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import pandas as pd
from . import DAILY_DIR
from pandas.tseries.offsets import BDay
from .common import load_pdf
def download_files(em, count=20, **kwargs):
DATA_DIR = DAILY_DIR / "CS_reports"
emails = em.get_msgs(
path=["NYops", "Margin Calls CS"], count=count, subject__contains="DERV048829"
)
for msg in emails:
for attach in msg.attachments:
fname = attach.name
if fname.endswith("xlsx"):
p = DATA_DIR / fname
if not p.exists():
p.write_bytes(attach.content)
emails = em.get_msgs(
path=["NYops", "Margin Calls CS"],
count=count,
sender="americas.collateralmgt@credit-suisse.com",
)
for msg in emails:
for attach in msg.attachments:
fname = attach.name
if "Serenitas CGMF" in fname:
p = DATA_DIR / fname
p = p.parent / f"{msg.datetime_sent:%Y-%m-%d} {p.stem}{p.suffix}"
if not p.exists():
p.write_bytes(attach.content)
else:
p = DATA_DIR / fname
if not p.exists():
p.write_bytes(attach.content)
def get_collateral(d):
DATA_DIR = DAILY_DIR / "CS_reports"
collat = 0
for collat_type in ("RVM", "IM"):
pdf_file = (
DATA_DIR
/ f"CollateralCptyStatement161SerenitasCGMF{collat_type}_{d:%m%d%Y}.pdf"
)
g = iter(load_pdf(pdf_file))
for e in g:
if e.text == "Cash USD (US Dollar)":
next(g)
value = next(g).text
collat += float(value.strip().replace(",", ""))
break
return collat
def collateral(d, dawn_trades, **kwargs):
collateral = get_collateral(d + BDay())
df = pd.read_excel(
f"/home/serenitas/Daily/CS_reports/DERV048829_{d:%b%d%Y}.xlsx",
header=9,
skipfooter=50,
)
df = df[["Order No", "Mid Price", "Notional Currency"]]
df["Mid Price"] = (
df["Mid Price"]
.str.replace(",", "")
.apply(lambda s: -float(s[1:-1]) if s.startswith("(") else float(s))
)
df["Order No"] = df["Order No"].astype("str")
df = df.merge(dawn_trades, how="left", left_on="Order No", right_on="cpty_id")
missing_ids = df.loc[df.cpty_id.isnull(), "Order No"]
if not missing_ids.empty:
raise ValueError(f"{missing_ids.tolist()} not in the database")
df.ia = df.ia.fillna(0.0)
df["Amount"] = df.ia + df["Mid Price"]
df = df[["folder", "Amount", "Notional Currency"]]
df = df.groupby(["folder", "Notional Currency"], as_index=False).sum()
df = df.rename(columns={"folder": "Strategy", "Notional Currency": "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")
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