diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 45 |
1 files changed, 38 insertions, 7 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 2396e02e..dbea6ad6 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -19,19 +19,29 @@ Portfolio = Literal[ "OPTIONS", "IR", "MORTGAGES", "CURVE", "TRANCHE", "CLO", "HEDGE_MAC" ] # deprecated IG, HY, STRUCTURED -_funds = {"SERENITAS_CGMF": "SERCGMAST", "BOWDOINST": "BOWDST"} -_fcms = {"Bank of America, N.A.": "BAML", "Goldman Sachs": "GS"} +_funds = { + "SERENITAS_CGMF": "SERCGMAST", + "BOWDOINST": "BOWDST", + "SERENITAS_CGMF": "SERCGMAST", + "BOWDOINST": "BOWDST", +} +_fcms = { + "Bank of America, N.A.": "BAML", + "Goldman Sachs": "GS", + "BOA": "BAML", + "GOLD": "GS", +} cdx_broker_codes = { "GOLDNY": ("GS", "GSMX"), - "JPCBNY": ("JPGP", "JPDR", "JPOS"), - "MSCSNY": ("MSDU", "MSTI"), + "JPCBNY": ("JPGP", "JPDR", "JPOS", "JP"), + "MSCSNY": ("MSDU", "MSTI", "MS"), "JEFF": ("JFF",), "BAMSNY": ("BMLE", "BMLM"), - "BARCNY": ("BARX",), - "CITINY": ("CGCI", "CGCX", "CGIO"), + "BARCNY": ("BARX", "BARC"), + "CITINY": ("CGCI", "CGCX", "CGIO", "CG"), "CSFBBO": ("CSDA",), "BNPBNY": ("EBNP",), - "WELFEI": ("WFCD",), + "WELFEI": ("WFCD", "WFBS"), "BSEONY": ("BSEF",), } @@ -169,6 +179,15 @@ class FrequencyDumper(Int2BinaryDumper): adapters.register_dumper(Frequency, FrequencyDumper) +def desc_str(index_type, series, tenor): + if index_type in ("IG", "HY", "HYBB"): + return f"CDX {index_type} CDSI S{series} {tenor}Y" + elif index_type == "XO": + return f"ITRX XOVER CDSI S{series} {tenor}Y" + elif index_type == "EU": + return f"ITRX EUR CDSI S{series} {tenor}Y" + + class DealType(Enum): Bond = "BOND" CDS = "CDX" @@ -340,6 +359,18 @@ class CDSDeal( @classmethod def from_bbg_line(cls, line: dict): + if line["Coupon"] == "": + with cls._conn.cursor() as c: + c.execute( + "SELECT coupon, index, series, tenor FROM index_maturity_markit LEFT JOIN index_version USING (redindexcode) WHERE redindexcode=%s AND maturity =%s;", + ( + line["Red Code"], + datetime.datetime.strptime(line["Mat Dt"], "%m/%d/%Y").date(), + ), + ) + coupon, index, series, tenor = c.fetchone() + line["Security"] = desc_str(index, series, tenor.removesuffix("yr")) + line["Coupon"] = coupon cls._bbg_insert_queue.append(list(line.values())) return cls( fund=_funds[line["Account"]], |