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-rw-r--r--python/ops/file_gen.py273
1 files changed, 273 insertions, 0 deletions
diff --git a/python/ops/file_gen.py b/python/ops/file_gen.py
new file mode 100644
index 00000000..1986ba0d
--- /dev/null
+++ b/python/ops/file_gen.py
@@ -0,0 +1,273 @@
+import datetime
+from serenitas.utils.misc import rename_keys
+
+from pyisda.date import previous_twentieth
+from quantlib.time.api import pydate_from_qldate, UnitedStates, Days, Date
+from serenitas.analytics.dates import bus_day
+from .headers import get_headers
+
+
+def get_effective_date(d, swaption_type):
+ if swaption_type == "CD_INDEX_OPTION":
+ return previous_twentieth(d + datetime.timedelta(days=1))
+ else:
+ cal = UnitedStates()
+ return pydate_from_qldate(cal.advance(Date.from_datetime(d), 2, Days))
+
+
+_client_name = {"SERCGMAST": "Serenitas", "BOWDST": "HEDGEMARK", "BRINKER": "LMCG"}
+
+
+def build_line(obj, trade_type="bond", fund="SERCGMAST"):
+ obj["Client"] = _client_name[fund]
+ # Bowdst Globeop has a special short name
+ obj["fund"] = "BOS_PAT_BOWDOIN" if fund == "BOWDST" else fund
+ obj["State"] = "Valid"
+ rename_cols = {
+ "fund": "Fund",
+ "action": "Action",
+ "dealid": "Deal Id",
+ "folder": "Folder",
+ "custodian": "Custodian",
+ "cash_account": "Cash Account",
+ "cp_code": "Counterparty",
+ "identifier": "GlopeOp Security Identifier",
+ "cusip": "CUSIP",
+ "isin": "ISIN",
+ "description": "Security Description",
+ "accrued": "Accrued",
+ "price": "Price",
+ "faceamount": "FaceAmount",
+ "trade_date": "Trade Date",
+ "settle_date": "Settlement Date",
+ "effective_date": "EffectiveDate",
+ "maturity": "MaturityDate",
+ "currency": "Currency",
+ "fixed_rate": "FixedRate",
+ "payment_rolldate": "PaymentRollDateConvention",
+ "day_count": "DayCount",
+ "protection": "Protection",
+ "security_id": "UnderlyingSecurityId",
+ "security_desc": "UnderlyingSecurityDescription",
+ "upfront": "UpfrontFee",
+ "upfront_settle_date": "UpfrontFeePayDate",
+ "swap_type": "SwapType",
+ "orig_attach": "AttachmentPoint",
+ "orig_detach": "ExhaustionPoint",
+ "clearing_facility": "Clearing Facility",
+ "isda_definition": "ISDADefinition",
+ "expiration_date": "ExpirationDate",
+ "portfolio": "Portfolio",
+ "settlement_type": "SettlementMode",
+ "principal_payment": "PrincipalPayment",
+ "accrued_payment": "AccruedPayment",
+ "current_face": "CurrentFace",
+ }
+ rename_cols[
+ "curr_notional" if fund in ("SERCGMAST", "BOWDST") else "notional"
+ ] = "Notional"
+ rename_keys(obj, rename_cols)
+ if trade_type in ("bond", "swaption", "future"):
+ obj["Transaction Indicator"] = "Buy" if obj["buysell"] else "Sell"
+ if trade_type == "bond":
+ obj["Deal Type"] = "MortgageDeal"
+ obj["Portfolio"] = "MORTGAGES"
+ obj["Delivery"] = "S"
+ # zero coupon bond
+ if obj["CUSIP"] != obj["GlopeOp Security Identifier"]:
+ obj["CUSIP"] = None
+ elif trade_type == "swaption":
+ obj["Deal Type"] = "SwaptionDeal"
+ obj["ExerciseType"] = "European"
+ rename_keys(
+ obj,
+ {
+ "Settlement Date": "PremiumSettlementDate",
+ "notional": "Notional",
+ "initial_margin_percentage": "InitialMarginPercentage",
+ },
+ )
+ obj["PremiumSettlementAmount"] = (
+ obj["Price"] * obj["Notional"] * obj.get("factor", 1.0) * 0.01
+ )
+ obj["PremiumSettlementCurrency"] = obj["Currency"]
+ obj["RegenerateCashFlow"] = "N"
+ for direction in ["Pay", "Receive"]:
+ obj[direction + "MaturityDate"] = obj["MaturityDate"]
+ obj[direction + "Currency"] = obj["Currency"]
+ obj[direction + "Notional"] = obj["Notional"]
+ obj[direction + "EffectiveDate"] = get_effective_date(
+ obj["ExpirationDate"], obj["SwapType"]
+ )
+ if obj["SwapType"] == "CD_INDEX_OPTION":
+ for direction in ["Pay", "Receive"]:
+ obj[direction + "Daycount"] = "ACT/360"
+ obj[direction + "Frequency"] = "Quarterly"
+ obj[direction + "PaymentRollConvention"] = "Following"
+
+ for leg_type in ["Receive", "Pay"]:
+ obj[leg_type + "LegRateType"] = "Fixed"
+ if obj["option_type"] == "PAYER":
+ obj["ReceiveFixedRate"] = 0.0
+ obj["PayFixedRate"] = obj["FixedRate"]
+ elif obj["option_type"] == "RECEIVER":
+ obj["PayFixedRate"] = 0.0
+ obj["ReceiveFixedRate"] = obj["FixedRate"]
+ elif obj["SwapType"] == "SWAPTION":
+ for direction in ["Pay", "Receive"]:
+ obj[direction + "PaymentRollConvention"] = "ModifiedFollowing"
+ if obj["option_type"] == "RECEIVER":
+ fixed, floating = "Receive", "Pay"
+ else:
+ fixed, floating = "Pay", "Receive"
+ # fixed leg
+ obj[fixed + "Frequency"] = "Yearly"
+ obj[fixed + "Daycount"] = "ACT/360"
+ obj[fixed + "FixedRate"] = obj["strike"]
+ obj[fixed + "LegRateType"] = "Fixed"
+ obj[fixed + "InterestCalcMethod"] = "Simple Interest"
+ # floating leg
+ obj[floating + "Frequency"] = "Yearly"
+ obj[floating + "Daycount"] = "ACT/360"
+ obj[floating + "LegRateType"] = "Float"
+ obj[floating + "FloatRate"] = "SOFRINDX"
+ obj[floating + "InterestCalcMethod"] = "Simple Interest"
+
+ else:
+ raise ValueError(
+ "'SwapType' needs to be one of 'CD_INDEX_OPTION' or 'SWAPTION'"
+ )
+
+ obj["PremiumCurrency"] = obj["Currency"]
+ if obj["InitialMarginPercentage"]:
+ obj["InitialMarginCurrency"] = obj["Currency"]
+ obj["UnderlyingInstrument"] = obj.pop("UnderlyingSecurityId")
+ if obj["SwapType"] == "CD_INDEX_OPTION":
+ obj["Strike"] = obj.pop("strike")
+
+ elif trade_type == "cds":
+ freq = {4: "Quarterly", 12: "Monthly"}
+ obj["Deal Type"] = "CreditDefaultSwapDeal"
+ obj["PaymentFrequency"] = freq[obj["frequency"]]
+ obj["InitialMarginPercentage"] = obj.pop("initial_margin_percentage")
+ if obj["InitialMarginPercentage"]:
+ obj["InitialMarginCurrency"] = obj["Currency"]
+ if obj["Clearing Facility"] is None:
+ obj["Clearing Facility"] = "NOT CLEARED"
+
+ elif trade_type == "future":
+ obj["Deal Type"] = "FutureDeal"
+ rename_keys(
+ obj,
+ {
+ "commission": "Commission",
+ "quantity": "Quantity",
+ "swap_type": "Swap Type",
+ "bbg_ticker": "Bloomberg Ticker",
+ "Currency": "Trade Currency",
+ "exchange": "Exchange",
+ },
+ )
+ elif trade_type == "wire":
+ obj["Deal Type"] = "CashFlowDeal"
+ obj["Transaction Type"] = "Transfer"
+ obj["Instrument Type"] = "Cashflow"
+ obj["Settlement Date"] = obj["Trade Date"]
+ strat_portfolio_map = {
+ "IGOPTDEL": "OPTIONS",
+ "COCSH": "OPTIONS",
+ "IGINX": "TRANCHE",
+ "BSPK": "TRANCHE",
+ "TCSH": "TRANCHE",
+ "SER_ITRXCURVE": "SERG__CURVE",
+ "XCURVE": "SERG__CURVE",
+ "M_CSH_CASH": "CASH",
+ "CVECSH": "SERG__CURVE",
+ "SER_ITRXCVCSH": "SERG__CURVE",
+ }
+ obj["Portfolio"] = strat_portfolio_map.get(obj["Folder"])
+ rename_keys(obj, {"amount": "Amount"})
+
+ elif trade_type == "spot":
+ standard_settle = (obj["Trade Date"] + 2 * bus_day).date()
+ if obj["Settlement Date"] > standard_settle:
+ obj["Deal Type"] = "ForwardDeal"
+ fx_rate = "Forward Rate"
+ else:
+ obj["Deal Type"] = "SpotDeal"
+ fx_rate = "Spot Rate"
+ rename_keys(
+ obj,
+ {
+ "commission": "Commission",
+ "commission_currency": "Commission Currency",
+ "sell_currency": "Sell Currency",
+ "sell_amount": "Sell Amount",
+ "buy_currency": "Buy Currency",
+ "buy_amount": "Buy Amount",
+ "spot_rate": fx_rate,
+ },
+ )
+ elif trade_type == "fx_swap":
+ obj["Deal Type"] = "FxSwapDeal"
+ obj["Action"] = "NEW"
+ rename_keys(
+ obj,
+ {
+ "near_rate": "Near Side Currency Rate",
+ "near_settle_date": "Near Side Settlement Date",
+ "near_buy_currency": "Near Side Buy Currency",
+ "near_buy_amount": "Near Side Buy Amount",
+ "near_sell_currency": "Near Side Sell Currency",
+ "near_sell_amount": "Near Side Sell Amount",
+ "far_rate": "Far Side Rate",
+ "far_settle_date": "Far Side Settlement Date",
+ "far_buy_currency": "Far Side Buy Currency",
+ "far_buy_amount": "Far Side Buy Amount",
+ "far_sell_currency": "Far Side Sell Currency",
+ "far_sell_amount": "Far Side Sell Amount",
+ },
+ )
+ elif trade_type == "repo":
+ obj["Deal Type"] = "RepoDeal"
+ obj["OpenRepo"] = "Y" if obj["open_repo"] else "N"
+ rename_keys(
+ obj,
+ {
+ "weighted_amount": "WeightedAmount",
+ "repo_rate": "RepoRate",
+ "transaction_indicator": "TransactionIndicator",
+ },
+ )
+ elif trade_type == "capfloor":
+ obj["Deal Type"] = "CapFloorDeal"
+ obj["PaymentBDC"] = obj["bdc_convention"]
+ obj["AccrualBDC"] = obj["bdc_convention"]
+ obj["MaturityBDC"] = "NONE"
+ obj["TransactionIndicator"] = "Buy" if obj["buysell"] else "Sell"
+ # missing data : 'Adjusted', 'RollConvention', 'Calendar', 'Arrears', 'Collateralized', 'MaturityBDC'
+ rename_keys(
+ obj,
+ {
+ "comments": "Comments",
+ "floating_rate_index_desc": "FloatingRateIndex",
+ "cap_or_floor": "CapOrFloor",
+ "amount": "Notional",
+ "strike": "Strike",
+ "value_date": "ValueDate",
+ "expiration_date": "MaturityDate",
+ "premium_percent": "PremiumPercent",
+ "pricing_type": "PricingType",
+ "payment_frequency": "PaymentFrequency",
+ "fixing_frequency": "FixingFrequency",
+ "day_count_convention": "Basis",
+ "bdc_convention": "PaymentBDC",
+ "payment_mode": "PaymentMode",
+ "payment_at_beginning_or_end": "PaymentAtBeginningOrEnd",
+ "initial_margin_percentage": "InitialMarginPercentage",
+ "intial_margin_currency": "InitialMarginCurrency",
+ "reset_lag": "ResetLag",
+ "swap_type": "SwapType",
+ },
+ )
+ return obj
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 07:15:01 +0000