diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/mtm_upload.py | 12 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 2 |
2 files changed, 11 insertions, 3 deletions
diff --git a/python/mtm_upload.py b/python/mtm_upload.py index ff7d003d..e3895c7f 100644 --- a/python/mtm_upload.py +++ b/python/mtm_upload.py @@ -6,7 +6,7 @@ from serenitas.utils.env import DAILY_DIR from serenitas.utils.remote import SftpClient from serenitas.analytics.dates import next_business_day import datetime -from trade_dataclasses import CDSDeal +from trade_dataclasses import CDSDeal, SwaptionDeal HEADERS = { "tranche": [ @@ -120,6 +120,14 @@ def tranche_trades(conn): return trades +def swaption_trades(conn): + trades = [] + for tradeid in (260, 261): + obj = SwaptionDeal.from_tradeid(tradeid).to_markit() + trades.append(obj) + return trades + + def tranche_term_trades(conn): with conn.cursor() as c: trades = [] @@ -176,7 +184,7 @@ def process_upload(trades, asset_type, upload): def upload_trades(conn): - process_upload(tranche_trades(conn), "tranche", upload=False) + process_upload(swaption_trades(conn), "swaption", upload=False) if __name__ == "__main__": diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 663e2a84..c401efd7 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -445,7 +445,7 @@ class SwaptionDeal( obj["Trade ID"] = obj["Swap ID"] obj["Product Type"] = "CDISW" obj["Transaction Type"] = "NEW" - obj["Protection"] = "Buy" if obj["option_type"] == OptionType.PAYER else "Sell" + obj["Protection"] = "Buy" if obj["option_type"] == "PAYER" else "Sell" obj["Entity Matrix"] = "Publisher" obj["Clearing House"] = "ICE_FCM_US" obj["Swaption Settlement Type"] = "Physical" |