diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 26 |
1 files changed, 7 insertions, 19 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 02d0ee94..cf499e29 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -487,31 +487,19 @@ def parse_cs(fh, indextype, series, quotedate): option_stack = {} fwd_index = [] d = {"quotedate": quotedate, "index": indextype, "series": series} - regex_str = r"Ref:\s*([\d.]+)\s*Fwd: ([\d.]+)\s*Expiry: (\d{2}-\w{3}-\d{2})" - if indextype == "IG": - regex_str += r"\s*Fwd dv01:\s*([\d.]*).*" - pat = re.compile(regex_str) + regex = { + "HY": r"Ref:\s*(?P<ref>[\d.]+)\s*Fwd: (?P<fwdprice>[\d.]+)\s*Expiry: (?P<expiry>\d{2}-\w{3}-\d{2})", + "IG": r"Ref:\s*(?P<ref>[\d.]+)\s*Fwd: (?P<fwdspread>[\d.]+)\s*Expiry: (?P<expiry>\d{2}-\w{3}-\d{2})\s*Fwd dv01:\s*(?P<fwdbpv>[\d.]*).*", + } + pat = re.compile(regex[indextype]) for line in fh: line = line.strip() if line.startswith("Ref"): m = pat.match(line) if m: - if indextype == "IG": - ref, fwdspread, expiry, fwdbpv = m.groups() - expiry = pd.to_datetime(expiry, format="%d-%b-%y") - d.update( - { - "ref": ref, - "expiry": expiry, - "fwdspread": fwd, - "fwdbpv": fwdbpv, - } - ) - else: - ref, fwdprice, expiry = m.groups() - expiry = pd.to_datetime(expiry, format="%d-%b-%y") - d.update({"ref": ref, "expiry": expiry, "fwdprice": fwd}) + d.update(**m.groupdict()) + d["expiry"] = pd.to_datetime(d["expiry"], format="%d-%b-%y") fwd_index.append(d.copy()) option_stack[expiry] = parse_cs_block(fh, indextype) else: |