diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 17 |
1 files changed, 8 insertions, 9 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 8192048c..8427f7e5 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -690,6 +690,7 @@ class BondDeal(BbgDeal, Deal, deal_type=DealType.Bond, table_name="bonds"): @dataclass class SwaptionDeal( + CitcoTrade, MTMDeal, Deal, deal_type=DealType.Swaption, @@ -905,6 +906,7 @@ class TerminationDeal( @dataclass class SpotDeal( + CitcoTrade, BbgDeal, Deal, deal_type=DealType.Spot, @@ -1071,6 +1073,7 @@ class FxSwapDeal( @dataclass class TRSDeal( + CitcoTrade, MTMDeal, Deal, deal_type=DealType.TRS, @@ -1407,7 +1410,7 @@ class SwaptionProduct( def __post_init__(self): self.get_productid() - if self.underlying_id_source == "RED": + if self.underlying_id_source == "BNDO": sql_str = "SELECT issue_date, maturity, coupon, index, series FROM index_desc WHERE tenor='5yr' AND redindexcode=%s" with self._conn.cursor() as c: c.execute(sql_str, (self.underlying_security_id.removesuffix("_5"),)) @@ -1418,14 +1421,10 @@ class SwaptionProduct( index, series, ) = c.fetchone() - self.security_desc = ( - f"{desc_str(index, series, '5')} {self.expiration}-{self.strike}" - ) + self.security_desc = f"{desc_str(index, series, '5')} {self.expiration}-{self.strike}-{'C' if self.callput else 'P'}-{self.birth_date}-{self.death_date}" self.currency = "EUR" if index in ("XO", "EU") else "USD" - self.instrument_type = "BNDO" - else: + elif self.underlying_id_source == "SWPO": self.security_desc = "" - self.instrument_type = "SWPO" def to_citco(self): if not self.id: @@ -1493,7 +1492,7 @@ class IRSProduct( def __post_init__(self): self.get_productid() - self.security_desc = f"SWAP IRS {self.float_index}-{self.fixed_rate}" + self.security_desc = f"SWAP IRS {self.float_index}-{self.fixed_rate}-{self.birth_date}-{self.death_date}" def to_citco(self): if not self.id: @@ -1565,7 +1564,7 @@ class TRSProduct( def __post_init__(self): self.get_productid() _citco_trs = {"4J623JAA8": "IBOXHY_TRS"} - self.security_desc = _citco_trs[self.underlying_security] + self.security_desc = f"{_citco_trs[self.underlying_security]}-{self.funding_index}-{self.birth_date}-{self.death_date}" def to_citco(self): if not self.id: |