import logging import pandas as pd from . import DAILY_DIR logger = logging.getLogger(__name__) paths = { "Serenitas": ["NYops", "Margin calls"], "Brinker": ["NYops", "Margin Calls GS-Brinker"], "BowdSt": ["BowdoinOps", "Margin GS"], "Selene": ["SeleneOps", "Margin GS"], } def download_files(em, count=20, *, fund="Serenitas", **kwargs): if fund not in paths: return emails = em.get_msgs(path=paths[fund], count=count, subject__contains="Margin") DATA_DIR = DAILY_DIR / fund / "GS_reports" for msg in emails: for attach in msg.attachments: fname = attach.name if fname.endswith("xls"): p = DATA_DIR / fname if not p.exists(): p.write_bytes(attach.content) def load_file(d, fund, pattern): try: fname = next((DAILY_DIR / fund / "GS_reports").glob(f"{pattern}*{d:%d_%b_%Y}*")) except StopIteration: raise FileNotFoundError( f"GS {pattern} file not found for date {d} for fund {fund}" ) return pd.read_excel(fname, skiprows=9, skipfooter=77, na_values=["-"]) def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): df = load_file(d, fund, "Collateral_Detail") df = df.dropna(subset=["Quantity"]) try: collateral = float(df.Quantity) except TypeError: collateral = df.Quantity.sum() df = load_file(d, fund, "Trade_Detail") df = df.dropna(subset=["GS Entity"]) df = df[["Trade Id", "Transaction Type", "NPV (USD)", "Initial Margin Required"]] df = df.merge(dawn_trades, how="left", left_on="Trade Id", right_on="cpty_id") missing_ids = df.loc[df.cpty_id.isnull(), "Trade Id"] missing_ids = missing_ids[~missing_ids.str.startswith("FX")] if not missing_ids.empty: logger.error(f"{missing_ids.tolist()} not in the database for {fund}") # we allocate all the FX collateral to tranches df.loc[df["Transaction Type"] == "FX", "folder"] = "TCSH" df = df[["folder", "NPV (USD)", "Initial Margin Required"]] df = df.groupby("folder", dropna=False).sum() df = df.sum(axis=1).to_frame(name="Amount") # handle missing ids (allocate all to TCSH) df = df.reset_index() df.loc[df.folder.isnull(), "folder"] = "TCSH" df = df.groupby("folder").sum() 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")