diff options
Diffstat (limited to 'python/external_deriv_marks.py')
| -rw-r--r-- | python/external_deriv_marks.py | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index acb15109..dc0bc666 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -6,7 +6,7 @@ from collateral.baml_isda import load_excel from collateral.citi import load_pdf, get_col from collateral.jpm import load_positions from dates import bus_day -from analytics.utils import next_business_day, prev_business_day +from analytics.utils import next_business_day, prev_business_day, get_fx # local_nav is the nav in the trade's own currency COLUMNS = ["trade_date", "buy/sell", "notional", "local_nav", "base_nav", "ia"] @@ -260,13 +260,16 @@ def jpm_navs(date: datetime.date = None, fund: str = "BowdSt"): for fname in g: pages = load_pdf(fname, pages=True) df = load_positions(pages[4]) + date = datetime.datetime.strptime(fname.stem.split("-")[2], "%y%m%d").date() + df["fx"] = df["Pay CCY"].apply(lambda s: get_fx(date, s)) + df["local_navs"] = df["MTM Amount"] / df["fx"] df = df[ [ "Deal ID", "Trade Date", "Long/ Short", "Pay Notional", - "MTM Amount", + "local_navs", "MTM Amount", "IM Amount", ] @@ -274,7 +277,6 @@ def jpm_navs(date: datetime.date = None, fund: str = "BowdSt"): df = df.set_index("Deal ID") df["IM Amount"] *= -1.0 df.columns = COLUMNS - date = datetime.datetime.strptime(fname.stem.split("-")[2], "%y%m%d").date() d[date] = df if d: df = pd.concat(d) |