aboutsummaryrefslogtreecommitdiffstats
path: root/python/ops/file_gen.py
diff options
context:
space:
mode:
Diffstat (limited to 'python/ops/file_gen.py')
-rw-r--r--python/ops/file_gen.py272
1 files changed, 0 insertions, 272 deletions
diff --git a/python/ops/file_gen.py b/python/ops/file_gen.py
deleted file mode 100644
index 30fc509b..00000000
--- a/python/ops/file_gen.py
+++ /dev/null
@@ -1,272 +0,0 @@
-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
-
-
-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 14:15:08 +0000