diff options
Diffstat (limited to 'python/collateral/baml_isda.py')
| -rw-r--r-- | python/collateral/baml_isda.py | 12 |
1 files changed, 9 insertions, 3 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index 4df80c68..619ce309 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -139,18 +139,24 @@ def load_excel(fname): def collateral(d, dawn_trades, *args): + report_date = d + BDay() REPORTS_DIR = DAILY_DIR / "BAML_ISDA_reports" try: - fname = next(REPORTS_DIR.glob(f"Collat_*{d:%m%d%Y}_*.xls")) + fname = next(REPORTS_DIR.glob(f"Collat_*{report_date:%m%d%Y}_*.xls")) except StopIteration: - raise ValueError(f"no data for date {d}") + raise ValueError(f"no collateral data for date {report_date}") df = pd.read_excel(fname, skiprows=6, skipfooter=6) df = df.drop(0, axis=0) try: collateral = float(df.Notional) except TypeError: collateral = df.Notional.sum() - fname = next(REPORTS_DIR.glob(f"301__LMCG_INVESTMENTSLP_CSA_{d:%m%d%Y}_*")) + try: + fname = next( + REPORTS_DIR.glob(f"301__LMCG_INVESTMENTSLP_CSA_{report_date:%m%d%Y}_*") + ) + except StopIteration: + raise ValueError(f"no trade-level data for date {report_date}") df = load_excel(fname) df = df[["Trade ID", "MTM(USD)"]] df = df.merge(dawn_trades, how="left", left_on="Trade ID", right_on="cpty_id") |