1 files changed, 58 insertions, 0 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py
index be3bef07..4d910578 100644
--- a/python/trade_dataclasses.py
+++ b/python/trade_dataclasses.py
@@ -827,3 +827,61 @@ class FxSwapDeal(
             bbg_ticket_id=line["bbg_ticket_id"],
             **d,
         )
+
+
+@dataclass
+class TRSDeal(
+    MTMDeal,
+    Deal,
+    deal_type=DealType.TRS,
+    table_name="trs",
+    insert_ignore=("id", "dealid", "orig_cp", "currency", "product_type"),
+):
+    id: int = field(default=None, metadata={"insert": False})
+    dealid: str = field(default=None, metadata={"insert": False, "mtm": "Swap ID"})
+    fund: str = field(
+        metadata={"mtm": "Account Abbreviation"},
+    )
+    portfolio: str
+    folder: str
+    cash_account: str
+    cp_code: str
+    trade_date: datetime.date
+    effective_date: datetime.date
+    maturity_date: datetime.date
+    funding_index: str
+    buysell: bool
+    underlying_security: str
+    price: float
+    accrued: float
+    funding_freq: str
+    funding_daycount: str
+    funding_payment_roll_convention: str
+    funding_arrears: bool
+    asset_freq: str
+    asset_daycount: str
+    asset_payment_roll_convention: str
+    initial_margin_percentage: float
+    notional: float
+    currency: str
+    interest_calc_method: str
+    compound_avg_frequency: str
+    fixing_frequency: str
+    cpty_id: str
+
+    def to_globeop(self):
+        obj = self.serialize("globeop")
+        obj["TerminationAmount"] *= self.factor
+        obj["FeesPaid"] = (
+            -obj["termination_fee"] if obj["termination_fee"] < 0 else None
+        )
+        obj["FeesReceived"] = (
+            obj["termination_fee"] if obj["termination_fee"] > 0 else None
+        )
+        obj["Action"] = "UPDATE"
+        obj["Client"] = _client_name[obj["fund"]]
+        obj["SubAction"] = "Termination"
+        if self.termination_cp != self.orig_cp:
+            obj["AssignedCounterparty"] = self.termination_cp
+        obj["PartialTermination"] = "Y" if self.partial_termination else "N"
+        return obj