1 files changed, 49 insertions, 22 deletions
diff --git a/python/process_queue.py b/python/process_queue.py
index 22c50d50..399cd3ff 100644
--- a/python/process_queue.py
+++ b/python/process_queue.py
@@ -539,30 +539,57 @@ def cds_trade_process(conn, session, trade):
     else:
         trade["curr_notional"] = trade["notional"] * factor
         trade["Factor"] = factor
-    if not is_tranche_trade(trade):
-        index = CreditIndex(
-            redcode=trade["security_id"],
-            maturity=trade["maturity"],
-            notional=trade["notional"],
-            value_date=trade["trade_date"],
-        )
-        index.direction = trade["protection"]
-        with conn.cursor() as c:
-            if trade["ref"]:
-                index.ref = trade["ref"]
+    index = CreditIndex(
+        redcode=trade["security_id"],
+        maturity=trade["maturity"],
+        notional=trade["notional"],
+        value_date=trade["trade_date"],
+    )
+    index.direction = trade["protection"]
+    with conn.cursor() as c:
+        if trade["traded_level"]:
+            if is_tranche_trade(trade):
+                index.ref = float(trade["traded_level"])
                 trade["upfront"] = -index.pv
-                c.execute(
-                    "UPDATE cds SET upfront=%s WHERE dealid=%s",
-                    (trade["upfront"], trade["dealid"]),
-                )
             else:
-                index.pv = trade["upfront"]
-                trade["ref"] = index.ref
-                c.execute(
-                    "UPDATE cds SET ref=%s WHERE dealid=%s",
-                    (trade["ref"], trade["dealid"]),
-                )
-        conn.commit()
+                accrued = index._accrued * trade["fixed_rate"]
+                if index.index_type == "HY":
+                    dirty_price = float(trade["traded_level"]) + accrued
+                    trade["upfront"] = (
+                        -(100 - dirty_price) * index.notional * trade["Factor"] * 0.01
+                    )
+                elif index.index_type == "EU":
+                    if trade["orig_attach"] in (6, 12):
+                        if trade["orig_attach"] == 6:
+                            index.recovery = 0.0
+                        index.spread = float(trade["traded_level"])
+                        trade["upfront"] = (
+                            -index._pv * trade["notional"] * trade["Factor"]
+                        )
+                elif index.index_type == "XO":
+                    if trade["orig_attach"] == 35:
+                        index.spread = float(trade["traded_level"])
+                        trade["upfront"] = (
+                            -index._pv * trade["notional"] * trade["Factor"]
+                        )
+                else:
+                    dirty_protection = float(trade["traded_level"]) - accrued
+                    trade["upfront"] = (
+                        -dirty_protection * index.notional * trade["Factor"] * 0.01
+                    )
+            c.execute(
+                "UPDATE cds SET upfront=%s WHERE dealid=%s",
+                (trade["upfront"], trade["dealid"]),
+            )
+
+        else:
+            index.pv = trade["upfront"]
+            trade["traded_level"] = index.ref
+            c.execute(
+                "UPDATE cds SET traded_level=%s WHERE dealid=%s",
+                (trade["traded_level"], trade["dealid"]),
+            )
+    conn.commit()
     return trade