# (intra-day change) schedule has hash id, confirmed schedule is saved to db.
# event needs to be confirmed by trader
# event needs to be saved in db
# how to deal with T+N trade? cash vs usable cash
# how to deal with collateral?
# how to deal with schedules from close event?
# open event->settle or cancel event->close/maturity/default event->settle/recovery event => position change
# need the concept of "roll" deal in order to drive the life cycle
# need "trade blotter" to show live position, and allow user to close/collateral trades
# instrument generates schedule, position is a list of amount and instrument pairs
# events generate position
# identify schedule by (dealID, instID, scheduleDate, amount, reason)
EVENT_TYPE = enum(OPEN=0, OPEN_SETTLE=1, CLOSE=2, CLOSE_SETTLE=3, DEFAULT=4, CASH_FLOW=5, COUPON=6)
class Book:
def __init__(self, name_cn_short, name_cn_full, startDate=None, trader="", windcode=""):
self.name_cn_full = name_cn_full
self.name_cn_short = name_cn_short
self.startDate = startDate
self.trader = trader
self.windcode = windcode
class Deposit:
def __init__(self, tradeDate, bookID, amount, yld, matDate, dcc, comment=""):
self.tradeDate = tradeDate
self.bookID = bookID
# -*- coding: utf-8 -*-
from env import enum
import hashlib
InstType = enum(BOND=1, MMF=2, REPO=3, DEPOSITE=4, CASH=5)
Market = enum(OTHER=0, IB=1, SH=2, SZ=3)
Ccy = enum(CNY=1, CNH=2, USD=3)
Role = enum(Trader=1,Sales=2,Risk=3,Research=4)
Auth = enum(READ_ONLY=1, READ_WRITE=2, NO_VIEW=3)
class Instrument:
def __init__(self, id, insttype, ccy = Ccy.CNY, isOTC=True, maturityDate=None):
self.id = id
self.insttype = insttype
self.ccy = ccy
self.isOTC = isOTC
self.maturityDate = maturityDate
def Price(self, asOfDate):
raise NotImplementedError('Pricing method has not been implemented')
class Deposite(Instrument):
def __init__(self, counterparty, maturityDate, ccy = Ccy.CNY):
Instrument.__init__(self, counterparty.id, InstType.DEPOSITE, ccy, True, maturityDate)
class Deal:
def __init__(self, inst, tradeDate, amount, tradePrice, book, trader, settleDate=None):
self.inst = inst
self.tradeDate = tradeDate
self.amount = amount
self.tradePrice = tradePrice
# how to deal with T+N trade? cash vs usable cash
# how to deal with collateral?
# how to deal with schedules from close event?
# open event->settle or cancel event->close/maturity/default event->settle/recovery event => position change
# need the concept of "roll" deal in order to drive the life cycle
# need "trade blotter" to show live position, and allow user to close/collateral trades
# instrument generates schedule, position is a list of amount and instrument pairs
# events generate position
# identify schedule by (dealID, instID, scheduleDate, amount, reason)
EVENT_TYPE = enum(OPEN=0,
OPEN_SETTLE=1,
CLOSE=2,
CLOSE_SETTLE=3,
DEFAULT=4,
CASH_FLOW=5,
COUPON=6)
class Book:
def __init__(self,
name_cn_short,
name_cn_full,
startDate=None,
trader='',
windcode=''):
self.name_cn_full = name_cn_full
self.name_cn_short = name_cn_short
self.startDate = startDate
# -*- coding: utf-8 -*-
from env import enum
import hashlib
InstType = enum(BOND=1, MMF=2, REPO=3, DEPOSITE=4, CASH=5)
Market = enum(OTHER=0, IB=1, SH=2, SZ=3)
Ccy = enum(CNY=1, CNH=2, USD=3)
Role = enum(Trader=1, Sales=2, Risk=3, Research=4)
Auth = enum(READ_ONLY=1, READ_WRITE=2, NO_VIEW=3)
class Instrument:
def __init__(self,
id,
insttype,
ccy=Ccy.CNY,
isOTC=True,
maturityDate=None):
self.id = id
self.insttype = insttype
self.ccy = ccy
self.isOTC = isOTC
self.maturityDate = maturityDate
def Price(self, asOfDate):
raise NotImplementedError('Pricing method has not been implemented')
class Deposite(Instrument):
def __init__(self, counterparty, maturityDate, ccy=Ccy.CNY):
Instrument.__init__(self, counterparty.id, InstType.DEPOSITE, ccy,