diff options
Diffstat (limited to 'python/external_deriv_marks.py')
| -rw-r--r-- | python/external_deriv_marks.py | 30 |
1 files changed, 18 insertions, 12 deletions
diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index 08d3418f..12cf9b41 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -7,17 +7,17 @@ from pathlib import Path DAILY_DIR = Path(os.environ["DAILY_DIR"]) + def gs_navs(): d = {} for fname in (DAILY_DIR / "GS_reports").glob("Trade_Detail*.xls"): try: - df = pd.read_excel(fname, skiprows=9, skipfooter=77, - index_col='Trade Id') + df = pd.read_excel(fname, skiprows=9, skipfooter=77, index_col="Trade Id") except ValueError: continue - df['Trade Date'] = pd.to_datetime(df['Trade Date']) - df = df[['Trade Date', 'Buy/Sell', 'Notional (USD)', 'NPV (USD)']] - df.columns = ['trade_date', 'buy/sell', 'notional', 'nav'] + df["Trade Date"] = pd.to_datetime(df["Trade Date"]) + df = df[["Trade Date", "Buy/Sell", "Notional (USD)", "NPV (USD)"]] + df.columns = ["trade_date", "buy/sell", "notional", "nav"] name = fname.name.replace("9972734", "") m = re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", name) if m: @@ -30,10 +30,12 @@ def gs_navs(): def ms_navs(): d = {} for fname in (DAILY_DIR / "MS_reports").glob("Trade_Detail*.xls"): - df = pd.read_excel(fname, index_col='trade_id') + df = pd.read_excel(fname, index_col="trade_id") df.trade_date = pd.to_datetime(df.trade_date) - df = df[['trade_date', 'pay_rec', 'notional_in_trade_ccy', 'exposure_in_rpt_ccy']] - df.columns = ['trade_date', 'buy/sell', 'notional', 'nav'] + df = df[ + ["trade_date", "pay_rec", "notional_in_trade_ccy", "exposure_in_rpt_ccy"] + ] + df.columns = ["trade_date", "buy/sell", "notional", "nav"] m = re.match(r"[^\d]*(\d{8})", fname.name) if m: date_string, = m.groups() @@ -41,11 +43,15 @@ def ms_navs(): d[date] = df return pd.concat(d) + if __name__ == "__main__": for cp in ["MS", "GS"]: df = globals()[f"{cp.lower()}_navs"]() - with dbconn('dawndb') as conn: + with dbconn("dawndb") as conn: with conn.cursor() as c: - for k, v in df[['nav']].iterrows(): - c.execute("INSERT INTO external_marks_deriv " - "VALUES(%s, %s, %s, %s) ON CONFLICT DO NOTHING", (*k, float(v), cp)) + for k, v in df[["nav"]].iterrows(): + c.execute( + "INSERT INTO external_marks_deriv " + "VALUES(%s, %s, %s, %s) ON CONFLICT DO NOTHING", + (*k, float(v), cp), + ) |