import datetime import pandas as pd from . import DAILY_DIR paths = { "Serenitas": ["NYops", "Margin Calls BNP"], "BowdSt": ["BowdoinOps", "Margin BNP"], "Selene": ["SeleneOps", "Margin BNP"], } def download_files(em, count: int = 20, *, fund="Serenitas", **kwargs): if fund not in paths: return emails = em.get_msgs( path=paths[fund], count=count, sender="bnppnycollateralmgmt@us.bnpparibas.com", ) DATA_DIR = DAILY_DIR / fund / "BNP_reports" for msg in emails: for attach in msg.attachments: p = DATA_DIR / attach.name if not p.exists() and hasattr(attach, "content"): p.write_bytes(attach.content) def load_file(d: datetime.date, report_type: str, fund: str): fund_mapping = { "Serenitas": "SERENITAS CREDIT GAMMA MASTER FUND, LP", "BowdSt": "BOSTON PATRIOT BOWDOIN ST LLC", "Selene": "ISO SELENE INC.", } fname = ( f"{report_type} - BNP PARIBAS - {fund_mapping[fund]} " f"- COB {d:%Y%m%d}.XLS" ) return pd.read_excel(DAILY_DIR / fund / "BNP_reports" / fname, skiprows=7) def collateral( d: datetime.date, dawn_trades: pd.DataFrame, *, fund="Serenitas", **kwargs ): df = load_file(d, "Collateral Positions", fund) if df.at[0, "Held/Posted"] == "Posted": sign = 1.0 else: sign = -1.0 collateral = sign * df.at[0, "Mkt Val (Agmt Ccy)"] df = load_file(d, "Exposure Statement", fund) df = df[["Trade Ref", "Exposure Amount (Agmt Ccy)", "Lock Up (Agmt Ccy)"]] df["Trade Ref"] = df["Trade Ref"].str.replace("(FOC-|MBO-)", "", regex=True) df = df.merge(dawn_trades, how="left", left_on="Trade Ref", right_on="cpty_id") missing_ids = df.loc[df.cpty_id.isnull(), "Trade Ref"] if not missing_ids.empty: raise ValueError(f"{missing_ids.tolist()} not in the database") df = df[["folder", "Exposure Amount (Agmt Ccy)", "Lock Up (Agmt Ccy)"]] df = df.groupby("folder").sum() df = df.sum(axis=1).to_frame(name="Amount") df["Currency"] = "USD" df = df.reset_index() df.columns = ["Strategy", "Amount", "Currency"] df.Amount *= -1 df.loc[len(df.index)] = ["M_CSH_CASH", collateral - df.Amount.sum(), "USD"] df["date"] = d return df.set_index("Strategy")