diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/headers.py | 25 | ||||
| -rw-r--r-- | python/process_queue.py | 21 |
2 files changed, 46 insertions, 0 deletions
diff --git a/python/headers.py b/python/headers.py index 904b5f3e..f4f19301 100644 --- a/python/headers.py +++ b/python/headers.py @@ -280,6 +280,31 @@ HEADERS = { "BrokerShortName", "ClientReference", ], + "fxswap": HEADERS_PRE + + [ + "Reserved", + "Dealt Currency", + "Currency Pair", + "Near Side Currency Rate", + "Near Side Settlement Date", + "Near Side Buy Currency", + "Near Side Buy Amount", + "Near Side Sell Currency", + "Near Side Sell Amount", + "Reserved", + "Far Side Rate", + "Far Side Settlement Date", + "Far Side Point", + "Far Side Buy Currency", + "Far Side Buy Amount", + "Far Side Sell Currency", + "Far Side Sell Amount", + "Client Reference", + "BrokerShortName", + "CcpTradeRef", + "BlockId", + "BlockAmount", + ], "repo": HEADERS_PRE + [ "Settlement Date", diff --git a/python/process_queue.py b/python/process_queue.py index 4fcecf9f..5590ece2 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -343,6 +343,26 @@ def build_line(obj, trade_type="bond", fund="SERCGMAST"): "spot_rate": fx_rate, }, ) + elif trade_type == "fxswap": + obj["Deal Type"] = "FxSwapDeal" + obj["Action"] = "NEW" + rename_keys( + obj, + { + "near_rate": "Near Side Currency Rate", + "near_settle_date": "Near Side Settlement Date", + "new_buy_currency": "Near Side Buy Currency", + "near_buy_amount": "Near Side Buy Amount", + "near_sell_currency": "Near Side Sell Currency", + "near_sell_amount": "Near Side Sell Amount", + "far_rate": "Far Side Rate", + "far_settle_date": "Far Side Settlement Date", + "far_buy_currency": "Far Side Buy Currency", + "far_buy_amount": "Far Side Buy Amount", + "far_sell_currency": "Far Side Sell Currency", + "far_sell_amount": "Far Side Sell Amount", + }, + ) elif trade_type == "repo": obj["Deal Type"] = "RepoDeal" obj["OpenRepo"] = "Y" if obj["open_repo"] else "N" @@ -834,6 +854,7 @@ if __name__ == "__main__": "future", "wire", "spot", + "fxswap", "capfloor", ]: p_list = partial( |