diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/process_queue.py | 11 |
1 files changed, 4 insertions, 7 deletions
diff --git a/python/process_queue.py b/python/process_queue.py index 4fc658e8..73242324 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -3,7 +3,6 @@ import csv import datetime import logging import pathlib -import psycopg2 import re import sys import task_server.config as config @@ -530,15 +529,13 @@ def build_line(obj, trade_type="bond"): obj[direction + "Frequency"] = "Quarterly" obj[direction + "PaymentRollConvention"] = "Following" + for leg_type in ["Receive", "Pay"]: + obj[leg_type + "LegRateType"] = "Fixed" if obj["option_type"] == "PAYER": - obj["ReceiveLegRateType"] = "Float" - obj["ReceiveFloatRate"] = "US0003M" - obj["PayLegRateType"] = "Fixed" + obj["ReceiveFixedRate"] = 0.0 obj["PayFixedRate"] = obj["FixedRate"] elif obj["option_type"] == "RECEIVER": - obj["PayLegRateType"] = "Float" - obj["PayFloatRate"] = "US0003M" - obj["ReceiveLegRateType"] = "Fixed" + obj["PayFixedRate"] = 0.0 obj["ReceiveFixedRate"] = obj["FixedRate"] elif obj["SwapType"] == "SWAPTION": for direction in ["Pay", "Receive"]: |