diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/external_deriv_marks.py | 12 |
1 files changed, 7 insertions, 5 deletions
diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index d23ad30d..cb2eb201 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -23,21 +23,23 @@ def gs_navs(date: datetime.date = None, fund: str = "Serenitas"): continue df = df.dropna(subset=["GS Entity"]) df["Trade Date"] = pd.to_datetime(df["Trade Date"]) + name = fname.name.replace("9972734", "") + if m := re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", name): + (date_string,) = m.groups() + date = datetime.datetime.strptime(date_string, "%d_%b_%Y") + df["fx"] = df["Not1Ccy"].apply(lambda s: get_fx(date, s)) + df["local_navs"] = df["NPV (USD)"] / df["fx"] df = df[ [ "Trade Date", "Buy/Sell", "Notional (USD)", - "NPV (Base CCY)", + "local_navs", "NPV (USD)", "Initial Margin Required", ] ] df.columns = COLUMNS - name = fname.name.replace("9972734", "") - if m := re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", name): - (date_string,) = m.groups() - date = datetime.datetime.strptime(date_string, "%d_%b_%Y") d[date] = df if d: df = pd.concat(d) |