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-rw-r--r--python/quote_parsing/parse_emails.py68
1 files changed, 26 insertions, 42 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py
index eac25f53..4300b267 100644
--- a/python/quote_parsing/parse_emails.py
+++ b/python/quote_parsing/parse_emails.py
@@ -132,7 +132,7 @@ def parse_refline(line):
return d
-def parse_baml_us(fh, index_desc, *args):
+def parse_baml(fh, index_desc, *args):
option_stack = {}
fwd_index = []
line = ""
@@ -474,7 +474,7 @@ def parse_jpm_block(fh, indextype):
return makedf(df, indextype, "JPM"), line
-def parse_ms_us(fh, index_desc, *args):
+def parse_ms(fh, index_desc, *args):
option_stack = {}
fwd_index = []
for line in fh:
@@ -491,7 +491,7 @@ def parse_ms_us(fh, index_desc, *args):
return option_stack, fwd_index
-def parse_nom_us(fh, index_desc, *args):
+def parse_nom(fh, index_desc, *args):
option_stack = {}
fwd_index = []
@@ -514,7 +514,7 @@ def parse_nom_us(fh, index_desc, *args):
return option_stack, fwd_index
-def parse_sg_us(fh, index_desc):
+def parse_sg(fh, index_desc):
option_stack = {}
fwd_index = []
@@ -528,7 +528,7 @@ def parse_sg_us(fh, index_desc):
return option_stack, fwd_index
-def parse_gs_us(fh, index_desc):
+def parse_gs(fh, index_desc):
option_stack = {}
fwd_index = []
pat = re.compile(r"Expiry (\d{2}\w{3}\d{2}) \((?:([\S]+) )?([\S]+)\)")
@@ -571,21 +571,7 @@ def parse_gs_us(fh, index_desc):
return option_stack, fwd_index
-def parse_gs_eu(fh, index_desc):
- option_stack = {}
- fwd_index = []
-
- pat = re.compile(r"(\w{3}\d{2})")
- line = next(fh).strip()
- while True:
- if ("|" in line) and ("STK" not in line):
- line = next(fh).strip()
- if m := pat.match(line):
- expiry = m.groups()
- expiry = pd.to_datetime(expiry, format="%b%y")
-
-
-def parse_citi_us(fh, index_desc):
+def parse_citi(fh, index_desc):
option_stack = {}
fwd_index = []
pat = re.compile(r"Exp: (\d{2}-\w{3}-\d{2})[^R]*Ref:[^\d]*([\d.]+)")
@@ -604,7 +590,7 @@ def parse_citi_us(fh, index_desc):
return option_stack, fwd_index
-def parse_cs_us(fh, index_desc):
+def parse_cs(fh, index_desc):
option_stack = {}
fwd_index = []
regex = {
@@ -628,7 +614,7 @@ def parse_cs_us(fh, index_desc):
return option_stack, fwd_index
-def parse_bnp_us(fh, index_desc):
+def parse_bnp(fh, index_desc):
option_stack = {}
fwd_index = []
regex = r"Ref\s+(?P<ref>[\d.]+)\s+-\s+(?P<expiry>\w{3}\d{2})\s+-\s+Fwd\s+(?P<fwdspread>[\d.]+)"
@@ -657,7 +643,7 @@ def parse_bnp_us(fh, index_desc):
return option_stack, fwd_index
-def parse_jpm_useu(fh, index_desc):
+def parse_jpm(fh, index_desc):
option_stack = {}
fwd_index = []
regex = r"JPM (CDX|iTrx) Options: (HY|IG|MAIN|XOVER) \(\w\d+V(?P<version>\d+)\) (?P<expiry>[\d]+-[\w]+-[\d]+) \*\* Fwd @(?P<fwdref>[\d.]+)"
@@ -671,7 +657,6 @@ def parse_jpm_useu(fh, index_desc):
"fwdref"
)
d["expiry"] = pd.to_datetime(d["expiry"], format="%d-%b-%y")
- index_desc["version"] = d["version"]
fwd_index.append({**index_desc, **d})
try:
@@ -697,26 +682,26 @@ def parse_jpm_useu(fh, index_desc):
# subject_baml = re.compile(r"(?:Fwd:){0,2}(?:BAML )?(\D{2})(\d{1,2})\s")
regex_dict = {
- ("BAML", "US"): re.compile(
+ re.compile(
r"(?:Fwd:){0,2}(?:BofA )?(\D{2})(\d{1,2}).*Ref[^\d]*([\d.]+)"
- ),
- ("MS", "US"): re.compile(
+ ): ("BAML", parse_baml),
+ re.compile(
r"[^$]*\${1,2} MS CDX OPTIONS: (IG|HY)(\d{2})[^-]*- REF[^\d]*([\d.]+)"
- ),
- ("NOM", "US"): re.compile(r"(?:Fwd:)?CDX (IG|HY)(\d{2}).*- REF:[^\d]*([\d.]+)"),
- ("GS", "US"): re.compile(
+ ): ("MS", parse_ms),
+ re.compile(r"(?:Fwd:)?CDX (IG|HY)(\d{2}).*- REF:[^\d]*([\d.]+)"): ("NOM", parse_nom),
+ re.compile(
r"(?:FW: |Fwd: )?GS (IG|HY)(\d{2}) 5y.*- Ref [^\d]*([\d.]+)"
- ),
- ("SG", "US"): re.compile(r"SG OPTIONS - CDX (IG|HY) S(\d{2}).* REF[^\d]*([\d.]+)"),
- ("CITI", "US"): re.compile(r"(?:Fwd:)?Citi Options: (IG|HY)(\d{2}) 5Y"),
- ("CS", "US"): re.compile(
+ ): ("GS", parse_gs),
+ re.compile(r"SG OPTIONS - CDX (IG|HY) S(\d{2}).* REF[^\d]*([\d.]+)"): ("SG", parse_sg),
+ re.compile(r"(?:Fwd:)?Citi Options: (IG|HY)(\d{2}) 5Y"): ("CITI", parse_citi),
+ re.compile(
r"CS CDX (?P<index>IG|HY)(?P<series>\d{2})_?v?(?P<version>\d)? Options -\s+(?:\d{2}/\d{2}/\d{2}\s+)?Ref = (?P<ref>[\d.]+)[^\d]*"
- ),
- ("BNP", "US"): re.compile(r"CDX OPTIONS RUN: (IG|HY)(\d{2}).*"),
+ ): ("CS", parse_cs),
+ re.compile(r"CDX OPTIONS RUN: (IG|HY)(\d{2}).*"): ("BNP", parse_bnp),
# JPM works on both europe and us so we won't need to make changes
- ("JPM", "USEU"): re.compile(
- r"JPM (?:CDX|iTrx) Options: (?:CDX|ITRAXX).(IG|HY|XOVER|MAIN) S(\d+) 5Y (?:V2&V1 )?\S+-\S+ \[ref ([\d.]*)\].*"
- ),
+ re.compile(
+ r"JPM (?:CDX|iTrx) Options: (?:CDX|ITRAXX).(IG|HY|XOVER|MAIN) S(\d+) 5Y (?:V2&V1 )?\S+-\S+ \[ref ([\d.]*)\]"
+ ): ("JPM", parse_jpm),
}
@@ -736,7 +721,7 @@ def parse_email(email: Path, date_received: datetime.date, conn):
with email.open("rt") as fh:
subject = fh.readline().lstrip()
- for (source, region), regex in regex_dict.items():
+ for regex, (source, parse_fun) in regex_dict.items():
if (m := regex.match(subject)) :
version = None
if source in ["CITI", "BNP"]:
@@ -767,7 +752,7 @@ def parse_email(email: Path, date_received: datetime.date, conn):
fh.seek(cur_pos)
if version is None:
version = get_version(indextype, series, quotedate)
- parse_fun = globals()[f"parse_{source.lower()}_{region.lower()}"]
+ key = (quotedate, indextype, series, source)
index_desc = {
"quotedate": quotedate,
"index": indextype,
@@ -779,7 +764,6 @@ def parse_email(email: Path, date_received: datetime.date, conn):
if source in ["BNP", "SG"]:
index_desc["expiration_dates"] = list_imm_dates(quotedate)
option_stack, fwd_index = parse_fun(fh, index_desc)
- key = (quotedate, indextype, series, source)
if fwd_index:
fwd_index = pd.DataFrame.from_records(fwd_index, index="quotedate")
fwd_index["quote_source"] = source
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-25 21:35:21 +0000