diff options
Diffstat (limited to 'python/margin_estimates.py')
| -rw-r--r-- | python/margin_estimates.py | 31 |
1 files changed, 31 insertions, 0 deletions
diff --git a/python/margin_estimates.py b/python/margin_estimates.py index bfde115f..96f676e3 100644 --- a/python/margin_estimates.py +++ b/python/margin_estimates.py @@ -55,6 +55,34 @@ def get_total_collateral_citi(d): ) +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( @@ -106,6 +134,7 @@ if __name__ == "__main__": 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) body = [ "<html><body>", "<h3> Collateral Estimates Receive/(Pay) at ISDA :</h3>", @@ -118,6 +147,8 @@ if __name__ == "__main__": html_generator(payment_settlements, "receive"), "<h3>Citi Breakdown :</h3>", html_generator(citi, "amount to receive"), + "<h3>CS Breakdown :</h3>", + html_generator(cs, "amount to receive"), "</body></html>", ] |