diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/trade_dataclasses.py | 13 |
1 files changed, 12 insertions, 1 deletions
diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index 2aaa4ba0..734b4060 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -22,6 +22,7 @@ from lru import LRU from psycopg.errors import UniqueViolation import logging from serenitas.utils.remote import FtpClient, SftpClient +from pyisda.date import previous_twentieth logger = logging.getLogger(__name__) @@ -945,7 +946,7 @@ class TRSDeal( funding_index: str buysell: bool underlying_security: str - price: float + price: float = field(metadata={"mtm": "Initial Fixing Amount"}) accrued: float = field(metadata={"mtm": "Initial Payment"}) funding_freq: str funding_daycount: str @@ -973,6 +974,7 @@ class TRSDeal( def to_markit(self): _trs_red = {"IBOXHY": "4J623JAA8"} + _mtm_index = {"SOFRRATE": "USD-SOFR-COMPOUND"} obj = self.serialize("mtm") obj["Trade ID"] = obj["Swap ID"] obj["Initial Payment Currency"] = obj["Currency Code"] @@ -987,6 +989,15 @@ class TRSDeal( 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) + obj["Product Type"] = self.product_type + obj["Independent Amount Payer"] = obj["Account Abbreviation"] + obj["2nd Leg Index"] = _mtm_index[obj["funding_index"]] + obj["2nd Leg Spread"] = 0 + obj["2nd Leg Initial Floating Rate"] = obj["Initial Payment"] / ( + (obj["Effective Date"] - previous_twentieth(obj["Effective Date"])).days + * obj["1st Leg Notional"] + / 360 + ) return obj def to_admin(self): |