diff options
Diffstat (limited to 'python/external_deriv_marks.py')
| -rw-r--r-- | python/external_deriv_marks.py | 22 |
1 files changed, 14 insertions, 8 deletions
diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index ea8acdc8..28a7b048 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -5,6 +5,7 @@ from env import DAILY_DIR from collateral.baml_isda import load_excel from collateral.citi import load_pdf, get_col from dates import bus_day +from analytics.utils import next_business_day # local_nav is the nav in the trade's own currency COLUMNS = ["trade_date", "buy/sell", "notional", "local_nav", "base_nav", "ia"] @@ -76,9 +77,11 @@ def ms_navs(date: datetime.date = None, fund: str = "Serenitas"): def citi_navs(date: datetime.date = None, **kwargs): + date = next_business_day(date) dfs = [] - glob_str = f"{date + bus_day:%Y%m%d}*" if date else "*" + glob_str = f"{date:%Y%m%d}*" if date else "*" for fname in (DAILY_DIR / "CITI_reports").glob(f"262966_Portfolio_{glob_str}.xlsx"): + print(fname) df = pd.read_excel( fname, skiprows=6, skipfooter=2, parse_dates=["Trade Date", "Value Date"] ) @@ -92,7 +95,7 @@ def citi_navs(date: datetime.date = None, **kwargs): "Notional", "Market Value", "Market Value", - "BasicAmt", + "BaxsicAmt", ] ] df.columns = COLUMNS @@ -110,8 +113,9 @@ def citi_navs(date: datetime.date = None, **kwargs): def baml_navs(date: datetime.date = None, fund: str = "Serenitas"): + date = next_business_day(date) dfs = [] - glob_str = f"{date + bus_day:%m%d%Y}" if date else "*" + glob_str = f"{date:%m%d%Y}" if date else "*" for fname in (DAILY_DIR / fund / "BoA_reports").glob( f"301__LMCG_INVESTMENTSLP_CSA_{glob_str}_*.xls" ): @@ -180,7 +184,7 @@ def cs_navs(date: datetime.date = None, fund: str = "Serenitas"): df = df[["Trade Date", "Buy/Sell", "Notional", "Mid Price", "Mid Price"]] df.columns = COLUMNS[:-1] # TODO: fix this - df_ia = get_ia(date) + df_ia = get_ia(date, fund) df = df.join(df_ia) d[datetime.datetime.strptime(fname.stem.split("_")[1], "%b%d%Y").date()] = df if d: @@ -192,9 +196,10 @@ def cs_navs(date: datetime.date = None, fund: str = "Serenitas"): return df -def get_ia(date: datetime.date = None): - glob_str = f"{date + bus_day:%m%d%Y}" - for fname in (DAILY_DIR / "CS_reports").glob( +def get_ia(date: datetime.date = None, fund: str = "Serenitas"): + date = next_business_day(date) + glob_str = f"{date:%m%d%Y}" + for fname in (DAILY_DIR / fund / "CS_reports").glob( f"CollateralCptyStatement161SerenitasCGMFRVM_{glob_str}.pdf" ): l = load_pdf(fname) @@ -243,6 +248,7 @@ if __name__ == "__main__": type=datetime.datetime.fromisoformat, nargs="?", default=datetime.date.today(), + help="this is today's date, we load marks as of previous day cob", ) parser.add_argument( "-a", "--all", action="store_true", default=False, help="download everything" @@ -251,7 +257,7 @@ if __name__ == "__main__": "-d", "--debug", action="store_true", default=False, help="more verbose logging" ) args = parser.parse_args() - date = None if args.all else args.date - bus_day + date = None if args.all else (args.date - bus_day).date() logging.basicConfig() logger = logging.getLogger("external_marks") logger.setLevel(logging.DEBUG if args.debug else logging.INFO) |