diff options
Diffstat (limited to 'python/quote_parsing/parse_emails.py')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 13 |
1 files changed, 10 insertions, 3 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index f42dc9f5..5b307737 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -548,7 +548,10 @@ def parse_barc_block(fh, indextype): option_data, pay_data, delta, rec_data, vol_data = [ item.strip() for item in line.split("|") ] - strike, _ = option_data.split(" ") + try: + strike, _ = option_data.split(" ") + except ValueError: # Spread is not always provided + strike = option_data vol = vol_data.split(" ")[0] vals = [strike, *rec_data.split("/"), None, *pay_data.split("/"), delta, vol] if indextype == "HY": @@ -863,16 +866,20 @@ def parse_gs_eu(fh, index_desc): def parse_barc(fh, index_desc): option_stack = {} fwd_index = [] - regex = r"(?P<expiry>\d{1,2}[A-Za-z]{3}\d{2}) \(Fwd\s+(?P<fwdprice>\d+\.\d+)" + regex = r"(?P<expiry>\d{1,2}[A-Za-z]{3}\d{2}) \(Fwd\s+(?P<fwd>\d+\.\d+)[\s,]+(?P<fwdspread>\d+\.\d+)?" pat = re.compile(regex) line = next(fh).strip() while True: - if "00Jan00" in line: + if ("00Jan00" in line) or ("(Fwd , FwdDV01 )" in line): break elif "(" in line: if m := pat.match(line): d = m.groupdict() d["expiry"] = pd.to_datetime(d["expiry"], format="%d%b%y") + if d["fwdspread"]: + d["fwdprice"] = d.pop("fwd") + else: + d["fwdspread"] = d.pop("fwd") fwd_index.append({**index_desc, **d}) ( option_stack[ |