diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/db_csvheader.py | 1 | ||||
| -rw-r--r-- | python/headers.py | 68 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 43 |
3 files changed, 104 insertions, 8 deletions
diff --git a/python/db_csvheader.py b/python/db_csvheader.py index 6b9d4f66..12032ef8 100644 --- a/python/db_csvheader.py +++ b/python/db_csvheader.py @@ -16,6 +16,7 @@ if __name__ == "__main__": csvreader = csv.reader(csvfile) for row in csvreader: row = [header.replace("\n", "") for header in row] + print(row) try: with open(f"headers/{file_name}.py", "a") as template_file: template_file.write(f"\n{header_name}={row}") diff --git a/python/headers.py b/python/headers.py index 19ef3f8d..e6c94d3a 100644 --- a/python/headers.py +++ b/python/headers.py @@ -824,6 +824,74 @@ MTM_HEADERS = { "Remaining Party", "DTCC Remaining CounterParty ID", ], + DealType.TRS: [ + "Swap ID ", + "Allocation ID", + "Description ", + "Broker Id ", + "DTCC CounterParty ID", + "Trade ID ", + "Trade Date ", + "Effective Date", + "Settle Date", + "Maturity Date ", + "Account Abbreviation ", + "1st Leg Notional", + "Currency Code ", + "Initial Payment", + "Initial Payment Currency", + "Original Issue Date", + "Interest Payment Method Description", + "Product Type ", + "Product Sub Type", + "Transaction Type ", + "Protection", + "Transaction Code", + "Remaining Party ", + "DTCC Remaining CounterParty ID", + "Independent Amount (%)", + "Independent Amount ($)", + "RED", + "Issuer Name", + "Settlement Amount", + "Trader", + "Dealer Trade ID", + "Notes", + "Parent Transaction Code", + "Parent Trade Date", + "Parent Notional", + "Parent Currency Code", + "Parent Net Amount", + "Parent Effective Date", + "Parent First Payment Date", + "Parent Settle Date", + "ComplianceHubAction", + "DTCC Ineligible", + "Master Document Date", + "Master Document Type", + "Master Document Version", + "", + "", + "Annex Date", + "Supplement Date", + "Documentation Type", + "Calculation Agent Business Center", + "", + "Strategy", + "Electronic Consent Ineligible", + "External OMS ID", + "Traded Rate/Price", + "Independent Amount Currency", + "Independent Amount Payer", + "Trade Revision", + "Alternate Swap ID", + "Alternate Trade ID", + "Definitions Type", + "Initial Fixing Amount", + "2nd Leg Index", + "2nd Leg Spread", + "2nd Leg Initial Floating Rate", + ], } diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 43d92da3..45fb7f79 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -398,6 +398,8 @@ class MTMDeal: cls.product_type = "TRN" elif deal_type == DealType.Termination: cls.product_type = "TERM" + elif deal_type == DealType.TRS: + cls.product_type = "CDI" @classmethod def mtm_upload(cls): @@ -920,7 +922,7 @@ class FxSwapDeal( @dataclass class TRSDeal( - # MTMDeal, + MTMDeal, Deal, deal_type=DealType.TRS, table_name="trs", @@ -933,14 +935,18 @@ class TRSDeal( folder: str = field(metadata={"globeop": "Folder"}) cash_account: str = field(metadata={"globeop": "Cash Account"}) cp_code: str = field(metadata={"globeop": "Counterparty"}) - trade_date: datetime.date = field(metadata={"globeop": "Trade Date"}) - effective_date: datetime.date - maturity_date: datetime.date + trade_date: datetime.date = field( + metadata={"globeop": "Trade Date", "mtm": "Trade Date"} + ) + effective_date: datetime.date = field( + init=False, metadata={"mtm": "Effective Date"} + ) + maturity_date: datetime.date = field(metadata={"mtm": "Maturity Date"}) funding_index: str buysell: bool underlying_security: str price: float - accrued: float + accrued: float = field(metadata={"mtm": "Initial Payment"}) funding_freq: str funding_daycount: str funding_payment_roll_convention: str @@ -949,10 +955,10 @@ class TRSDeal( asset_daycount: str asset_payment_roll_convention: str initial_margin_percentage: float = field( - metadata={"globeop": "InitialMarginPercent"} + metadata={"globeop": "InitialMarginPercent", "mtm": "Independent Amount (%)"} ) - notional: float - currency: str + notional: float = field(metadata={"mtm": "1st Leg Notional"}) + currency: str = field(metadata={"mtm": "Currency Code"}) interest_calc_method: str compound_avg_frequency: str fixing_frequency: str @@ -962,6 +968,27 @@ class TRSDeal( default=None, metadata={"insert": False, "mtm": "Swap ID", "globeop": "Deal Id"} ) + def __post_init__(self): + self.effective_date = self.trade_date + datetime.timedelta(days=1) + + def to_markit(self): + _trs_red = {"IBOXHY": "4J623JAA8"} + obj = self.serialize("mtm") + obj["Trade ID"] = obj["Swap ID"] + obj["Initial Payment Currency"] = obj["Currency Code"] + if obj["Initial Payment"] >= 0: + obj["Transaction Code"] = "Receive" + else: + obj["Transaction Code"] = "Pay" + obj["Initial Payment"] = round(abs(obj["Initial Payment"]), 2) + obj["Product Sub Type"] = "IBOXX" # Hardcoded for now + obj["RED"] = _trs_red[obj["underlying_security"]] + obj["Transaction Type"] = "New" + obj["Protection"] = "Buy" if obj["buysell"] else "Sell" + obj["Master Document Date"] = datetime.date(2020, 12, 18) + obj["Supplement Date"] = datetime.date(2015, 2, 18) + return obj + def to_admin(self): obj = self.serialize("globeop") if obj["buysell"]: |