diff options
Diffstat (limited to 'python/ops/headers.py')
| -rw-r--r-- | python/ops/headers.py | 911 |
1 files changed, 911 insertions, 0 deletions
diff --git a/python/ops/headers.py b/python/ops/headers.py new file mode 100644 index 00000000..88126628 --- /dev/null +++ b/python/ops/headers.py @@ -0,0 +1,911 @@ +from enum import Enum + + +class DealType(Enum): + Bond = "BOND" + CDS = "CDX" + Swaption = "SWAPTION" + Termination = "TERM" + Spot = "SPOT" + FxSwap = "FXSWAP" + Fx = "FX" + TRS = "TRS" + IRS = "IRS" + TrancheProduct = "TRANCHEPRODUCT" + SwaptionProduct = "SWAPTIONPRODUCT" + IRSProduct = "IRSPRODUCT" + TRSProduct = "TRSPRODUCT" + + +HEADERS_PRE = [ + "Deal Type", + "Deal Id", + "Action", + "Client", + "Fund", + "Portfolio", + "Folder", + "Custodian", + "Cash Account", + "Counterparty", + "Comments", + "State", + "Trade Date", +] + +HEADERS = { + "bond": HEADERS_PRE + + [ + "Settlement Date", + "BrokerShortName", + "GlopeOp Security Identifier", + "CUSIP", + "ISIN", + "Sedol", + "Reserved", + "Reserved", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Quantity", + "Price", + "Commission", + "Tax", + "BlockId", + "BlockAmount", + "Reserved", + "Reserved", + "Accrued", + "ClearingMode", + "FaceAmount", + "Reserved", + "SettlementCurrency", + "Reserved", + "CrossCurrencyRate", + "ClientReference", + "Reserved", + "SettlementAmount", + "Yield", + "TradeDateTimeStamp", + "CpiRefRatio", + "SettlementCurrencyHedge", + "TradeDateFx", + ], + "cds": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "EffectiveDate", + "MaturityDate", + "Currency", + "Notional", + "FixedRate", + "PaymentRollDateConvention", + "DayCount", + "PaymentFrequency", + "FirstCouponRate", + "FirstCouponDate", + "ResetLag", + "Liquidation", + "LiquidationDate", + "Protection", + "UnderlyingSecurityId", + "UnderlyingSecurityDescription", + "CreditSpreadCurve", + "CreditEvents", + "RecoveryRate", + "Settlement", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "DiscountCurve", + "ClientReference", + "UpfrontFee", + "UpfrontFeePayDate", + "RegenerateCashFlow", + "UpfrontFeeComment", + "Executing Broker", + "SwapType", + "OnPrice", + "OffPrice", + "AttachmentPoint", + "ExhaustionPoint", + "Fees", + "Fee Payment Dates", + "Fee Comments", + "Credit Event Occurred", + "Calendar", + "Clearing Facility", + "Adjusted", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "NettingId", + "AnnouncementDate", + "ExecTS", + "DefaultProbability", + "ClientMargin", + "Factor", + "ISDADefinition", + ], + "swaption": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "Reserved", + "Notional", + "PremiumSettlementDate", + "ExpirationDate", + "PremiumCurrency", + "PercentageOfPremium", + "ExerciseType", + "Reserved", + "SettlementMode", + "SettlementRate", + "Transaction Indicator", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "ReceiveLegRateType", + "ReceiveFloatRate", + "ReceiveFirstCouponDate", + "ReceiveFirstCouponRate", + "ReceiveFixedRate", + "ReceiveDaycount", + "ReceiveFrequency", + "ReceivePaymentRollConvention", + "ReceiveEffectiveDate", + "ReceiveMaturityDate", + "ReceiveNotional", + "ReceiveArrears", + "ReceiveAdjusted", + "ReceiveCompound", + "ReceiveCurrency", + "PayLegRateType", + "PayFloatRate", + "PayFirstCouponDate", + "PayFirstCouponRate", + "PayFixedRate", + "PayDaycount", + "PayFrequency", + "PayPaymentRollConvention", + "PayEffectiveDate", + "PayMaturityDate", + "PayNotional", + "PayArrears", + "PayAdjusted", + "PayCompound", + "PayCurrency", + "RegenerateCashFlow", + "GiveUpBroker", + "ClientReference", + "ReceiveDiscountCurve", + "ReceiveForwardCurve", + "PayDiscountCurve", + "PayForwardCurve", + "ReceiveFixingFrequency", + "ReceiveInterestCalcMethod", + "ReceiveCompoundAverageFrequency", + "PayFixingFrequency", + "PayInterestCalcMethod", + "PayCompoundAverageFrequency", + "SwapType", + "AttachmentPoint", + "ExhaustionPoint", + "UnderlyingInstrument", + "AssociatedDealType", + "AssociatedDealId", + "CounterpartyReference", + "PremiumSettlementCurrency", + "PremiumSettlementAmount", + "ReceiveIMM Period", + "PayIMMPeriod", + "Reserved", + "ClearingFacility", + "Strike", + "CcpTradeRef", + "BreakClauseFrequency", + "BlockId", + "BlockAmount", + "Cross Currency Premium Payment", + "Premium Payment Amount", + "Netting Id", + "BreakClauseDate", + ], + "future": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "GlopeOp Security Identifier", + "Reserved", + "Reserved", + "Reserved", + "Bloomberg Ticker", + "RIC", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Quantity", + "Price", + "Commission", + "Tax", + "VAT", + "Trade Currency", + "Reserved", + "Reserved", + "Broker Short Name", + "MaturityDate", + "Exchange", + "Client Reference", + "Swap Type", + "Initial Margin", + "Initial Margin Currency", + "Future Event", + "Commission Entries", + "BlockId", + "Block Amount", + ], + "wire": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "Reserved", + "Currency", + "Amount", + "Associated Deal Type", + "Associated Deal Id", + "Transaction Type", + "Instrument Type", + "Yield", + "Client Reference", + "ClearingFacility", + "Deal Function", + "Reset Price", + "Reset Date", + "Ccp Trade Ref", + "Margin Type", + "Block Id", + "Block Amount", + ], + "spot": HEADERS_PRE + + [ + "Settlement Date", + "Dealt Currency", + "Spot Rate", + "Forward Rate", + "Buy Currency", + "Buy Amount", + "Sell Currency", + "Sell Amount", + "ClearingFees", + "BlockId", + "BlockAmount", + "Commission Currency", + "Commission", + "Reserved", + "AssociatedDealType", + "AssociatedDealId", + "BrokerShortName", + "ClientReference", + ], + "fx_swap": HEADERS_PRE + + [ + "Reserved", + "Dealt Currency", + "Currency Pair", + "Near Side Currency Rate", + "Near Side Settlement Date", + "Near Side Buy Currency", + "Near Side Buy Amount", + "Near Side Sell Currency", + "Near Side Sell Amount", + "Reserved", + "Far Side Rate", + "Far Side Settlement Date", + "Far Side Point", + "Far Side Buy Currency", + "Far Side Buy Amount", + "Far Side Sell Currency", + "Far Side Sell Amount", + "Client Reference", + "BrokerShortName", + "CcpTradeRef", + "BlockId", + "BlockAmount", + ], + "repo": HEADERS_PRE + + [ + "Settlement Date", + "Broker", + "GlopeOp Security Identifier", + "CUSIP", + "ISIN", + "Sedol", + "Reserved", + "Reserved", + "Security Description", + "TransactionIndicator", + "CurrentFactor", + "Quantity", + "Price", + "Reserved", + "Reserved", + "Reserved", + "Currency", + "ExchangeRate", + "Comments", + "Reserved", + "ExpirationDate", + "Reserved", + "WeightedAmount", + "InterestCalcMethod", + "DirtyPrice", + "Haircut", + "RepoRate", + "OpenRepo", + "CallNotice", + "FaceAmount", + "AccruedInterest", + "Yield", + "CouponTo", + "DayCount", + "ClearingMode", + "SecurityType", + "BrokerShortName", + "ClientReference", + "DateTimeStamp", + ], + "capfloor": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "FloatingRateIndex", + "FloatingRateIndexDescription", + "TransactionIndicator", + "Reserved", + "CapOrFloor", + "Notional", + "Strike", + "ValueDate", + "ExpirationDate", + "PremiumPercent", + "PremiumDate", + "PricingType", + "PaymentFrequency", + "FixingFrequency", + "DayCountConvention", + "PaymentBDC", + "Reserved", + "PaymentAtBeginningOrEnd", + "Commission", + "FirstCouponDate", + "InitialMargin", + "InitialMarginPercent", + "InitialMarginCurrency", + "Reserved", + "Reserved", + "Reserved", + "ResetLag", + "Adjusted", + "CashType", + "BinaryFixedAmount", + "BarrierPaymentAt", + "KnockPeriod", + "UpperBarrier", + "LowerBarrier", + "RebateUp", + "RebateDown", + "RebateSettlementLag", + "ClientReference", + "BrokerShortName", + "CptyReference", + "SwapType", + "ClearingFacility", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "Netting Id", + "TradeDateTimeStamp", + "AccrualBDC", + "MaturityBDC", + "RollConvention", + "Calendar", + "Arrears", + "PaymentLag", + "Reserved1", + "InflationLag", + "InflationReference", + "SettlementCurrency", + "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", + ], + "trs": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "ReceiveLegRateType", + "ReceiveUnderlyingType", + "ReceiveUnderlyingSecurity", + "ReceiveUnderlyingDescription", + "ReceiveFloatRate", + "ReceiveFirstCouponDate", + "ReceiveFirstCouponRate", + "ReceiveFixedRate", + "ReceiveDaycount", + "ReceiveFrequency", + "ReceivePaymentBDC", + "ReceiveEffectiveDate", + "ReceiveMaturityDate", + "ReceiveNotional", + "ReceivePrice", + "ReceiveArrears", + "Reserved", + "Reserved", + "ReceiveCurrency", + "Reserved", + "ReceiveSpread", + "PayLegRateType", + "PayUnderlyingType", + "PayUnderlyingSecurity", + "PayUnderlyingDescription", + "PayFloatRate", + "PayFirstCouponDate", + "PayFirstCouponRate", + "PayFixedRate", + "PayDaycount", + "PayFrequency", + "PayPaymentBDC", + "PayEffectiveDate", + "PayMaturityDate", + "PayNotional", + "PayPrice", + "PayArrears", + "Reserved", + "Reserved", + "PayCurrency", + "Reserved", + "PaySpread", + "Reserved", + "InitialMargin", + "InitialMarginPercent", + "InitialMarginCurrency", + "ClientReference", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "Netting Id", + "ExchangeRate", + "ReceiveQuantity", + "PayQuantity", + "ReceiveAccrued", + "PayAccrued", + "ReceiveNotionalExchange", + "PayNotionalExchange", + "ReceiveResetLag", + "PayResetLag", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "ReceiveCalendar", + "PayCalendar", + "ReceiveInterestCalcMethod", + "PayInterestCalcMethod", + "ReceiveCompoundAverageFrequency", + "PayCompoundAverageFrequency", + "ReceiveFixingFrequency", + "PayFixingFrequency", + "ReceiveStubLocation", + "ReceiveBeginFloatRate1", + "ReceiveBeginFloatRate2", + "ReceiveEndFloatRate1", + "ReceiveEndFloatRate2", + "PayStubLocation", + "PayBeginFloatRate1", + "PayBeginFloatRate2", + "PayEndFloatRate1", + "PayEndFloatRate2", + "Fees", + "Fee Payment Dates", + "Fee Comments", + "ExecutionDateTimeStamp", + "FeeTypes", + "FeeCurrencies", + "ReceivePaymentAt", + "PayPaymentAt", + "SwapType", + "Reserved1", + "ReceiveAccrualBDC", + "PayAccrualBDC", + "ReceiveMaturityBDC", + "PayMaturityBDC", + "ReceiveRollConvention", + "PayRollConvention", + "ReceivePaymentLag", + "PayPaymentLag", + "ReceiveSettlementCurrency", + "PaySettlementCurrency", + "Collateralized", + "TradeDateFX", + ], + "irs": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "ReceiveLegRateType", + "ReceiveFloatRate", + "ReceiveFirstCouponDate", + "ReceiveFirstCouponRate", + "ReceiveFixedRate", + "ReceiveDaycount", + "ReceiveFrequency", + "ReceivePaymentBDC", + "ReceiveEffectiveDate", + "ReceiveMaturityDate", + "ReceiveNotional", + "ReceiveResetArrears", + "Reserved", + "Reserved", + "ReceiveCurrency", + "Reserved", + "PayLegRateType", + "PayFloatRate", + "PayFirstCouponDate", + "PayFirstCouponRate", + "PayFixedRate", + "PayDaycount", + "PayFrequency", + "PayPaymentBDC", + "PayEffectiveDate", + "PayMaturityDate", + "PayNotional", + "PayResetArrears", + "Reserved", + "Reserved", + "PayCurrency", + "Reserved", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "CalendarPay", + "CalendarReceive", + "Reserved", + "ReceiveSpread", + "ReceiveFixingFrequency", + "ReceiveInterestCalcMethod", + "Reserved", + "PaySpread", + "PayFixingFrequency", + "PayInterestCalcMethod", + "Reserved", + "GiveUpCounterparty", + "ReceiveStubLocation", + "ReceiveBeginFloatRate1", + "ReceiveBeginFloatRate2", + "ReceiveEndFloatRate1", + "ReceiveEndFloatRate2", + "PayStubLocation", + "PayBeginFloatRate1", + "PayBeginFloatRate2", + "PayEndFloatRate1", + "PayEndFloatRate2", + "Reserved", + "Reserved", + "SwapType", + "Reserved", + "ClientReference", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "ReceiveResetLag", + "PayResetLag", + "ReceiveExchangeAmount", + "PayExchangeAmount", + "AssociatedDealType", + "AssociatedDealId", + "ClearingFacility", + "CcpTradeRef", + "BreakClauseFrequency", + "BlockId", + "BlockAmount", + "UpfrontFee", + "UpfrontFeePaydate", + "UpFrontFeeComments", + "UpfrontFeeCurrency ", + "Netting Id", + "BreakClauseDate", + "CashFlowStubType", + "IndexLevel", + "ExecutionDateTimeStamp", + "ReceivePaymentLag", + "PayPaymentLag", + "ReceiveRateMultiplier", + "PayRateMultiplier", + "ReceiveRateCap", + "PayRateCap", + "ReceiveRateFloor", + "PayRateFloor", + "ReceiveRollConvention", + "PayRollConvention", + "ReceiveAccrualBDC", + "PayAccrualBDC", + "ReceiveMaturityBDC", + "PayMaturityBDC", + "ReceivePaymentAt", + "PayPaymentAt", + "ReceiveClientMargin", + "PayClientMargin", + "Reserved1", + "ReceiveRateCutOff", + "PayRateCutOff", + "InflationLag", + "InflationReference", + "ReceiveSettlementCurrency", + "PaySettlementCurrency", + "CounterpartyReference", + "ReceiveInflationReference", + "PayInflationReference", + "Collateralized", + "InitialFXRate", + "TradeDateFX", + ], +} + +MTM_HEADERS = { + DealType.CDS: [ + "Swap ID", + "Allocation ID", + "Description", + "Broker Id", + "DTCC CounterParty ID", + "Trade ID", + "Trade Date", + "Effective Date", + "Settle Date", + "Maturity Date", + "Account Abbreviation", + "1st Leg Notional", + "Currency Code", + "1st Leg Rate", + "Initial Payment", + "Initial Payment Currency", + "Original Issue Date", + "Interest Payment Method Description", + "First Payment Date", + "Product Type", + "Product Sub Type", + "Transaction Type", + "Protection", + "Transaction Code", + "Remaining Party", + "DTCC Remaining CounterParty ID", + "Independent Amount (%)", + "Independent Amount ($)", + "RED", + "Issuer Name", + "Settlement Amount", + "Trader", + "Executing Broker", + "Dealer Trade ID", + "Notes", + "Parent Transaction Code", + "Parent Trade Date", + "Parent Notional", + "Parent Currency Code", + "Parent Net Amount", + "Parent Effective Date", + "Parent First Payment Date", + "Parent Settle Date", + "ComplianceHubAction", + "DTCC Ineligible", + "Master Document Date", + "Master Document Version", + "Include Contractual Supplement", + "Contractual Supplement", + "Supplement Date", + "Entity Matrix", + "Entity Matrix Date", + "Modified Equity Delivery", + "Calculation Agent Business Center", + "Calculation Agent", + "Attachment Point", + "Exhaustion Point", + "Strategy", + "First Payment Period Accrual Start Date", + "TieOut Ineligible", + "Electronic Consent Ineligible", + "External OMS ID", + "Independent Amount Currency", + "Independent Amount Payer", + "Trade Revision", + "Alternate Swap ID", + "Alternate Trade ID", + "Definitions Type", + ], + DealType.Swaption: [ + "Swap ID", + "Broker Id", + "Trade ID", + "Trade Date", + "Settle Date", + "Supplement Date", + "Supplement 2 Date", + "Maturity Date", + "Account Abbreviation", + "1st Leg Notional", + "Currency Code", + "1st Leg Rate", + "Initial Payment Currency", + "Initial Payment", + "Product Type", + "Transaction Type", + "Transaction Code", + "Independent Amount (%)", + "RED", + "Issuer Name", + "Entity Matrix", + "Definitions Type", + "Swaption Expiration Date", + "Strike Price", + "Swaption Settlement Type", + "Master Document Date", + "OptionBuySellIndicator", + "Clearing House", + "Protection", + "Swaption Quotation Rate Type", + "Effective Date", + ], + DealType.Termination: [ + "Swap ID", + "Allocation ID", + "Description", + "Broker Id", + "DTCC CounterParty ID", + "Trade ID", + "Trade Date", + "Effective Date", + "Settle Date", + "Maturity Date", + "Account Abbreviation", + "1st Leg Notional", + "Currency Code", + "1st Leg Rate", + "Initial Payment", + "Initial Payment Currency", + "Payment Frequency Description", + "Original Issue Date", + "Interest Payment Method Description", + "First Payment Date", + "Product Type", + "Product Sub Type", + "Transaction Type", + "Protection", + "Transaction Code", + "Remaining Party", + "DTCC Remaining CounterParty ID", + ], + DealType.TRS: [ + "Swap ID", + "Allocation ID", + "Description ", + "Broker Id", + "DTCC CounterParty ID", + "Trade ID", + "Trade Date", + "Effective Date", + "Settle Date", + "Maturity Date", + "Account Abbreviation", + "1st Leg Notional", + "Currency Code", + "Initial Payment", + "Initial Payment Currency", + "Original Issue Date", + "Interest Payment Method Description", + "Product Type", + "Product Sub Type", + "Transaction Type", + "Protection", + "Transaction Code", + "Remaining Party", + "DTCC Remaining CounterParty ID", + "Independent Amount (%)", + "Independent Amount ($)", + "RED", + "Issuer Name", + "Settlement Amount", + "Trader", + "Dealer Trade ID", + "Notes", + "Parent Transaction Code", + "Parent Trade Date", + "Parent Notional", + "Parent Currency Code", + "Parent Net Amount", + "Parent Effective Date", + "Parent First Payment Date", + "Parent Settle Date", + "ComplianceHubAction", + "DTCC Ineligible", + "Master Document Date", + "Master Document Type", + "Master Document Version", + "", + "", + "Annex Date", + "Supplement Date", + "Documentation Type", + "Calculation Agent Business Center", + "", + "Strategy", + "Electronic Consent Ineligible", + "External OMS ID", + "Traded Rate/Price", + "Independent Amount Currency", + "Independent Amount Payer", + "Trade Revision", + "Alternate Swap ID", + "Alternate Trade ID", + "Definitions Type", + "Initial Fixing Amount", + "2nd Leg Index", + "2nd Leg Spread", + "2nd Leg Initial Floating Rate", + ], +} + + +def get_headers(trade_type, fund): + headers = HEADERS[trade_type] + if fund == "BOWDST": + if trade_type == "bond": + return headers + ["PrincipalPayment", "AccruedPayment", "CurrentFace"] + elif trade_type == "swaption": + return headers + ["OptionType"] + else: + return headers + else: + return headers |