diff options
Diffstat (limited to 'python/ops/headers.py')
| -rw-r--r-- | python/ops/headers.py | 935 |
1 files changed, 0 insertions, 935 deletions
diff --git a/python/ops/headers.py b/python/ops/headers.py deleted file mode 100644 index 5b1d54b6..00000000 --- a/python/ops/headers.py +++ /dev/null @@ -1,935 +0,0 @@ -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", - ], - "iam": HEADERS_PRE - + [ - "SettlementDate", - "Reserved", - "InstrumentType", - "ExpirationDate", - "CallNoticeIndicator", - "TransactionIndicator", - "StartMoney", - "Currency", - "Rate", - "Commission", - "DealFunction", - "FromAccount", - "ClientReference", - "Basis", - "MarginType", - "ClearingFacility" "CcpTradeRef", - "BlockId", - "BlockAmount", - "ExecutionDateTimeStamp", - "Collateralized", - "TradeDateFX", - ], -} - -MTM_HEADERS = { - "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", - ], - "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", - ], - "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", - ], - "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 |
