diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/__main__.py | 6 | ||||
| -rw-r--r-- | python/collateral/baml_isda.py | 2 |
2 files changed, 6 insertions, 2 deletions
diff --git a/python/collateral/__main__.py b/python/collateral/__main__.py index 31c22975..e2958d27 100644 --- a/python/collateral/__main__.py +++ b/python/collateral/__main__.py @@ -31,7 +31,7 @@ parser.add_argument( "-s", "--send-email", action="store_true", help="send email to Globeop" ) args = parser.parse_args() -counterparties = ["citi", "ms", "gs", "bnp", "baml_fcm", "baml_isda", "wells"] +counterparties = ["citi", "baml_isda", "ms", "gs", "bnp", "baml_fcm", "wells"] if args.download: for cp in counterparties: cp_mod = import_module(f".{cp}", "collateral") @@ -63,7 +63,9 @@ for cp in counterparties: ) except ValueError as e: logger.error(e) - if cp == "citi": # all cp except CITI operate on previous business day + if ( + cp == "baml_isda" + ): # all cp except CITI and BAML operate on previous business day args.workdate = args.workdate - BDay() df = pd.concat(df, names=["broker", "strategy"]).reset_index() diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index aaf5768c..b53cdaa6 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -1,6 +1,7 @@ from . import DAILY_DIR from bs4 import BeautifulSoup from io import BytesIO +from pandas.tseries.offsets import BDay import logging import pandas as pd import pathlib @@ -113,6 +114,7 @@ def collateral(d, dawn_trades, *args): df = pd.read_excel(fname, skiprows=6, skipfooter=6) df = df.drop(0, axis=0) collateral = float(df.Notional) + d -= BDay() fname = REPORTS_DIR / f"Interest Rates Trade Summary_{d:%d-%b-%Y}.xls" # TODO: make more robust df = baml_load_excel(fname) |