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from typing import Literal
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",
"Forward Rate",
"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
def get_termination_headers(trade_type: str, term_type: Literal["A", "T"]):
headers = [
"DealType",
"DealId",
"Action",
"Client",
"SubAction",
"PartialTermination",
"TerminationAmount",
"TerminationDate",
"FeesPaid",
"FeesReceived",
"DealFunction",
"Reserved",
"ClientReference",
]
if trade_type == "cds":
headers += ["TradeDate", "EffectiveDate", "FirstCouponDate"]
else:
headers += ["Reserved"] * 3
headers += ["FeePaymentDate", "SpecialInstructions"]
if term_type == "A":
headers += ["AssignedCounterparty"]
else:
headers += ["Reserved"]
if trade_type == "cds" and term_type == "A":
headers += [
"AssignmentFee",
"AssignedFeeTradeDate",
"AssignedFeeValueDate",
"AssignedCustodian",
"AssignedCashAccount",
"Reserved",
"FeeCurrency",
]
else:
headers += ["Reserved"] * 7
headers += ["GoTradeId"]
if trade_type == "cds":
headers += ["FeeComments", "ZeroOutInterestCashFlows"]
else:
headers += ["Reserved"] * 2
headers += ["Reserved"] * 4
if trade_type == "swaption":
headers += ["Reserved"] * 2 + ["InMoney", "FeeCurrency"]
elif trade_type == "cds":
if term_type == "A":
headers += ["Reserved"] * 3
else:
headers += ["AssignedDealFunction"] + ["Reserved"] * 2
headers += ["InitialMargin", "InitialMarginCurrency"]
if term_type == "T":
headers += ["Reserved"] * 4 + ["CreditEventOccured"]
return headers
|
