diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 65 |
1 files changed, 36 insertions, 29 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 7f3b1018..6b9c5900 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -1261,23 +1261,17 @@ class SwaptionProduct( insert_ignore=( "id", "dealid", - "birth_date", - "death_date", "security_desc", "currency", ), ): underlying_security_id: str = field(metadata={"citco": "UnderlyingSecurityId"}) - birth_date: datetime.date = field( - init=False, metadata={"insert": False, "citco": "Birth_date"} - ) - death_date: datetime.date = field( - init=False, metadata={"insert": False, "citco": "Death_date"} - ) security_desc: str = field( init=False, metadata={"insert": False, "citco": "Sec_Desc"} ) - currency: str = field(init=False, default=None, metadata={"citco": "LocalCcy"}) + currency: str = field( + init=False, default=None, metadata={"citco": "LocalCcy", "insert": False} + ) instrument_type: str = field(metadata={"citco": "InstrumentType"}) callput: bool strike: float = field(metadata={"citco": "StrikePrice"}) @@ -1285,6 +1279,8 @@ class SwaptionProduct( underlying_id_source: str = field( default="RED", metadata={"citco": "UnderlyingIDSource"} ) + birth_date: datetime.date = field(default=None, metadata={"citco": "Birth_date"}) + death_date: datetime.date = field(default=None, metadata={"citco": "Death_date"}) committed: bool = field(default=False) id: int = field(default=None, metadata={"insert": False}) @@ -1293,7 +1289,7 @@ class SwaptionProduct( ) def get_dealid(self): - sql_str = "SELECT id, dealid, committed from citco_swaption where instrument_type=%s and underlying_security_id =%s and strike =%s and expiration=%s and callput=%s" + sql_str = "SELECT id, dealid, committed from citco_swaption where instrument_type=%s and underlying_security_id =%s and strike =%s and expiration=%s and callput=%s and birth_date=%s and death_date=%s" with self._conn.cursor() as c: c.execute( sql_str, @@ -1303,35 +1299,48 @@ class SwaptionProduct( self.strike, self.expiration, self.callput, + self.birth_date, + self.death_date, ), ) if results := c.fetchone(): (self.id, self.dealid, self.committed) = results def __post_init__(self): - sql_str = "SELECT issue_date, maturity, coupon, index, series FROM index_version LEFT JOIN index_Maturity USING (series, INDEX) WHERE tenor='5yr' AND redindexcode=%s;" - with self._conn.cursor() as c: - c.execute(sql_str, (self.underlying_security_id.removesuffix("_5"),)) - ( - self.birth_date, - self.death_date, - self.coupon, - index, - series, - ) = c.fetchone() - self.get_dealid() - self.security_desc = ( - f"{desc_str(index, series, '5')} {self.expiration}-{self.strike}" - ) - self.currency = "EUR" if index in ("XO", "EU") else "USD" + self.get_dealid() + if self.underlying_id_source == "RED": + sql_str = "SELECT issue_date, maturity, coupon, index, series FROM index_version LEFT JOIN index_Maturity USING (series, INDEX) WHERE tenor='5yr' AND redindexcode=%s;" + with self._conn.cursor() as c: + c.execute(sql_str, (self.underlying_security_id.removesuffix("_5"),)) + ( + self.birth_date, + self.death_date, + self.coupon, + index, + series, + ) = c.fetchone() + self.security_desc = ( + f"{desc_str(index, series, '5')} {self.expiration}-{self.strike}" + ) + self.currency = "EUR" if index in ("XO", "EU") else "USD" + else: + self.security_desc = "" def to_citco(self): if not self.id: self.stage() self.commit() self.get_dealid() - obj = self.serialize("citco") + if self.underlying_id_source == "USERID": + irs = IRSProduct( + birth_date=self.birth_date, + death_date=self.death_date, + fixed_rate=self.strike, + float_index=self.underlying_security_id, + ) + irs.citco_stage() + obj["UnderlyingSecurityId"] = irs.dealid obj["Command"] = "N" obj["Active"] = "Y" obj["Birth_date"] = obj["Birth_date"].strftime("%Y%m%d") @@ -1354,12 +1363,11 @@ class IRSProduct( Deal, deal_type=DealType.IRSProduct, table_name="citco_irs", - insert_ignore=("id", "dealid"), + insert_ignore=("id", "dealid", "security_desc"), ): birth_date: datetime.date = field(metadata={"citco": "Birth_date"}) death_date: datetime.date = field(metadata={"citco": "Death_date"}) fixed_rate: float - notional: float instrument_type: str = field(default="IRS", metadata={"citco": "InstrumentType"}) active: str = field(default=True, metadata={"citco": "Active"}) fixed_daycount: str = field(default="ACT/360") @@ -1402,7 +1410,6 @@ class IRSProduct( def to_citco(self): if not self.id: - self.stage() self.commit() self.get_dealid() |