1 files changed, 53 insertions, 66 deletions
diff --git a/python/position_file_bowdst.py b/python/position_file_bowdst.py
index 9333fb3c..9e0ae597 100644
--- a/python/position_file_bowdst.py
+++ b/python/position_file_bowdst.py
@@ -156,74 +156,61 @@ def positions_future(conn, date):
             yield obj
 
 
-def positions_otc(conn, date):
-    with conn.cursor() as c:
-        c.execute(
-            "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s",
-            (date,),
+def _otc_serialize(obj, product_type, date):
+    rename_keys(
+        obj,
+        {
+            "dealid": "Unique Deal ID",
+            "cp_code": "Counterparty",
+            "currency": "DealCurrencyA",
+            "active_notional": "NotionalA",
+            "fixed_rate": "FixedRate",
+            "trade_date": "Start Date",
+            "effective_date": "EffectiveDate",
+            "maturity": "Maturity Date",
+            "security_id": "Underlying (ISIN / CUSP / RED CODES)",
+            "security_desc": "Underlying Desc",
+            "mtm": "MTM Valuation",
+            "strike": "Strike",
+            "annexdate": "EffectiveDate",
+            "expiration_date": "Underlying Maturity",
+            "serenitas_nav": "MTM Valuation",
+        },
+    )
+    data = {
+        "Client Name": "HEDGEMARK",
+        "Fund Name": "BOS_PAT_BOWDOIN",
+        "Product Type": "Credit Index Tranche",
+        "MTM Currency": "USD",
+        "COB Date": date,
+    }
+    obj.update(data)
+    if product_type == "Tranche":
+        obj["Product Type"] = "Credit Index Tranche"
+        obj["TransactionIndicator (Buy/Sell)"] = (
+            "B" if obj["protection"] == "Buyer" else "S"
         )
-        for row in c:
-            obj = row._asdict()
-            obj["Client Name"] = "HEDGEMARK"
-            obj["Fund Name"] = "BOS_PAT_BOWDOIN"
-            obj["Product Type"] = "Credit Index Tranche"
-            obj["TransactionIndicator (Buy/Sell)"] = (
-                "B" if obj["protection"] == "Buyer" else "S"
-            )
-            obj["MTM Currency"] = "USD"
-            obj["COB Date"] = date
-            rename_keys(
-                obj,
-                {
-                    "dealid": "Unique Deal ID",
-                    "cp_code": "Counterparty",
-                    "currency": "DealCurrencyA",
-                    "active_notional": "NotionalA",
-                    "fixed_rate": "FixedRate",
-                    "trade_date": "Start Date",
-                    "effective_date": "EffectiveDate",
-                    "maturity": "Maturity Date",
-                    "security_id": "Underlying (ISIN / CUSP / RED CODES)",
-                    "security_desc": "Underlying Desc",
-                    "mtm": "MTM Valuation",
-                },
-            )
-            yield obj
-        c.execute(
-            "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions  ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
-            (date,),
+    elif product_type == "Swaption":
+        obj["Product Type"] = "CD Swaption"
+        obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
+        obj["PutCall Indicator (Call/Put)"] = (
+            "P" if obj["option_type"] == "PAYER" else "C"
         )
-        for row in c:
-            obj = row._asdict()
-            obj["Client Name"] = "HEDGEMARK"
-            obj["Fund Name"] = "BOS_PAT_BOWDOIN"
-            obj["Product Type"] = "CD Swaption"
-            obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
-            obj["PutCall Indicator (Call/Put)"] = (
-                "P" if obj["option_type"] == "PAYER" else "C"
-            )
-            obj["Exercise Type"] = "European"
-            obj["MTM Currency"] = "USD"
-            obj["COB Date"] = date
-            rename_keys(
-                obj,
-                {
-                    "dealid": "Unique Deal ID",
-                    "cp_code": "Counterparty",
-                    "currency": "DealCurrencyA",
-                    "active_notional": "NotionalA",
-                    "fixed_rate": "FixedRate",
-                    "strike": "Strike",
-                    "annexdate": "EffectiveDate",
-                    "trade_date": "Start Date",
-                    "maturity": "Maturity Date",
-                    "expiration_date": "Underlying Maturity",
-                    "security_id": "Underlying (ISIN / CUSP / RED CODES)",
-                    "security_desc": "Underlying Desc",
-                    "serenitas_nav": "MTM Valuation",
-                },
-            )
-            yield obj
+        obj["Exercise Type"] = "European"
+    return obj
+
+
+_otc_queries = {
+    "Tranche": "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s",
+    "Swaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions  ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
+}
+
+
+def positions_otc(conn, date):
+    with conn.cursor() as c:
+        for product_type, sql_query in _otc_queries.items():
+            c.execute(sql_query, (date,))
+            yield from [_otc_serialize(row._asdict(), product_type, date) for row in c]
 
         c.execute(
             "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions  ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",