1 files changed, 71 insertions, 1 deletions

diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py
index 18e61616..29ba8c3e 100644
--- a/python/trade_dataclasses.py
+++ b/python/trade_dataclasses.py
@@ -78,6 +78,8 @@ Ccy = Literal["USD", "CAD", "EUR", "YEN"]
 SwapType = Literal[
     "CD_INDEX", "CD_INDEX_TRANCHE", "CD_BASKET_TRANCHE", "ABS_CDS", "BESPOKE"
 ]
+
+OptionType = Literal["RECEIVER", "PAYER"]
 ClearingFacility = Literal["ICE-CREDIT", "NOT CLEARED"]
 CdsStrat = Literal[
     "HEDGE_CSO",
@@ -140,6 +142,16 @@ BondStrat = Literal[
     "IGNORE",
     "MTG_REPO",
 ]
+
+SwaptionStrat = Literal[
+    "IGPAYER",
+    "IGREC",
+    "HYPAYER",
+    "HYREC",
+    "STEEP",
+    "DV01",
+    "HEDGE_MAC",
+]
 AssetClass = Literal["CSO", "Subprime", "CLO", "CRT"]
 
 
@@ -154,6 +166,7 @@ register_adapter(Frequency, lambda f: AsIs(f.value))
 class DealType(Enum):
     Bond = "BOND"
     CDS = "CDX"
+    Swaption = "SWAPTION"
 
 
 class Deal:
@@ -284,11 +297,16 @@ class CDSDeal(
         default_factory=lambda: next_business_day(datetime.date.today()),
         metadata={"mtm": "First Payment Date"},
     )
+    orig_attach: int = field(default=None, metadata={"mtm": "Attachment Point"})
+    orig_detach: int = field(default=None, metadata={"mtm": "Exhaustion Point"})
     swap_type: SwapType = "CD_INDEX"
     clearing_facility: ClearingFacility = "ICE-CREDIT"
     isda_definition: IsdaDoc = "ISDA2014"
     id: int = field(default=None, metadata={"insert": False})
     dealid: str = field(default=None, metadata={"insert": False, "mtm": "Swap ID"})
+    initial_margin_percentage: float = field(
+        default=None, metadata={"mtm": "Independent Amount (%)"}
+    )
     bbg_ticket_id: str = None
 
     def __post_init__(self):
@@ -317,7 +335,7 @@ class CDSDeal(
         obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell"
         obj["Entity Matrix"] = "Publisher"
         obj["Definitions Type"] = "ISDA2014Credit"
-        obj["Independent Amount (%)"] = obj["initial_margin_percentage"]
+        # obj["Independent Amount (%)"] = obj["initial_margin_percentage"]
         if "ITRX" in obj["security_desc"]:
             obj["Include Contractual Supplement"] = "Y"
             obj["Contractual Supplement"] = "StandardiTraxxEuropeTranche"
@@ -381,3 +399,55 @@ class BondDeal(BbgDeal, Deal, deal_type=DealType.Bond, table_name="bonds"):
             buysell=line["Side"] == "B",
             bbg_ticket_id=line["bbg_ticket_id"],
         )
+
+
+@dataclass
+class SwaptionDeal(
+    Deal,
+    deal_type=DealType.Swaption,
+    table_name="swaptions",
+    insert_ignore=("id", "dealid"),
+):
+    buysell: bool
+    fund: Fund = field(metadata={"mtm": "Account Abbreviation"})
+    cp_code: str = field(metadata={"mtm": "Broker Id"})
+    security_id: str = field(metadata={"mtm": "RED"})
+    maturity: datetime.date = field(metadata={"mtm": "Maturity Date"})
+    currency: Ccy = field(metadata={"mtm": "Currency Code"})
+    notional: float = field(metadata={"mtm": "1st Leg Notional"})
+    fixed_rate: float = field(metadata={"mtm": "1st Leg Rate"})
+    strike: float = field(metadata={"mtm": "Strike Price"})
+    price: float
+    option_type: OptionType
+    expiration_date: datetime.date = field(metadata={"mtm": "Expiration"})
+    portfolio: Portfolio = field(default=None)
+    folder: SwaptionStrat = field(default=None)
+    trade_date: datetime.date = field(
+        default_factory=datetime.date.today(), metadata={"mtm": "Trade Date"}
+    )
+    settle_date: datetime.date = field(
+        default_factory=lambda: next_business_day(datetime.date.today()),
+        metadata={"mtm": "Settle Date"},
+    )
+    expiration_date: datetime.date = field(
+        metadata={"mtm": "Swaption Expiration Date"},
+    )
+    initial_margin_percentage: float = field(
+        default=None, metadata={"mtm": "Independent Amount (%)"}
+    )
+    id: int = field(default=None, metadata={"insert": False})
+    dealid: str = field(default=None, metadata={"insert": False, "mtm": "Swap ID"})
+
+    def to_markit(self):
+        obj = self.serialize("mtm")
+        obj["Initial Payment"] = obj["price"] * obj["1st Leg Notional"]
+        obj["Transaction Code"] = "Receive" if obj["buysell"] else "Pay"
+        obj["Trade ID"] = obj["Swap ID"]
+        obj["Product Type"] = "CDISW"
+        obj["Transaction Type"] = "NEW"
+        obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell"
+        obj["Entity Matrix"] = "Publisher"
+        obj["Clearing House"] = "ICE_FCM_US"
+        obj["Swaption Settlement Type"] = "Physical"
+        obj["OptionBuySellIndicator"] = "Buy" if obj["buysell"] else "Sell"
+        return obj