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from serenitas.utils.db import dbconn
from process_queue import rename_keys
from io import StringIO
import csv
from serenitas.utils.env import DAILY_DIR
from serenitas.utils.remote import SftpClient
from serenitas.analytics.dates import next_business_day
import datetime
HEADERS = {
"tranche": [
"Markit Field Name",
"Swap ID",
"Allocation ID",
"Description",
"Broker Id",
"DTCC CounterParty ID",
"Trade ID",
"Trade Date",
"Effective Date",
"Settle Date",
"Maturity Date",
"Account Abbreviation",
"1st Leg Notional",
"Currency Code",
"1st Leg Rate",
"Initial Payment",
"Initial Payment Currency",
"Original Issue Date",
"Interest Payment Method Description",
"First Payment Date",
"Product Type",
"Product Sub Type",
"Transaction Type",
"Protection",
"Transaction Code",
"Remaining Party",
"DTCC Remaining CounterParty ID",
"Independent Amount (%)",
"Independent Amount ($)",
"RED",
"Issuer Name",
"Settlement Amount",
"Trader",
"Executing Broker",
"Dealer",
"Trade ID",
"Notes",
"Parent Transaction Code",
"Parent Trade Date",
"Parent Notional",
"Parent Currency Code",
"Parent Net Amount",
"Parent Effective Date",
"Parent First Payment Date",
"Parent Settle Date",
"ComplianceHubAction",
"DTCC Ineligible",
"Master Document Date",
"Master Document Version",
"Include Contractual Supplement",
"Contractual Supplement",
"Supplement Date",
"Entity Matrix",
"Entity Matrix Date",
"Modified Equity Delivery",
"Calculation Agent Business Center",
"Calculation Agent",
"Attachment Point",
"Exhaustion Point",
"Strategy",
"First Payment Period Accrual Start Date",
"TieOut Ineligible",
"Electronic Consent Ineligible",
"External OMS ID",
"Independent Amount Currency",
"Independent Amount Payer",
"Trade Revision",
"Alternate Swap ID",
"Alternate Trade ID",
"Definitions Type",
]
}
def tranche_trades(conn):
with conn.cursor() as c:
trades = []
c.execute(
"SELECT * FROM cds where attach is not NULL and trade_date > %s and id=3445",
(datetime.date(2020, 12, 1),),
)
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"dealid": "Swap ID",
"cp_code": "Broker Id",
"trade_date": "Trade Date",
"effective_date": "Effective Date",
"maturity": "Maturity Date",
"notional": "1st Leg Notional",
"fixed_rate": "1st Leg Rate",
"upfront": "Initial Payment",
"security_id": "RED",
"orig_attach": "Attachment Point",
"orig_detach": "Exhaustion Point",
"currency": "Currency Code",
"upfront_settle_date": "First Payment Date",
"cp_code": "Broker Id",
},
)
if obj["Initial Payment"] >= 0:
obj["Transaction Code"] = "Receive"
else:
obj["Initial Payment"] = abs(obj["Initial Payment"])
obj["Transaction Code"] = "Pay"
obj["Swap ID"] = "test_1"
obj["Trade ID"] = obj["Swap ID"]
obj["Product Type"] = "TRN"
obj["Transaction Type"] = "NEW"
obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell"
# obj["Trader"] = "Serenitas_Trader"
obj["Entity Matrix"] = "Publisher"
obj["Definitions Type"] = "ISDA2014Credit"
obj["Independent Amount (%)"] = obj["initial_margin_percentage"]
if "ITRX" in obj["security_desc"]:
obj["Include Contractual Supplement"] = "Y"
obj["Contractual Supplement"] = "StandardiTraxxEuropeTranche"
# Temporary Static Values
obj["Account Abbreviation"] = "Serenitas-test1"
# obj["Initial Payment Currency"] = "USD"
# obj["First Payment Date"] = "2022-01-18"
# obj["Broker Id"] = "0000571T"
# obj['DTCC Ineligible'] = 'N'
obj["Master Document Date"] = "2016-02-17"
trades.append(obj)
return trades
def tranche_term_trades(conn):
with conn.cursor() as c:
trades = []
c.execute(
"SELECT * FROM terminations where termination_date > %s and dealid LIKE %s",
(datetime.date(2021, 12, 15), "SCCDS%"),
)
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"dealid": "Swap ID",
"termination_cp": "Broker Id",
"termination_amount": "1st Leg Notional",
"termination_fee": "Initial Payment",
"termination_date": "Trade Date",
"fee_payment_date": "Settle Date",
},
)
if obj["Initial Payment"] >= 0:
obj["Transaction Code"] = "Receive"
else:
obj["Initial Payment"] = abs(obj["Initial Payment"])
obj["Transaction Code"] = "Pay"
obj["Product Type"] = "TRN"
obj["Entity Matrix"] = "Publisher"
obj["Definitions Type"] = "ISDA2003Credit"
obj["Account Abbreviation"] = "Serenitas-test1"
obj["Broker Id"] = "0000571T"
obj["Remaining Party"] = "0000571T"
obj["Trade ID"] = obj["Swap ID"] + "-" + str(obj["id"])
obj["Transaction Type"] = "Partial Assignment"
obj["Effective Date"] = obj["Trade Date"] + datetime.timedelta(days=1)
trades.append(obj)
return trades
def build_line(obj, asset_type):
return [obj.get(h, None) for h in HEADERS[asset_type]]
def process_upload(trades, asset_type, upload):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(HEADERS[asset_type])
csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
buf = buf.getvalue().encode()
fname = f"MTM.{datetime.datetime.now():%Y%m%d.%H%M%S}.{asset_type.capitalize()}.csv"
sftp = SftpClient.from_creds("mtm")
sftp.put(buf, fname)
dest = DAILY_DIR / str(datetime.date.today()) / fname
dest.write_bytes(buf)
def upload_trades(conn):
process_upload(tranche_trades(conn), "tranche", upload=False)
if __name__ == "__main__":
conn = dbconn("dawndb")
upload_trades(conn)
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