diff options
Diffstat (limited to 'python/margin_estimates.py')
| -rw-r--r-- | python/margin_estimates.py | 79 |
1 files changed, 12 insertions, 67 deletions
diff --git a/python/margin_estimates.py b/python/margin_estimates.py index 96f676e3..d4c16b94 100644 --- a/python/margin_estimates.py +++ b/python/margin_estimates.py @@ -9,8 +9,8 @@ from io import StringIO import pandas as pd from premailer import transform from collateral.common import load_pdf, get_col -from collateral.citi import get_df - +from collateral.citi import get_total_collateral as get_collateral_citi +from collateral.cs import get_collateral as get_collateral_cs def html_generator(df, column_name): formatters = {"excess": "{:,.0f}".format, "receive": "{:,.0f}".format} @@ -22,67 +22,6 @@ def html_generator(df, column_name): .render() ) - -def get_total_collateral_citi(d): - try: - fname = next( - (DAILY_DIR / "CITI_reports").glob( - f"262966_MarginNotice_{d.strftime('%Y%m%d')}_*.pdf" - ) - ) - except StopIteration: - raise FileNotFoundError(f"CITI file not found for date {d.date()}") - l = load_pdf(fname) - col1 = (370, 500, 70, 250) - col2 = (370, 500, 300, 530) - col3 = (370, 500, 530, 600) - variation_margin = get_df(l, col1, col2, col3) - anchor = next(c for c in l if c.text == "Non Regulatory Initial Margin") - top = int(anchor["top"]) + 10 - bottom = top + 160 - col1 = (top, bottom, 70, 320) - col2 = (top, bottom, 320, 530) - col3 = (top, bottom, 530, 600) - initial_margin = get_df(l, col1, col2, col3) - margins = { - "vm": [-variation_margin.loc["Regulatory VM Requirement", "amount"]], - "im": [-initial_margin.loc["Non Reg IM Requirement Due Customer", "amount"]], - } - return ( - pd.DataFrame.from_dict(margins, orient="index", columns=["amount to receive"]) - .rename_axis("account") - .reset_index() - ) - - -def get_collateral_cs(d: datetime.date, fund="Serenitas"): - DATA_DIR = DAILY_DIR / fund / "CS_reports" - collat = {} - full_name = { - "Serenitas": "SerenitasCGMF", - "BowdSt": "BostonBPStLLC", - } - for collat_type in ("RVM", "IM", "FXIM"): - pdf_file = ( - DATA_DIR - / f"CollateralCptyStatement161{full_name[fund]}{collat_type}_{d:%m%d%Y}.pdf" - ) - g = iter(load_pdf(pdf_file)) - for e in g: - if e.text == "Cash USD (US Dollar)": - next(g) - value = next(g).text - collat[collat_type] = float( - value.strip().replace(",", "").replace("(", "-").replace(")", "") - ) - break - return ( - pd.DataFrame.from_dict(collat, orient="index", columns=["amount to receive"]) - .rename_axis("account") - .reset_index() - ) - - if __name__ == "__main__": parser = argparse.ArgumentParser() parser.add_argument( @@ -133,8 +72,14 @@ if __name__ == "__main__": con=dawndb, params=((args.trade_date + BDay(1)).date(), (args.trade_date + BDay(3)).date()), ) - citi = get_total_collateral_citi(args.trade_date) - cs = get_collateral_cs(args.trade_date) + citi_collateral = pd.DataFrame({ + "account": ["VM", "IM"], + "amount to receive": get_collateral_citi(args.trade_date)[2:]}) + cs_collateral = get_collateral_cs(args.trade_date, "Serenitas") + cs_collateral = pd.DataFrame({ + "account": list(cs_collateral), + "amount to receive": cs_collateral.values() + }) body = [ "<html><body>", "<h3> Collateral Estimates Receive/(Pay) at ISDA :</h3>", @@ -146,9 +91,9 @@ if __name__ == "__main__": "<h3>Payment Settlements :</h3>", html_generator(payment_settlements, "receive"), "<h3>Citi Breakdown :</h3>", - html_generator(citi, "amount to receive"), + html_generator(citi_collateral, "amount to receive"), "<h3>CS Breakdown :</h3>", - html_generator(cs, "amount to receive"), + html_generator(cs_collateral, "amount to receive"), "</body></html>", ] |