1 files changed, 35 insertions, 8 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py
index 43d92da3..45fb7f79 100644
--- a/python/trade_dataclasses.py
+++ b/python/trade_dataclasses.py
@@ -398,6 +398,8 @@ class MTMDeal:
             cls.product_type = "TRN"
         elif deal_type == DealType.Termination:
             cls.product_type = "TERM"
+        elif deal_type == DealType.TRS:
+            cls.product_type = "CDI"
 
     @classmethod
     def mtm_upload(cls):
@@ -920,7 +922,7 @@ class FxSwapDeal(
 
 @dataclass
 class TRSDeal(
-    # MTMDeal,
+    MTMDeal,
     Deal,
     deal_type=DealType.TRS,
     table_name="trs",
@@ -933,14 +935,18 @@ 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": "Trade Date"})
-    effective_date: datetime.date
-    maturity_date: datetime.date
+    trade_date: datetime.date = field(
+        metadata={"globeop": "Trade Date", "mtm": "Trade Date"}
+    )
+    effective_date: datetime.date = field(
+        init=False, metadata={"mtm": "Effective Date"}
+    )
+    maturity_date: datetime.date = field(metadata={"mtm": "Maturity Date"})
     funding_index: str
     buysell: bool
     underlying_security: str
     price: float
-    accrued: float
+    accrued: float = field(metadata={"mtm": "Initial Payment"})
     funding_freq: str
     funding_daycount: str
     funding_payment_roll_convention: str
@@ -949,10 +955,10 @@ class TRSDeal(
     asset_daycount: str
     asset_payment_roll_convention: str
     initial_margin_percentage: float = field(
-        metadata={"globeop": "InitialMarginPercent"}
+        metadata={"globeop": "InitialMarginPercent", "mtm": "Independent Amount (%)"}
     )
-    notional: float
-    currency: str
+    notional: float = field(metadata={"mtm": "1st Leg Notional"})
+    currency: str = field(metadata={"mtm": "Currency Code"})
     interest_calc_method: str
     compound_avg_frequency: str
     fixing_frequency: str
@@ -962,6 +968,27 @@ class TRSDeal(
         default=None, metadata={"insert": False, "mtm": "Swap ID", "globeop": "Deal Id"}
     )
 
+    def __post_init__(self):
+        self.effective_date = self.trade_date + datetime.timedelta(days=1)
+
+    def to_markit(self):
+        _trs_red = {"IBOXHY": "4J623JAA8"}
+        obj = self.serialize("mtm")
+        obj["Trade ID"] = obj["Swap ID"]
+        obj["Initial Payment Currency"] = obj["Currency Code"]
+        if obj["Initial Payment"] >= 0:
+            obj["Transaction Code"] = "Receive"
+        else:
+            obj["Transaction Code"] = "Pay"
+        obj["Initial Payment"] = round(abs(obj["Initial Payment"]), 2)
+        obj["Product Sub Type"] = "IBOXX"  # Hardcoded for now
+        obj["RED"] = _trs_red[obj["underlying_security"]]
+        obj["Transaction Type"] = "New"
+        obj["Protection"] = "Buy" if obj["buysell"] else "Sell"
+        obj["Master Document Date"] = datetime.date(2020, 12, 18)
+        obj["Supplement Date"] = datetime.date(2015, 2, 18)
+        return obj
+
     def to_admin(self):
         obj = self.serialize("globeop")
         if obj["buysell"]: