import pandas as pd from . import DAILY_DIR from exchangelib import FileAttachment from serenitas.analytics.utils import get_fx paths = { "Serenitas": ["NYops", "Margin calls MS"], "Brinker": ["NYops", "Margin Calls MS-Brinker"], "BowdSt": ["BowdoinOps", "Margin MS"], "Selene": ["SeleneOps", "Margin MS"], } subjects = { "Serenitas": "SERCX **Daily", "Brinker": "061761QY1***BRINKER", "BowdSt": "BOSTON PATRIOT BOWDOIN", "Selene": "ISO SELENE", } 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=subjects[fund], ) DATA_DIR = DAILY_DIR / fund / "MS_reports" for msg in emails: for attach in msg.attachments: if isinstance(attach, FileAttachment): if "NETSwaps" in attach.name: fname = "Trade_Detail_" + attach.name.split("_")[1] elif "NETFX" in attach.name: fname = "Trade_Detail_FX_" + attach.name.split("_")[1] elif "NET_Collateral" in attach.name: fname = "Collateral_Detail_" + attach.name.rsplit("_", 1)[1] elif "Statement" in attach.name and attach.name.endswith("pdf"): ending = attach.name.rsplit("_", 1)[1] fname = "Statement_" + ending.split(".")[0] + ".pdf" else: continue p = DATA_DIR / fname if not p.exists(): p.write_bytes(attach.content) def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): df = pd.read_excel( DAILY_DIR / fund / "MS_reports" / f"Collateral_Detail_{d:%Y%m%d}.xls" ) collat = df.loc[1, "coll_val_ccy"].replace(",", "") if "(" in collat: collat = collat[1:-1] collat = -float(collat) else: collat = float(collat) df = pd.read_excel(DAILY_DIR / fund / "MS_reports" / f"Trade_Detail_{d:%Y%m%d}.xls") try: df_fx = pd.read_excel( DAILY_DIR / fund / "MS_reports" / f"Trade_Detail_FX_{d:%Y%m%d}.xls" ) net_fx_exposure = ( df_fx.loc[df_fx.buy_ccy == "EUR", "amt_buy_ccy"].sum() - df_fx.loc[df_fx.sell_ccy == "EUR", "amt_sell_ccy"].sum() ) fx_ia = net_fx_exposure * 0.05 * get_fx(d, "EUR") df = pd.concat([df, df_fx]) except FileNotFoundError: # We don't always have FX files pass # df = df.dropna(subset=["trade_ccy"]) 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 for {fund}") df = df.groupby("folder")[["collat_req_in_agr_ccy"]].sum() df["Currency"] = "USD" df = df.reset_index() df.columns = ["Strategy", "Amount", "Currency"] try: df.loc[df.Strategy == "TCSH", "Amount"] -= fx_ia except UnboundLocalError: pass if "M_CSH_CASH" not in df.Strategy.array: df.loc[len(df.index)] = ["M_CSH_CASH", -collat - df.Amount.sum(), "USD"] else: df.loc[df.Strategy == "M_CSH_CASH", "Amount"] -= collat + df.Amount.sum() df["date"] = d return df.set_index("Strategy")