diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/headers.py | 2 | ||||
| -rw-r--r-- | python/mtm_upload.py | 66 |
2 files changed, 57 insertions, 11 deletions
diff --git a/python/headers.py b/python/headers.py index a35a9aaa..913c77e1 100644 --- a/python/headers.py +++ b/python/headers.py @@ -380,7 +380,7 @@ HEADERS = { } MTM_HEADERS = { - "tranche": [ + "cds": [ "Swap ID", "Allocation ID", "Description", diff --git a/python/mtm_upload.py b/python/mtm_upload.py index 2728fb11..8ac6a6bd 100644 --- a/python/mtm_upload.py +++ b/python/mtm_upload.py @@ -71,6 +71,52 @@ def tranche_term_trades(conn): return trades +def terminations(tradeid, conn): + with conn.cursor() as c: + termination_query = ( + """SELECT terminations.*, coalesce(cds.cp_code, swaptions.cp_code) AS orig_cp, COALESCE (cds."currency", swaptions."currency") AS currency, """ + """COALESCE (cds."swap_type", 'SWAPTION') as swap_type FROM terminations LEFT JOIN cds USING (dealid) LEFT JOIN swaptions USING (dealid) where terminations.id = %s ORDER BY id desc;""" + ) + c.execute(termination_query, (tradeid,)) + for row in c: + obj = row._asdict() + rename_keys( + obj, + { + "dealid": "Swap ID", + "termination_cp": "Broker Id", + "termination_amount": "1st Leg Notional", + "termination_fee": "Initial Payment", + "termination_date": "Trade Date", + "fee_payment_date": "Settle Date", + "fund": "Account Abbreviation", + "termination_cp": "Broker Id", + "orig_cp": "Remaining Party", + "currency": "Currency Code", + }, + ) + if obj["Initial Payment"] >= 0: + obj["Transaction Code"] = "Receive" + else: + obj["Initial Payment"] = abs(obj["Initial Payment"]) + obj["Transaction Code"] = "Pay" + match obj["swap_type"]: + case "CD_INDEX_TRANCHE": + obj["Product Type"] = "TRN" + case "SWAPTION": + obj["Product Type"] = "CDISW" + case _: + print("Not a valid termination") + obj["Trade ID"] = obj["Swap ID"] + "-" + str(obj["id"]) + obj["Transaction Type"] = ( + "Termination" + if obj["Remaining Party"] == obj["Broker Id"] + else "Assignment" + ) + obj["Effective Date"] = obj["Trade Date"] + datetime.timedelta(days=1) + trades.append(obj) + + def build_line(obj, asset_type): return [obj.get(h, None) for h in MTM_HEADERS[asset_type]] @@ -88,16 +134,16 @@ def process_upload(trades, asset_type, upload): dest.write_bytes(buf) -def upload_mtm_trades(trade_type, tradeid): - _funs = { - "swaption": (SwaptionDeal, "swaption"), - "cds": (CDSDeal, "tranche"), - } - process_upload( - (_funs[trade_type][0].from_tradeid(tradeid).to_markit(),), - _funs[trade_type][1], - upload=True, - ) +def upload_mtm_trades(trade_type, tradeid, conn=None): + match trade_type: + case "swaption": + process_upload( + SwaptionDeal.from_tradeid(tradeid).to_markit(), trade_type, True + ) + case "cds": + process_upload(CDSDeal.from_tradeid(tradeid).to_markit(), trade_type, True) + case "termination": + process_upload(terminations(tradeid, conn), trade_type, True) if __name__ == "__main__": |