+ "ZeroOutInterestCashFlows",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "Reserved",
+ "InitialMargin",
+ "InitialMarginCurrency",
+ ],
}
MTM_HEADERS = {
@@ -884,60 +924,3 @@ def get_headers(trade_type, fund):
return headers
else:
return headers
-
-
-def get_termination_headers(trade_type: str, term_type: Literal["A", "T"]):
- headers = [
- "DealType",
- "DealId",
- "Action",
- "Client",
- "SubAction",
- "PartialTermination",
- "TerminationAmount",
- "TerminationDate",
- "FeesPaid",
- "FeesReceived",
- "DealFunction",
- "Reserved",
- "ClientReference",
- ]
- if trade_type == "cds":
- headers += ["TradeDate", "EffectiveDate", "FirstCouponDate"]
- else:
- headers += ["Reserved"] * 3
- headers += ["FeePaymentDate", "SpecialInstructions"]
-
- if term_type == "A":
- headers += ["AssignedCounterparty"]
- else:
- headers += ["Reserved"]
- if trade_type == "cds" and term_type == "A":
- headers += [
- "AssignmentFee",
- "AssignedFeeTradeDate",
- "AssignedFeeValueDate",
- "AssignedCustodian",
- "AssignedCashAccount",
- "Reserved",
- "FeeCurrency",
- ]
- else:
- headers += ["Reserved"] * 7
- headers += ["GoTradeId"]
- if trade_type == "cds":
- headers += ["FeeComments", "ZeroOutInterestCashFlows"]
- else:
- headers += ["Reserved"] * 2
- headers += ["Reserved"] * 4
- if trade_type == "swaption":
- headers += ["Reserved"] * 2 + ["InMoney", "FeeCurrency"]
- elif trade_type == "cds":
- if term_type == "A":
- headers += ["Reserved"] * 3
- else:
- headers += ["AssignedDealFunction"] + ["Reserved"] * 2
- headers += ["InitialMargin", "InitialMarginCurrency"]
- if term_type == "T":
- headers += ["Reserved"] * 4 + ["CreditEventOccured"]
- return headers