diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 35 |
1 files changed, 31 insertions, 4 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index a16b6754..09d3681a 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -469,7 +469,7 @@ def parse_jpm_block(fh, indextype): ) # No price vol - if indextype == "HY": + if indextype == "HY" or "EU": df["price_vol"] = None return makedf(df, indextype, "JPM"), line @@ -643,6 +643,7 @@ def parse_jpm(fh, index_desc): regex = { "HY": r"JPM CDX Options: HY [(]([\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdprice>[\d.]+), Delta @([\d]+)", "IG": r"JPM CDX Options: IG [(]([\w\d]*)[)] (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdspread>[\d.]+), Delta @([\d]+)", + "EU": r"JPM iTrx Options: MAIN \(S34V1\) (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdprice>[\d.]+), Delta @([\d]+)", } pat = re.compile(regex[index_desc["index"]]) line = next(fh).strip() @@ -689,6 +690,17 @@ subject_bnp = re.compile(r"CDX OPTIONS RUN: (IG|HY)(\d{2}).*") subject_jpm = re.compile( r"JPM CDX Options: CDX.([\w]+) S(\d+) \d\w \S+-\S+ \[ref ([\d.]*).*" ) +eu_subject_baml = re.compile("") +eu_subject_gs = re.compile("") +eu_subject_ms = re.compile("") +eu_subject_nom = re.compile("") +eu_subject_sg = re.compile("") +eu_subject_citi = re.compile("") +eu_subject_cs = re.compile("") +eu_subject_bnp = re.compile("") +eu_subject_jpm = re.compile( + r"JPM iTrx Options: ITRAXX.(\w+) S(\d+) 5Y \S+-\S+ \[ref ([\d.]*)\].*" +) def get_current_version(index, series, d, conn): @@ -707,8 +719,21 @@ def parse_email(email: Path, date_received: datetime.date, conn): with email.open("rt") as fh: subject = fh.readline().lstrip() - for source in ["BAML", "GS", "MS", "NOM", "SG", "CITI", "CS", "BNP", "JPM"]: - if m := globals()[f"subject_{source.lower()}"].match(subject): + for source in [ + "JPM", + "BAML", + "GS", + "MS", + "NOM", + "SG", + "CITI", + "CS", + "BNP", + "JPM", + ]: + if (m := globals()[f"subject_{source.lower()}"].match(subject)) or ( + m := globals()[f"eu_subject_{source.lower()}"].match(subject) + ): version = None if source in ["CITI", "BNP"]: indextype, series = m.groups() @@ -720,6 +745,7 @@ def parse_email(email: Path, date_received: datetime.date, conn): ref = float(d["ref"]) else: indextype, series, ref = m.groups() + indextype = "EU" if indextype == "MAIN" else indextype ref = float(ref) series = int(series) cur_pos = fh.tell() @@ -734,6 +760,7 @@ def parse_email(email: Path, date_received: datetime.date, conn): "America/New_York" ) fh.seek(cur_pos) + version = 1 if version is None: version = get_version(indextype, series, quotedate) parse_fun = globals()[f"parse_{source.lower()}"] @@ -744,7 +771,7 @@ def parse_email(email: Path, date_received: datetime.date, conn): "series": series, "version": version, } - if source in ["GS", "MS", "NOM", "SG", "JPM"]: + if source in ["GS", "MS", "NOM", "SG", "JPM", "JPM_EUR"]: index_desc["ref"] = ref if source in ["BNP", "SG"]: index_desc["expiration_dates"] = list_imm_dates(quotedate) |