diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/quote_parsing/parse_emails.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/quote_parsing/parse_emails.py b/python/quote_parsing/parse_emails.py index 09d3681a..ebda3101 100644 --- a/python/quote_parsing/parse_emails.py +++ b/python/quote_parsing/parse_emails.py @@ -22,7 +22,7 @@ def list_imm_dates(date): def makedf(r, indextype, quote_source): - if indextype == "IG": + if indextype == "IG" or indextype == "XO": cols = [ "strike", "rec_bid", @@ -644,6 +644,7 @@ def parse_jpm(fh, index_desc): "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]+)", + "XO": r"JPM iTrx Options: XOVER \(S34V\d\) (?P<expiry>[\d]+-[\w]+-[\d]+) [*]{2} Fwd @(?P<fwdspread>[\d.]+), Delta @([\d]+)", } pat = re.compile(regex[index_desc["index"]]) line = next(fh).strip() @@ -699,7 +700,7 @@ 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+ \[ref ([\d.]*)\].*" + r"JPM iTrx Options: ITRAXX.(\w+) S(\d+) 5Y (?:V2&V1 )?\S+-\S+ \[ref ([\d.]*)\].*" ) @@ -746,6 +747,7 @@ def parse_email(email: Path, date_received: datetime.date, conn): else: indextype, series, ref = m.groups() indextype = "EU" if indextype == "MAIN" else indextype + indextype = "XO" if indextype == "XOVER" else indextype ref = float(ref) series = int(series) cur_pos = fh.tell() |