diff options
Diffstat (limited to 'python/recon_bowdst.py')
| -rw-r--r-- | python/recon_bowdst.py | 24 |
1 files changed, 19 insertions, 5 deletions
diff --git a/python/recon_bowdst.py b/python/recon_bowdst.py index d5d95266..afa9eddf 100644 --- a/python/recon_bowdst.py +++ b/python/recon_bowdst.py @@ -11,6 +11,12 @@ from pandas.tseries.offsets import BDay import numpy as np import pandas_market_calendars as mcal +# def last_weekday(date): +# if date.weekday() in range(1,5): +# return date +# else: +# return (date - BDay(1)).date() + def get_dir(date): p = DAILY_DIR / "BOWD_recon" / f"{date:%Y_%m}" @@ -159,7 +165,7 @@ def recon(hierarchy_file, date): tranche_trades = pd.read_sql_query( f"select security_desc, maturity, orig_attach, orig_detach, sum(notional * tranche_factor) as db_notional, sum(admin_notional) as admin_notional, sum(serenitas_clean_nav) as db_mv, sum(admin_clean_nav) as admin_mv from tranche_risk_bowdst where date=%s group by security_desc, maturity, orig_attach, orig_detach ;", dawndb, - params=(date,), + params=(last_bus_day(date),), ) cdx_trades = pd.read_sql_query( @@ -194,20 +200,28 @@ def recon(hierarchy_file, date): "cdx_swaption_trades", "ir_swaption_trades", ] - message = "" + overview = [] em = ExchangeMessage() attachments = [] for kind, name in zip(kinds, names): buf = StringIO() - difference(kind.round(decimals=2).fillna(0)).to_csv(buf) + difference(kind.round(decimals=0).fillna(0)).to_csv(buf) attachments.append( FileAttachment(name=f"{name}_{date}.csv", content=buf.getvalue().encode()) ) pd.set_option("display.float_format", lambda x: "%.2f" % x) - message += f"\n{name}: {pd.DataFrame(sums(kind), columns=['sums'])}" + df = pd.DataFrame(sums(kind), columns=["sums"]) + df["name"] = name + df.set_index("name") + overview.append(df) + buf = StringIO() + pd.concat(overview).round(decimals=0).to_csv(buf) + attachments.append( + FileAttachment(name=f"overview.csv", content=buf.getvalue().encode()) + ) em.send_email( subject=f"Notional Totals {date}", - body=message, + body="See attached", to_recipients=("fyu@lmcg.com",), attach=attachments, ) |