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from flask.ext.sqlalchemy import SQLAlchemy
from flask_wtf import Form
from flask_wtf.file import FileField
from sqlalchemy.dialects.postgresql import ENUM
from wtforms import SelectField
from wtforms.validators import Length
from wtforms_alchemy import model_form_factory
from sqlalchemy_utils import EmailType, PhoneNumberType
db = SQLAlchemy()
class Counterparties(db.Model):
__tablename__ = 'counterparties'
code = db.Column(db.String(12), primary_key=True)
name = db.Column(db.String)
city = db.Column(db.String)
state = db.Column(db.String(2))
dtc_number = db.Column(db.Integer)
sales_contact = db.Column(db.String)
sales_email = db.Column(EmailType)
sales_phone = db.Column(PhoneNumberType())
valuation_contact1 = db.Column(db.String)
valuation_email1 = db.Column(EmailType)
valuation_contact2 = db.Column(db.String)
valuation_email2 = db.Column(EmailType)
valuation_contact3 = db.Column(db.String)
valuation_email3 = db.Column(EmailType)
valuation_contact4 = db.Column(db.String)
valuation_email4 = db.Column(EmailType)
notes = db.Column(db.String)
instructions = db.Column(db.String, info={'form_field_class': FileField})
BOND_STRAT = ENUM('M_STR_MAV', 'M_STR_MEZZ', 'CSO_TRANCH',
'M_CLO_BB20', 'M_CLO_AAA', 'M_CLO_BBB', 'M_MTG_IO', 'M_MTG_THRU',
'M_MTG_GOOD', 'M_MTG_B4PR', 'M_MTG_RW', name='bond_strat')
CDS_STRAT = ENUM('HEDGE_CSO', 'HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS',
'SER_IGSNR', 'SER_IGMEZ', 'SER_IGEQY', 'SER_IGINX', 'SER_HYSNR',
'SER_HYMEZ', 'SER_HYEQY', 'SER_HYINX', 'SER_IGCURVE', 'MBSCDS', name='cds_strat')
ASSET_CLASS = ENUM('CSO', 'Subprime', 'CLO', 'Tranches', 'Futures', 'Cash', 'FX', 'Cleared',
name='asset_class')
ACTION = ENUM('NEW', 'UPDATE', 'CANCEL', name='action')
CCY = ENUM('USD', 'CAD', 'EUR', 'YEN', name='currency')
BBG_TYPE = ENUM('Mtge', 'Corp', name='bbg_type')
SWAP_TYPE = ENUM('CD_INDEX', 'CD_INDEX_TRANCHE', 'CD_BASKET_TRANCHE', 'ABS_CDS', name='swap_type')
ISDA = ENUM('ISDA2014', 'ISDA2003Cred', name='isda')
DAY_COUNT = ENUM('ACT/360', 'ACT/ACT', '30/360', 'ACT/365', name='day_count')
BUS_DAY_CONVENTION = ENUM('Modified Following', 'Following', 'Modified Preceding', 'Preceding',
'Second-Day-After', 'End-of-Month', name='bus_day_convention')
PROTECTION = ENUM('Buyer', 'Seller', name='protection')
class BondDeal(db.Model):
__tablename__ = 'bonds'
id = db.Column('id', db.Integer, primary_key=True)
dealid = db.Column(db.String(28))
lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
action = db.Column(ACTION)
folder = db.Column(BOND_STRAT, nullable=False)
custodian = db.Column(db.String(12), default='BAC', nullable=False)
cashaccount = db.Column(db.String(10), default='V0NSCLMAMB', nullable=False)
cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
info={'choices': [(None, '')],
'label': 'counterparty'}, nullable = False)
trade_date = db.Column(db.Date, nullable = False)
settle_date = db.Column(db.Date, nullable = False)
cusip = db.Column(db.String(9), info={'validators': Length(9,9),
'filters': [lambda x: x or None,],
'trim': True})
isin = db.Column(db.String(12), info={'validators': Length(12, 12),
'filters': [lambda x: x or None,],
'trim': True})
identifier = db.Column(db.String(12), info={'filters': [lambda x: x or None,],
'trim': True})
description = db.Column(db.String(32), nullable = False, info={'trim': True})
buysell = db.Column(db.Boolean, nullable = False, info={'choices':[(0, 'sell'), (1, 'buy')],
'coerce': lambda x: bool(int(x)) \
if x is not None else x})
faceamount = db.Column(db.Float, nullable=False)
price = db.Column(db.Float, nullable=False)
accrued = db.Column(db.Float, nullable = False)
asset_class = db.Column(ASSET_CLASS)
ticket = db.Column(db.String, info={'form_field_class': FileField})
principal_payment = db.Column(db.Float)
accrued_payment = db.Column(db.Float)
counterparty = db.relationship(Counterparties)
__table_args__= (db.CheckConstraint('cusip is not Null or isin is not Null'),)
class CDSDeal(db.Model):
__tablename__ = 'cds'
id = db.Column('id', db.Integer, primary_key=True)
dealid = db.Column(db.String(28))
lastupdate = db.Column(db.DateTime, server_default=db.func.now(), onupdate=db.func.now())
action = db.Column(ACTION)
folder = db.Column(CDS_STRAT, nullable = False)
custodian = db.Column(db.String(12), default='ML', nullable=False)
cashaccount = db.Column(db.String(10), default='MLNSCLMASW', nullable=False)
cp_code = db.Column(db.String(12), db.ForeignKey('counterparties.code'),
info={'choices': [(None, '')],
'label': 'counterparty'}, nullable = False)
trade_date = db.Column(db.Date, nullable = False)
effective_date = db.Column(db.Date, nullable = False)
maturity = db.Column(db.Date, nullable = False)
currency = db.Column(CCY, nullable = False)
payment_rolldate = db.Column(BUS_DAY_CONVENTION, nullable = False)
notional = db.Column(db.Float, nullable = False)
fixed_rate = db.Column(db.Float, nullable = False)
day_count = db.Column(DAY_COUNT, nullable = False)
frequency = db.Column(db.SmallInteger, default=4, nullable = False)
protection = db.Column(PROTECTION, nullable = False)
security_id = db.Column(db.String(12), nullable = False)
security_desc = db.Column(db.String(32), nullable = False)
upfront = db.Column(db.Float, nullable = False)
upfront_settle_date = db.Column(db.Date, nullable = False)
swap_type = db.Column(SWAP_TYPE, nullable = False)
attach = db.Column(db.SmallInteger, info={'min': 0, 'max':100})
detach = db.Column(db.SmallInteger, info={'min': 0, 'max':100})
clearing_facility = db.Column(db.String(12), default='ICE-CREDIT')
isda_definition = db.Column(ISDA)
counterparty = db.relationship(Counterparties)
__table_args__ = (db.CheckConstraint("swap_type!='CD_INDEX_TRANCHE' or " \
"(attach is not NULL and detach is not NULL)"),)
BaseModelForm = model_form_factory(Form)
class ModelForm(BaseModelForm):
@classmethod
def get_session(self):
return db.session
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