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import datetime
import pandas as pd
from serenitas.utils.env import DAILY_DIR
from serenitas.analytics.dates import prev_business_day
from collateral.baml_isda import load_excel
FX_REPORT_COLUMNS = [
"cpty_id",
"trade_date",
"settle_date",
"buy_currency",
"buy_amount",
"sell_currency",
"sell_amount",
]
def get_tag(fund):
if fund == "Serenitas":
return "TSLP"
elif fund == "BowdSt":
return "TLLC"
elif fund == "Selene":
return "INC"
else:
return ""
def read_BAMSNY(fund, cob):
REPORTS_DIR = DAILY_DIR / fund / "BoA_reports"
fname = next(
REPORTS_DIR.glob(f"301__LMCG_INVESTMEN{get_tag(fund)}_CSA_{cob:%m%d%Y}_*")
)
df = load_excel(fname)
df[df["ProductID"] == "FX_Fwd"]
df = df[
[
"Back Office Number",
"Trade Date",
"Maturity Date",
"Ccy1",
"Notional 1",
"Ccy2",
"Notional 2",
]
]
df.columns = FX_REPORT_COLUMNS
return df
def read_MSCSNY(fund, cob):
df = pd.read_excel(
DAILY_DIR / fund / "MS_reports" / f"Trade_Detail_FX_{cob:%Y%m%d}.xls"
)
df = df[
[
"trade_id",
"trade_date",
"settlement_date",
"buy_ccy",
"amt_buy_ccy",
"sell_ccy",
"amt_sell_ccy",
]
]
df.columns = FX_REPORT_COLUMNS
return df
def main(date):
for fund in ("Serenitas", "BowdSt", "Selene"):
for counterparty in ("MSCSNY", "BAMSNY"):
read_fun = globals()[f"read_{counterparty}"]
print(read_fun(fund, cob))
if __name__ == "__main__":
cob = prev_business_day(datetime.date.today())
main(cob)
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