diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 28 |
1 files changed, 26 insertions, 2 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index b54b9914..9a875478 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -1133,6 +1133,13 @@ class IRSDeal( return obj +from enum import IntEnum + + +class TrancheType(IntEnum): + DayCount = 3 + + @dataclass class TrancheProduct( Deal, @@ -1149,6 +1156,12 @@ class TrancheProduct( death_date: datetime.date = field( init=False, metadata={"insert": False, "citco": "Death_date"} ) + coupon: float = field( + init=False, metadata={"insert": False, "citco": "Coupon Rate"} + ) + security_desc: str = field( + init=False, metadata={"insert": False, "citco": "Sec_Desc"} + ) instrument_type: str = field(default="CDS", metadata={"citco": "Instrument Type"}) underlying_id_source: str = field( default="RED", metadata={"citco": "Underlying ID Source"} @@ -1167,15 +1180,25 @@ class TrancheProduct( return results.id, results.dealid, results.committed def __post_init__(self): - sql_str = "SELECT issue_date, maturity FROM index_version LEFT JOIN index_Maturity USING (series, INDEX) WHERE tenor='5yr' AND redindexcode=%s;" + 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) = c.fetchone() + ( + self.birth_date, + self.death_date, + self.coupon, + 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.security_desc = ( + f"{desc_str(index, series, '5')} {self.attach}-{self.detach}" + ) + def to_citco(self): if not self.id: self.stage() @@ -1186,3 +1209,4 @@ class TrancheProduct( obj = self.serialize("citco") obj["Command"] = "N" + obj["Coupon Rate"] = obj["Coupon Rate"] / 100 |