diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 3b52009e..5bbfa2ef 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -925,7 +925,7 @@ class TRSDeal( folder: str = field(metadata={"globeop": "Folder"}) cash_account: str = field(metadata={"globeop": "Cash Account"}) cp_code: str = field(metadata={"globeop": "Counterparty"}) - trade_date: datetime.date = field(metadata={"globeop": "TradeDate"}) + trade_date: datetime.date = field(metadata={"globeop": "Trade Date"}) effective_date: datetime.date maturity_date: datetime.date funding_index: str @@ -962,7 +962,7 @@ class TRSDeal( key1, key2 = "Receive", "Pay" d = { f"{key1}LegRateType": "Floating", - f"{key1}Underlying": "Interest", + f"{key1}UnderlyingType": "Interest", f"{key1}FloatRate": obj["funding_index"], f"{key1}FixedRate": 0, f"{key1}Daycount": obj["funding_daycount"], @@ -971,15 +971,15 @@ class TRSDeal( f"{key1}MaturityDate": obj["maturity_date"], f"{key1}Notional": obj["notional"], 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}Arrears": "Y" if obj["funding_arrears"] else "N", + f"{key1}InterestCalcMethod": obj["interest_calc_method"], + f"{key1}CompoundAverageFrequency": obj["compound_avg_frequency"], f"{key1}Currency": obj["currency"], - f"{key1}Fixing": obj["fixing_frequency"], + f"{key1}FixingFrequency": obj["fixing_frequency"], f"{key2}LegRateType": "Fixed", - f"{key2}Underlying": "Bond", - f"{key2}FloatRate": obj["underlying_security"], - f"{key2}DayCount": obj["asset_daycount"], + f"{key2}UnderlyingType": "Bond", + f"{key2}UnderlyingSecurity": obj["underlying_security"], + f"{key2}Daycount": obj["asset_daycount"], f"{key2}Frequency": obj["asset_freq"], f"{key2}EffectiveDate": obj["effective_date"], f"{key2}MaturityDate": obj["maturity_date"], |