1 files changed, 90 insertions, 0 deletions
diff --git a/python/position_file_bowdst.py b/python/position_file_bowdst.py
index c89714d7..279c9584 100644
--- a/python/position_file_bowdst.py
+++ b/python/position_file_bowdst.py
@@ -45,6 +45,24 @@ HEADERS = {
         "Local Market Value",
         "Fx Rate",
     ],
+    "future": [
+        "AccountNumber",
+        "COB Date",
+        "Prime Broker",
+        "SecurityType",
+        "BBGTicker",
+        "RIC",
+        "UnderlyingSecurity",
+        "SecurityDescription",
+        "Currency",
+        "Quantity",
+        "OpenTradeEquity",
+        "ClosingPrice",
+        "MaturityDate",
+        "Unrealised P&L in USD",
+        "Local Market Value",
+        "Fx Rate",
+    ],
     "otc": [
         "Client Name",
         "Fund Name",
@@ -177,3 +195,75 @@ with dawndb.cursor() as c:
         )
         trades.append(obj)
         process_upload(trades, "otc")
+
+    c.execute(
+        "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions  ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
+        (date,),
+    )
+    trades = []
+    for row in c:
+        obj = row._asdict()
+        obj["Client Name"] = "HEDGEMARK"
+        obj["Fund Name"] = "BOS_PAT_BOWDOIN"
+        obj["Product Type"] = "CD Swaption"
+        obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
+        obj["PutCall Indicator (Call/Put)"] = (
+            "P" if obj["option_type"] == "PAYER" else "C"
+        )
+        obj["Exercise Type"] = "European"
+        obj["MTM Currency"] = "USD"
+        obj["COB Date"] = date
+        obj["Clearing House Name"] = "Bilateral"
+        rename_keys(
+            obj,
+            {
+                "dealid": "Unique Deal ID",
+                "cp_code": "Counterparty",
+                "currency": "DealCurrencyA",
+                "active_notional": "NotionalA",
+                "fixed_rate": "FixedRate",
+                "strike": "Strike",
+                "effectivedate": "Effective Date",
+                "trade_date": "Start Date",
+                "maturity": "Maturity Date",
+                "expiration_date": "Underlying Maturity",
+                "security_id": "Underlying (ISIN / CUSP / RED CODES)",
+                "security_desc": "Underlying Desc",
+                "nav": "MTM Valuation",
+            },
+        )
+        trades.append(obj)
+    process_upload(trades, "otc")
+
+    c.execute(
+        "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
+        (date,),
+    )
+    trades = []
+    for row in c:
+        obj = row._asdict()
+        obj["Client Name"] = "HEDGEMARK"
+        obj["Fund Name"] = "BOS_PAT_BOWDOIN"
+        obj["Counterparty"] = "GS"
+        obj["Product Type"] = "Credit Index"
+        obj["Unique Deal ID"] = obj["security_id"]
+        obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["notional"] > 0 else "S"
+        obj["DealCurrencyA"] = "EUR" if obj["index"] in ("EU", "XO") else "USD"
+        obj["NotionalA"] = abs(obj["notional"])
+        obj["Start Date"] = date
+        obj["MTM Currency"] = "USD"
+        obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
+        obj["COB Date"] = date
+        obj["Clearing House Name"] = "ICE"
+        rename_keys(
+            obj,
+            {
+                "coupon": "FixedRate",
+                "effectivedate": "Effective Date",
+                "maturity": "Maturity Date",
+                "security_id": "Underlying (ISIN / CUSP / RED CODES)",
+                "security_desc": "Underlying Desc",
+            },
+        )
+        trades.append(obj)
+    process_upload(trades, "otc")