diff options
Diffstat (limited to 'python/quote_parsing')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 18 |
1 files changed, 12 insertions, 6 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 5b106b26..43992567 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -450,6 +450,10 @@ def parse_jpm_block(fh, indextype): df['vol'] = df['rec_vol'].fillna(df['pay_vol']) df = df.reset_index().drop(['rec_vol', "pay_vol"], axis=1).rename(columns={'index':'strike', 'pay_vol':'vol', "rec_delta": "delta_rec", "pay_delta": "delta_pay"}) + #No price vol + if indextype == 'HY': + df['price_vol'] = None + return makedf(df, indextype, "JPM"), line @@ -617,17 +621,19 @@ def parse_bnp(fh, index_desc): def parse_jpm(fh, index_desc): option_stack = {} fwd_index = [] - subject_jpm = re.compile(r"JPM CDX Options: CDX.([\w]+) S(\d+) \d\w \S+-\S+ \[ref (?P<ref>[\d.]*).*") - pat = re.compile(r"JPM CDX Options: IG [(]([\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdspread>[\d.]+), Delta @([\d]+)") + # subject_jpm = re.compile(r"JPM CDX Options: CDX.([\w]+) S(\d+) \d\w \S+-\S+ \[ref (?P<ref>[\d.]*).*") + pat = re.compile(r"JPM CDX Options: (IG|HY) [(]([\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdspread>[\d.]+), Delta @([\d]+)") line = next(fh).strip() - if m := subject_jpm.match(line): - d = m.groupdict() - ref = d['ref'] + # if m := subject_jpm.match(line): + # d = m.groupdict() + # ref = d['ref'] while True: if "**" in line: + print(line) + breakpoint() if m := pat.match(line): d = m.groupdict() - d['ref'] = ref + # d['ref'] = ref expiry_month = datetime.datetime.strptime(d["expiry"], "%d-%b-%y").month d["expiry"] = pd.to_datetime(d["expiry"], format="%d-%b-%y") fwd_index.append({**index_desc, **d}) |