diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/common.py | 9 | ||||
| -rw-r--r-- | python/strat_cash_realloc.py | 38 |
2 files changed, 9 insertions, 38 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 747ffb43..b4c83197 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -32,7 +32,14 @@ CASH_STRATEGY_MAPPING = { "MBSCDSCSH": ["HEDGE_MBS", "MBSCDS"], "MACCDSCSH": ["HEDGE_MAC", "CASH_BASIS"], "CVECSH": ["SER_ITRXCURVE", "SER_IGCURVE", "SER_HYCURVE", "XCURVE"], - "CLOCDSCSH": ["HEDGE_CLO"], + "CLOCDSCSH": ["HEDGE_CLO", "M_CLO_BB20"], + "M_CSH_CASH": [ + "CRT_LD", + "CRT_LD_JNR", + "CRT_SD", + "MTG_FP", + "MTG_LMG", + ], } STRATEGY_CASH_MAPPING = {e: k for k, v in CASH_STRATEGY_MAPPING.items() for e in v} diff --git a/python/strat_cash_realloc.py b/python/strat_cash_realloc.py index ebd57a80..88f8a9e2 100644 --- a/python/strat_cash_realloc.py +++ b/python/strat_cash_realloc.py @@ -7,6 +7,7 @@ import csv from io import StringIO from serenitas.analytics.dates import prev_business_day from serenitas.utils.remote import SftpClient +from collateral.common import CASH_STRATEGY_MAPPING, STRATEGY_CASH_MAPPING def rename_keys(d, mapping): @@ -88,43 +89,6 @@ def generate_csv(date, conn): process_upload(trades) -CASH_STRATEGY_MAPPING = { - "COCSH": ["IGREC", "IGPAYER", "HYPAYER", "HYREC", "HYOPTDEL", "IGOPTDEL"], - "IRDEVCSH": ["DV01", "STEEP", "FLAT"], - "TCSH": [ - "IGMEZ", - "IGSNR", - "IGEQY", - "HYMEZ", - "HYEQY", - "HYSNR", - "BSPK", - "XOMEZ", - "XOEQY", - "IGINX", - "HYINX", - "XOINX", - "EUMEZ", - "EUINX", - ], - "MBSCDSCSH": [ - "HEDGE_MBS", - "MBSCDS", - ], - "M_CSH_CASH": [ - "CRT_LD", - "CRT_LD_JNR", - "CRT_SD", - "MTG_FP", - "MTG_LMG", - ], - "MACCDSCSH": ["HEDGE_MAC", "CASH_BASIS"], - "CVECSH": ["ITRXCURVE", "IGCURVE", "HYCURVE", "XCURVE"], - "CLOCDSCSH": ["HEDGE_CLO", "CLO_BB20"], -} - -STRATEGY_CASH_MAPPING = {e: k for k, v in CASH_STRATEGY_MAPPING.items() for e in v} - if __name__ == "__main__": import argparse |