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import datetime
from serenitas.utils.misc import rename_keys
from pyisda.date import previous_twentieth
from quantlib.time.api import pydate_from_qldate, UnitedStates, Days, Date
from serenitas.analytics.dates import bus_day
from .headers import get_headers
def get_effective_date(d, swaption_type):
if swaption_type == "CD_INDEX_OPTION":
return previous_twentieth(d + datetime.timedelta(days=1))
else:
cal = UnitedStates()
return pydate_from_qldate(cal.advance(Date.from_datetime(d), 2, Days))
_client_name = {"SERCGMAST": "Serenitas", "BOWDST": "HEDGEMARK", "BRINKER": "LMCG"}
def build_line(obj, trade_type="bond", fund="SERCGMAST"):
obj["Client"] = _client_name[fund]
# Bowdst Globeop has a special short name
obj["fund"] = "BOS_PAT_BOWDOIN" if fund == "BOWDST" else fund
obj["State"] = "Valid"
rename_cols = {
"fund": "Fund",
"action": "Action",
"dealid": "Deal Id",
"folder": "Folder",
"custodian": "Custodian",
"cash_account": "Cash Account",
"cp_code": "Counterparty",
"identifier": "GlopeOp Security Identifier",
"cusip": "CUSIP",
"isin": "ISIN",
"description": "Security Description",
"accrued": "Accrued",
"price": "Price",
"faceamount": "FaceAmount",
"trade_date": "Trade Date",
"settle_date": "Settlement Date",
"effective_date": "EffectiveDate",
"maturity": "MaturityDate",
"currency": "Currency",
"fixed_rate": "FixedRate",
"payment_rolldate": "PaymentRollDateConvention",
"day_count": "DayCount",
"protection": "Protection",
"security_id": "UnderlyingSecurityId",
"security_desc": "UnderlyingSecurityDescription",
"upfront": "UpfrontFee",
"upfront_settle_date": "UpfrontFeePayDate",
"swap_type": "SwapType",
"orig_attach": "AttachmentPoint",
"orig_detach": "ExhaustionPoint",
"clearing_facility": "Clearing Facility",
"isda_definition": "ISDADefinition",
"expiration_date": "ExpirationDate",
"portfolio": "Portfolio",
"settlement_type": "SettlementMode",
"principal_payment": "PrincipalPayment",
"accrued_payment": "AccruedPayment",
"current_face": "CurrentFace",
}
rename_cols[
"curr_notional" if fund in ("SERCGMAST", "BOWDST") else "notional"
] = "Notional"
rename_keys(obj, rename_cols)
if trade_type in ("bond", "swaption", "future"):
obj["Transaction Indicator"] = "Buy" if obj["buysell"] else "Sell"
if trade_type == "bond":
obj["Deal Type"] = "MortgageDeal"
obj["Portfolio"] = "MORTGAGES"
obj["Delivery"] = "S"
# zero coupon bond
if obj["CUSIP"] != obj["GlopeOp Security Identifier"]:
obj["CUSIP"] = None
elif trade_type == "swaption":
obj["Deal Type"] = "SwaptionDeal"
obj["ExerciseType"] = "European"
rename_keys(
obj,
{
"Settlement Date": "PremiumSettlementDate",
"notional": "Notional",
"initial_margin_percentage": "InitialMarginPercentage",
},
)
obj["PremiumSettlementAmount"] = (
obj["Price"] * obj["Notional"] * obj.get("factor", 1.0) * 0.01
)
obj["PremiumSettlementCurrency"] = obj["Currency"]
obj["RegenerateCashFlow"] = "N"
for direction in ["Pay", "Receive"]:
obj[direction + "MaturityDate"] = obj["MaturityDate"]
obj[direction + "Currency"] = obj["Currency"]
obj[direction + "Notional"] = obj["Notional"]
obj[direction + "EffectiveDate"] = get_effective_date(
obj["ExpirationDate"], obj["SwapType"]
)
if obj["SwapType"] == "CD_INDEX_OPTION":
for direction in ["Pay", "Receive"]:
obj[direction + "Daycount"] = "ACT/360"
obj[direction + "Frequency"] = "Quarterly"
obj[direction + "PaymentRollConvention"] = "Following"
for leg_type in ["Receive", "Pay"]:
obj[leg_type + "LegRateType"] = "Fixed"
if obj["option_type"] == "PAYER":
obj["ReceiveFixedRate"] = 0.0
obj["PayFixedRate"] = obj["FixedRate"]
elif obj["option_type"] == "RECEIVER":
obj["PayFixedRate"] = 0.0
obj["ReceiveFixedRate"] = obj["FixedRate"]
elif obj["SwapType"] == "SWAPTION":
for direction in ["Pay", "Receive"]:
obj[direction + "PaymentRollConvention"] = "ModifiedFollowing"
if obj["option_type"] == "RECEIVER":
fixed, floating = "Receive", "Pay"
else:
fixed, floating = "Pay", "Receive"
# fixed leg
obj[fixed + "Frequency"] = "Yearly"
obj[fixed + "Daycount"] = "ACT/360"
obj[fixed + "FixedRate"] = obj["strike"]
obj[fixed + "LegRateType"] = "Fixed"
obj[fixed + "InterestCalcMethod"] = "Simple Interest"
# floating leg
obj[floating + "Frequency"] = "Yearly"
obj[floating + "Daycount"] = "ACT/360"
obj[floating + "LegRateType"] = "Float"
obj[floating + "FloatRate"] = "SOFRINDX"
obj[floating + "InterestCalcMethod"] = "Simple Interest"
else:
raise ValueError(
"'SwapType' needs to be one of 'CD_INDEX_OPTION' or 'SWAPTION'"
)
obj["PremiumCurrency"] = obj["Currency"]
if obj["InitialMarginPercentage"]:
obj["InitialMarginCurrency"] = obj["Currency"]
obj["UnderlyingInstrument"] = obj.pop("UnderlyingSecurityId")
if obj["SwapType"] == "CD_INDEX_OPTION":
obj["Strike"] = obj.pop("strike")
elif trade_type == "cds":
freq = {4: "Quarterly", 12: "Monthly"}
obj["Deal Type"] = "CreditDefaultSwapDeal"
obj["PaymentFrequency"] = freq[obj["frequency"]]
obj["InitialMarginPercentage"] = obj.pop("initial_margin_percentage")
if obj["InitialMarginPercentage"]:
obj["InitialMarginCurrency"] = obj["Currency"]
if obj["Clearing Facility"] is None:
obj["Clearing Facility"] = "NOT CLEARED"
elif trade_type == "future":
obj["Deal Type"] = "FutureDeal"
rename_keys(
obj,
{
"commission": "Commission",
"quantity": "Quantity",
"swap_type": "Swap Type",
"bbg_ticker": "Bloomberg Ticker",
"Currency": "Trade Currency",
"exchange": "Exchange",
},
)
elif trade_type == "wire":
obj["Deal Type"] = "CashFlowDeal"
obj["Transaction Type"] = "Transfer"
obj["Instrument Type"] = "Cashflow"
obj["Settlement Date"] = obj["Trade Date"]
strat_portfolio_map = {
"IGOPTDEL": "OPTIONS",
"COCSH": "OPTIONS",
"IGINX": "TRANCHE",
"BSPK": "TRANCHE",
"TCSH": "TRANCHE",
"SER_ITRXCURVE": "SERG__CURVE",
"XCURVE": "SERG__CURVE",
"M_CSH_CASH": "CASH",
"CVECSH": "SERG__CURVE",
"SER_ITRXCVCSH": "SERG__CURVE",
}
obj["Portfolio"] = strat_portfolio_map.get(obj["Folder"])
rename_keys(obj, {"amount": "Amount"})
elif trade_type == "spot":
standard_settle = (obj["Trade Date"] + 2 * bus_day).date()
if obj["Settlement Date"] > standard_settle:
obj["Deal Type"] = "ForwardDeal"
fx_rate = "Forward Rate"
else:
obj["Deal Type"] = "SpotDeal"
fx_rate = "Spot Rate"
rename_keys(
obj,
{
"commission": "Commission",
"commission_currency": "Commission Currency",
"sell_currency": "Sell Currency",
"sell_amount": "Sell Amount",
"buy_currency": "Buy Currency",
"buy_amount": "Buy Amount",
"spot_rate": fx_rate,
},
)
elif trade_type == "fx_swap":
obj["Deal Type"] = "FxSwapDeal"
obj["Action"] = "NEW"
rename_keys(
obj,
{
"near_rate": "Near Side Currency Rate",
"near_settle_date": "Near Side Settlement Date",
"near_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"
rename_keys(
obj,
{
"weighted_amount": "WeightedAmount",
"repo_rate": "RepoRate",
"transaction_indicator": "TransactionIndicator",
},
)
elif trade_type == "capfloor":
obj["Deal Type"] = "CapFloorDeal"
obj["PaymentBDC"] = obj["bdc_convention"]
obj["AccrualBDC"] = obj["bdc_convention"]
obj["MaturityBDC"] = "NONE"
obj["TransactionIndicator"] = "Buy" if obj["buysell"] else "Sell"
# missing data : 'Adjusted', 'RollConvention', 'Calendar', 'Arrears', 'Collateralized', 'MaturityBDC'
rename_keys(
obj,
{
"comments": "Comments",
"floating_rate_index_desc": "FloatingRateIndex",
"cap_or_floor": "CapOrFloor",
"amount": "Notional",
"strike": "Strike",
"value_date": "ValueDate",
"expiration_date": "MaturityDate",
"premium_percent": "PremiumPercent",
"pricing_type": "PricingType",
"payment_frequency": "PaymentFrequency",
"fixing_frequency": "FixingFrequency",
"day_count_convention": "Basis",
"bdc_convention": "PaymentBDC",
"payment_mode": "PaymentMode",
"payment_at_beginning_or_end": "PaymentAtBeginningOrEnd",
"initial_margin_percentage": "InitialMarginPercentage",
"intial_margin_currency": "InitialMarginCurrency",
"reset_lag": "ResetLag",
"swap_type": "SwapType",
},
)
return obj
|
