import pandas as pd from . import DAILY_DIR paths = { "Serenitas": ["NYops", "Margin calls"], "Brinker": ["NYops", "Margin Calls GS-Brinker"], "BowdSt": ["BowdoinOps", "Margin GS"], } def download_files(em, count=20, *, fund="Serenitas", **kwargs): 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}") return pd.read_excel(fname, skiprows=9, skipfooter=77) 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[df["Notional (USD)"] != 0.0] 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"] if not missing_ids.empty: raise ValueError(f"{missing_ids.tolist()} not in the database") df = df[["folder", "NPV (USD)", "Initial Margin Required"]] 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 = df.append( { "Strategy": "M_CSH_CASH", "Amount": -collateral - df.Amount.sum(), "Currency": "USD", }, ignore_index=True, ) df["date"] = d return df.set_index("Strategy")