diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 25 |
1 files changed, 25 insertions, 0 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 4d910578..ead475cb 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -871,6 +871,31 @@ class TRSDeal( def to_globeop(self): obj = self.serialize("globeop") + if obj["buysell"]: + key1, key2 = "Pay", "Receive" + else: + key1, key2 = "Receive", "Pay" + d = { + f"{key1}LegRateType": "Floating", + f"{key1}Underlying": "Interest", + f"{key1}FloatRate": line["funding_index"], + f"{key1}FixedRate": 0, + f"{key1}Daycount": line["funding_daycount"], + f"{key1}Frequency": line["funding_freq"], + f"{key1}PaymentBDC": obj["funding_payment_roll_convention"], + f"{key1}Arrears": obj["funding_arrears"], + f"{key1}InterestCalc": obj["interest_calc_method"], + f"{key1}Compound": obj["compound_avg_frequency"], + f"{key1}Fixing": obj["fixing_frequency"], + f"{key2}LegRateType": "Fixed", + f"{key2}Underlying": "Bond", + f"{key2}FloatRate": line["underlying_security"], + f"{key2}DayCount": line["asset_daycount"], + f"{key2}Frequency": line["asset_freq"], + f"{key2}PaymentBDC": obj["asset_payment_roll_convention"], + f"{key2}Price": obj["price"], + } + obj["swap_type"] = "TOTAL_RETURN_SWAP" obj["TerminationAmount"] *= self.factor obj["FeesPaid"] = ( -obj["termination_fee"] if obj["termination_fee"] < 0 else None |