diff options
Diffstat (limited to 'python/quote_parsing')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 1778a122..1188bc5b 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -425,6 +425,7 @@ def parse_citi_block(fh, indextype): ) return makedf(r, indextype, "CITI") + def parse_jpm_block(fh, indextype): receivers = {} payers = {} @@ -450,7 +451,7 @@ 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 + # No price vol if indextype == 'HY': df['price_vol'] = None @@ -627,7 +628,6 @@ def parse_jpm(fh, index_desc): if "**" in line: if m := pat.match(line): d = m.groupdict() - 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}) |