diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/headers.py | 276 | ||||
| -rw-r--r-- | python/process_queue.py | 278 |
2 files changed, 277 insertions, 277 deletions
diff --git a/python/headers.py b/python/headers.py new file mode 100644 index 00000000..2853eb56 --- /dev/null +++ b/python/headers.py @@ -0,0 +1,276 @@ +HEADERS_PRE = [ + "Deal Type", + "Deal Id", + "Action", + "Client", + "Fund", + "Portfolio", + "Folder", + "Custodian", + "Cash Account", + "Counterparty", + "Comments", + "State", + "Trade Date", +] + +HEADERS = { + "bond": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "GlopeOp Security Identifier", + "CUSIP", + "ISIN", + "Reserved", + "Reserved", + "Reserved", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Accrued", + "Price", + "BlockId", + "BlockAmount", + "Reserved", + "Reserved", + "Reserved", + "Reserved", + "ClientReference", + "ClearingMode", + "FaceAmount", + "Pool Factor", + "FactorAsOfDate", + "Delivery", + ], + "cds": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "EffectiveDate", + "MaturityDate", + "Currency", + "Notional", + "FixedRate", + "PaymentRollDateConvention", + "DayCount", + "PaymentFrequency", + "FirstCouponRate", + "FirstCouponDate", + "ResetLag", + "Liquidation", + "LiquidationDate", + "Protection", + "UnderlyingSecurityId", + "UnderlyingSecurityDescription", + "CreditSpreadCurve", + "CreditEvents", + "RecoveryRate", + "Settlement", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "DiscountCurve", + "ClientReference", + "UpfrontFee", + "UpfrontFeePayDate", + "RegenerateCashFlow", + "UpfrontFeeComment", + "Executing Broker", + "SwapType", + "OnPrice", + "OffPrice", + "AttachmentPoint", + "ExhaustionPoint", + "Fees", + "Fee Payment Dates", + "Fee Comments", + "Credit Event Occurred", + "Calendar", + "Clearing Facility", + "Adjusted", + "CcpTradeRef", + "BlockId", + "BlockAmount", + "NettingId", + "AnnouncementDate", + "ExecTS", + "DefaultProbability", + "ClientMargin", + "Factor", + "ISDADefinition", + ], + "swaption": HEADERS_PRE + + [ + "Reserved", + "Reserved", + "Reserved", + "Notional", + "PremiumSettlementDate", + "ExpirationDate", + "PremiumCurrency", + "PercentageOfPremium", + "ExerciseType", + "Reserved", + "SettlementMode", + "SettlementRate", + "Transaction Indicator", + "InitialMargin", + "InitialMarginPercentage", + "InitialMarginCurrency", + "ReceiveLegRateType", + "ReceiveFloatRate", + "ReceiveFirstCouponDate", + "ReceiveFirstCouponRate", + "ReceiveFixedRate", + "ReceiveDaycount", + "ReceiveFrequency", + "ReceivePaymentRollConvention", + "ReceiveEffectiveDate", + "ReceiveMaturityDate", + "ReceiveNotional", + "ReceiveArrears", + "ReceiveAdjusted", + "ReceiveCompound", + "ReceiveCurrency", + "PayLegRateType", + "PayFloatRate", + "PayFirstCouponDate", + "PayFirstCouponRate", + "PayFixedRate", + "PayDaycount", + "PayFrequency", + "PayPaymentRollConvention", + "PayEffectiveDate", + "PayMaturityDate", + "PayNotional", + "PayArrears", + "PayAdjusted", + "PayCompound", + "PayCurrency", + "RegenerateCashFlow", + "GiveUpBroker", + "ClientReference", + "ReceiveDiscountCurve", + "ReceiveForwardCurve", + "PayDiscountCurve", + "PayForwardCurve", + "ReceiveFixingFrequency", + "ReceiveInterestCalcMethod", + "ReceiveCompoundAverageFrequency", + "PayFixingFrequency", + "PayInterestCalcMethod", + "PayCompoundAverageFrequency", + "SwapType", + "AttachmentPoint", + "ExhaustionPoint", + "UnderlyingInstrument", + "AssociatedDealType", + "AssociatedDealId", + "CounterpartyReference", + "PremiumSettlementCurrency", + "PremiumSettlementAmount", + "ReceiveIMM Period", + "PayIMMPeriod", + "Reserved", + "ClearingFacility", + "Strike", + "CcpTradeRef", + "BreakClauseFrequency", + "BlockId", + "BlockAmount", + "Cross Currency Premium Payment", + "Premium Payment Amount", + "Netting Id", + "BreakClauseDate", + ], + "future": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "GlopeOp Security Identifier", + "Reserved", + "Reserved", + "Reserved", + "Bloomberg Ticker", + "RIC", + "Security Description", + "Transaction Indicator", + "SubTransaction Indicator", + "Quantity", + "Price", + "Commission", + "Tax", + "VAT", + "Trade Currency", + "Reserved", + "Reserved", + "Broker Short Name", + "MaturityDate", + "Exchange", + "Client Reference", + "Swap Type", + "Initial Margin", + "Initial Margin Currency", + "Future Event", + "Commission Entries", + "BlockId", + "Block Amount", + ], + "wire": HEADERS_PRE + + [ + "Settlement Date", + "Reserved", + "Reserved", + "Currency", + "Amount", + "Associated Deal Type", + "Associated Deal Id", + "Transaction Type", + "Instrument Type", + "Yield", + "Client Reference", + "ClearingFacility", + "Deal Function", + "Reset Price", + "Reset Date", + "Ccp Trade Ref", + "Margin Type", + "Block Id", + "Block Amount", + ], + "spot": HEADERS_PRE + + [ + "Settlement Date", + "Dealt Currency", + "Spot Rate", + "Reserved", + "Buy Currency", + "Buy Amount", + "Sell Currency", + "Sell Amount", + "ClearingFees", + "BlockId", + "BlockAmount", + "Commission Currency", + "Commission", + "Reserved", + "AssociatedDealType", + "AssociatedDealId", + "BrokerShortName", + "ClientReference", + ], +} + + +def get_headers(trade_type, fund): + headers = HEADERS[trade_type] + if fund == "BOWDST": + if trade_type == "bond": + return headers + ["PrincipalPayment", "AccruedPayment", "CurrentFace"] + elif trade_type == "swaption": + return headers + ["OptionType"] + else: + return headers + else: + return headers diff --git a/python/process_queue.py b/python/process_queue.py index 79ff271f..a67bab9a 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -30,283 +30,7 @@ from pyisda.date import previous_twentieth from typing import Literal, Tuple, Union from quantlib.time.api import pydate_from_qldate, UnitedStates, Days, Date from tabulate import tabulate - -HEADERS_PRE = [ - "Deal Type", - "Deal Id", - "Action", - "Client", - "Fund", - "Portfolio", - "Folder", - "Custodian", - "Cash Account", - "Counterparty", - "Comments", - "State", - "Trade Date", -] - -HEADERS = { - "bond": HEADERS_PRE - + [ - "Settlement Date", - "Reserved", - "GlopeOp Security Identifier", - "CUSIP", - "ISIN", - "Reserved", - "Reserved", - "Reserved", - "Security Description", - "Transaction Indicator", - "SubTransaction Indicator", - "Accrued", - "Price", - "BlockId", - "BlockAmount", - "Reserved", - "Reserved", - "Reserved", - "Reserved", - "ClientReference", - "ClearingMode", - "FaceAmount", - "Pool Factor", - "FactorAsOfDate", - "Delivery", - ], - "cds": HEADERS_PRE - + [ - "Reserved", - "Reserved", - "EffectiveDate", - "MaturityDate", - "Currency", - "Notional", - "FixedRate", - "PaymentRollDateConvention", - "DayCount", - "PaymentFrequency", - "FirstCouponRate", - "FirstCouponDate", - "ResetLag", - "Liquidation", - "LiquidationDate", - "Protection", - "UnderlyingSecurityId", - "UnderlyingSecurityDescription", - "CreditSpreadCurve", - "CreditEvents", - "RecoveryRate", - "Settlement", - "InitialMargin", - "InitialMarginPercentage", - "InitialMarginCurrency", - "DiscountCurve", - "ClientReference", - "UpfrontFee", - "UpfrontFeePayDate", - "RegenerateCashFlow", - "UpfrontFeeComment", - "Executing Broker", - "SwapType", - "OnPrice", - "OffPrice", - "AttachmentPoint", - "ExhaustionPoint", - "Fees", - "Fee Payment Dates", - "Fee Comments", - "Credit Event Occurred", - "Calendar", - "Clearing Facility", - "Adjusted", - "CcpTradeRef", - "BlockId", - "BlockAmount", - "NettingId", - "AnnouncementDate", - "ExecTS", - "DefaultProbability", - "ClientMargin", - "Factor", - "ISDADefinition", - ], - "swaption": HEADERS_PRE - + [ - "Reserved", - "Reserved", - "Reserved", - "Notional", - "PremiumSettlementDate", - "ExpirationDate", - "PremiumCurrency", - "PercentageOfPremium", - "ExerciseType", - "Reserved", - "SettlementMode", - "SettlementRate", - "Transaction Indicator", - "InitialMargin", - "InitialMarginPercentage", - "InitialMarginCurrency", - "ReceiveLegRateType", - "ReceiveFloatRate", - "ReceiveFirstCouponDate", - "ReceiveFirstCouponRate", - "ReceiveFixedRate", - "ReceiveDaycount", - "ReceiveFrequency", - "ReceivePaymentRollConvention", - "ReceiveEffectiveDate", - "ReceiveMaturityDate", - "ReceiveNotional", - "ReceiveArrears", - "ReceiveAdjusted", - "ReceiveCompound", - "ReceiveCurrency", - "PayLegRateType", - "PayFloatRate", - "PayFirstCouponDate", - "PayFirstCouponRate", - "PayFixedRate", - "PayDaycount", - "PayFrequency", - "PayPaymentRollConvention", - "PayEffectiveDate", - "PayMaturityDate", - "PayNotional", - "PayArrears", - "PayAdjusted", - "PayCompound", - "PayCurrency", - "RegenerateCashFlow", - "GiveUpBroker", - "ClientReference", - "ReceiveDiscountCurve", - "ReceiveForwardCurve", - "PayDiscountCurve", - "PayForwardCurve", - "ReceiveFixingFrequency", - "ReceiveInterestCalcMethod", - "ReceiveCompoundAverageFrequency", - "PayFixingFrequency", - "PayInterestCalcMethod", - "PayCompoundAverageFrequency", - "SwapType", - "AttachmentPoint", - "ExhaustionPoint", - "UnderlyingInstrument", - "AssociatedDealType", - "AssociatedDealId", - "CounterpartyReference", - "PremiumSettlementCurrency", - "PremiumSettlementAmount", - "ReceiveIMM Period", - "PayIMMPeriod", - "Reserved", - "ClearingFacility", - "Strike", - "CcpTradeRef", - "BreakClauseFrequency", - "BlockId", - "BlockAmount", - "Cross Currency Premium Payment", - "Premium Payment Amount", - "Netting Id", - "BreakClauseDate", - ], - "future": HEADERS_PRE - + [ - "Settlement Date", - "Reserved", - "GlopeOp Security Identifier", - "Reserved", - "Reserved", - "Reserved", - "Bloomberg Ticker", - "RIC", - "Security Description", - "Transaction Indicator", - "SubTransaction Indicator", - "Quantity", - "Price", - "Commission", - "Tax", - "VAT", - "Trade Currency", - "Reserved", - "Reserved", - "Broker Short Name", - "MaturityDate", - "Exchange", - "Client Reference", - "Swap Type", - "Initial Margin", - "Initial Margin Currency", - "Future Event", - "Commission Entries", - "BlockId", - "Block Amount", - ], - "wire": HEADERS_PRE - + [ - "Settlement Date", - "Reserved", - "Reserved", - "Currency", - "Amount", - "Associated Deal Type", - "Associated Deal Id", - "Transaction Type", - "Instrument Type", - "Yield", - "Client Reference", - "ClearingFacility", - "Deal Function", - "Reset Price", - "Reset Date", - "Ccp Trade Ref", - "Margin Type", - "Block Id", - "Block Amount", - ], - "spot": HEADERS_PRE - + [ - "Settlement Date", - "Dealt Currency", - "Spot Rate", - "Reserved", - "Buy Currency", - "Buy Amount", - "Sell Currency", - "Sell Amount", - "ClearingFees", - "BlockId", - "BlockAmount", - "Commission Currency", - "Commission", - "Reserved", - "AssociatedDealType", - "AssociatedDealId", - "BrokerShortName", - "ClientReference", - ], -} - - -def get_headers(trade_type, fund): - headers = HEADERS[trade_type] - if fund == "BOWDST": - if trade_type == "bond": - return headers + ["PrincipalPayment", "AccruedPayment", "CurrentFace"] - elif trade_type == "swaption": - return headers + ["OptionType"] - else: - return headers - else: - return headers +from headers import get_headers def get_effective_date(d, swaption_type): |