diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 23 |
1 files changed, 22 insertions, 1 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 8b9eeecc..817023f3 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -589,6 +589,7 @@ class CDSDeal( if obj["orig_attach"]: # tranche process obj["IDSource"] = "USERID" + obj["ExecutionBroker"] = _citco_cp_isda[obj["ExecutionBroker"]] obj["ClearingAgent"] = obj["ExecutionBroker"] redcode = ( obj["security_id"] @@ -604,6 +605,7 @@ class CDSDeal( obj["SecurityID"] = instrument.dealid else: # cleared cds process + obj["ExecutionBroker"] = _citco_cp_cdea[obj["ExecutionBroker"]] obj["IDSource"] = "RED" obj["SecurityID"] = ( obj["security_id"] @@ -782,6 +784,8 @@ class SwaptionDeal( def to_citco(self): obj = self.serialize("citco") + obj["ExecutionBroker"] = _citco_cp_isda[obj["ExecutionBroker"]] + obj["ClearingAgent"] = obj["ExecutionBroker"] obj["FillID"] = obj["ClientOrderID"] obj["SecurityType"] = "BNDOPT" obj["BuySellShortCover"] = "B" if obj["buysell"] == "Buy" else "S" @@ -1357,6 +1361,7 @@ class IRSDeal( def to_citco(self): obj = self.serialize("citco") + obj["ExecutionBroker"] = _citco_cp_cdea[obj["ExecutionBroker"]] obj["FillID"] = obj["ClientOrderID"] obj["SecurityType"] = "IRS" obj["Trader"] = "DFLT" @@ -1374,7 +1379,7 @@ class IRSDeal( ) product.citco_stage() obj["SecurityID"] = product.dealid - obj["ClearingAgent"] = "BOAFC" + obj["ClearingAgent"] = "BOA_FC" obj["TradeDate"] = obj["TradeDate"].strftime("%Y%m%d") obj["SettlementDate"] = obj["SettlementDate"].strftime("%Y%m%d") return obj @@ -1554,6 +1559,22 @@ _citco_frequency = {"Yearly": 1, "Daily": 9, "Quarterly": 3} _citco_bdc = {"Modified Following": 4} _citco_daycount = {"ACT/360": 2} _citco_ratesource = {"SOFRRATE": 17819} +_citco_cp_isda = { + "MSCSNY": "MS_IS", + "GOLDNY": "GS_IS", + "BAMSNY": "BOA_IS", + "BNPBNY": "BNP_IS", +} +_citco_cp_cdea = { + "MSCSNY": "MS_CD", + "GOLDNY": "GS_CD", + "BAMSNY": "BOA_CD", + "BNPBNY": "BNP_CD", + "JPCBNY": "JPM_CD", + "CSFBBO": "CS_CD", + "CITINY": "CIT_CD", + "BARCNY": "BAR_CD", +} @dataclass |