diff options
Diffstat (limited to 'python/trade_dataclasses.py')
| -rw-r--r-- | python/trade_dataclasses.py | 101 |
1 files changed, 88 insertions, 13 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 9a875478..61605bf2 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -1047,7 +1047,6 @@ class TRSDeal( @dataclass class IRSDeal( - # MTMDeal, Deal, deal_type=DealType.IRS, table_name="irs", @@ -1145,7 +1144,14 @@ class TrancheProduct( Deal, deal_type=DealType.TrancheProduct, table_name="citco_tranche", - insert_ignore=("id", "dealid", "birth_date", "death_date"), + insert_ignore=( + "id", + "dealid", + "birth_date", + "death_date", + "security_desc", + "coupon", + ), ): underlying_security_id: str = field(metadata={"citco": "Underlying Security Id"}) attach: float @@ -1172,12 +1178,12 @@ class TrancheProduct( default=None, metadata={"insert": False, "citco": "Unique Identifier"} ) - def get_dealid(self, underlying_id, attach, detach, conn): + def get_dealid(self): sql_str = "SELECT id, dealid, committed from citco_tranche where underlying_security_id = %s and attach = %s and detach = %s" - with conn.cursor() as c: - c.execute(sql_str, (underlying_id, attach, detach)) + with self._conn.cursor() as c: + c.execute(sql_str, (self.underlying_security_id, self.attach, self.detach)) if results := c.fetchone(): - return results.id, results.dealid, results.committed + (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;" @@ -1190,11 +1196,7 @@ class TrancheProduct( index, series, ) = c.fetchone() - if results := self.get_dealid( - self.underlying_security_id, self.attach, self.detach, self._conn - ): - (self.id, self.dealid, self.committed) = results - + self.get_dealid() self.security_desc = ( f"{desc_str(index, series, '5')} {self.attach}-{self.detach}" ) @@ -1203,10 +1205,83 @@ class TrancheProduct( if not self.id: self.stage() self.commit() - (self.id, self.dealid, self.committed) = self.get_dealid( - self.underlying_security_id, self.attach, self.detach, self._conn + self.get_dealid() + obj = self.serialize("citco") + obj["Command"] = "N" + obj["Coupon Rate"] = obj["Coupon Rate"] / 100 + return obj + + +@dataclass +class SwaptionProduct( + Deal, + deal_type=DealType.SwaptionProduct, + table_name="citco_swaption", + insert_ignore=("id", "dealid", "birth_date", "death_date", "security_desc"), +): + underlying_security_id: str = field(metadata={"citco": "Underlying Security Id"}) + 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"} + ) + instrument_type: str = field(metadata={"citco": "Instrument Type"}) + callput: bool + strike: float = field(metadata={"citco": "Strike Price"}) + expiration: datetime.date = field(metadata={"citco": "Expiration Date"}) + underlying_id_source: str = field( + default="RED", metadata={"citco": "Underlying ID Source"} + ) + + committed: bool = field(default=False) + id: int = field(default=None, metadata={"insert": False}) + dealid: str = field( + default=None, metadata={"insert": False, "citco": "Unique Identifier"} + ) + + 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" + with self._conn.cursor() as c: + c.execute( + sql_str, + ( + self.instrument_type, + self.underlying_security_id, + self.strike, + self.expiration, + self.callput, + ), ) + 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}" + ) + + def to_citco(self): + if not self.id: + self.stage() + self.commit() + self.get_dealid() obj = self.serialize("citco") obj["Command"] = "N" obj["Coupon Rate"] = obj["Coupon Rate"] / 100 + return obj |