diff options
Diffstat (limited to 'python/process_queue.py')
| -rw-r--r-- | python/process_queue.py | 10 |
1 files changed, 6 insertions, 4 deletions
diff --git a/python/process_queue.py b/python/process_queue.py index 878ae87d..e03164f1 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -248,15 +248,17 @@ def build_line(obj, trade_type="bond", fund="SERCGMAST"): else: fixed, floating = "Pay", "Receive" # fixed leg - obj[fixed + "Frequency"] = "Half-Yearly" - obj[fixed + "Daycount"] = "30/360" + 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"] = "Quarterly" + obj[floating + "Frequency"] = "Yearly" obj[floating + "Daycount"] = "ACT/360" obj[floating + "LegRateType"] = "Float" - obj[floating + "FloatRate"] = "US0003M" + obj[floating + "FloatRate"] = "SOFRINDX" + obj[floating + "InterestCalcMethod"] = "Simple Interest" else: raise ValueError( |