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import datetime
import logging
import argparse
from pathlib import Path
from collections import defaultdict
import pandas as pd
from dateutil.relativedelta import relativedelta
from serenitas.utils.env import DAILY_DIR
from serenitas.utils.exchange import ExchangeMessage
from collateral.common import load_pdf
from interest_statement import export_data
from report_ops.misc import em_date_filter
logger = logging.getLogger(__name__)
def get_fpath(counterparty, save=False):
if save:
return (
DAILY_DIR / "Serenitas" / f"{counterparty}_reports" / "Interest Statements"
)
else:
return DAILY_DIR / "Serenitas" / "MonthlyInterest" / f"{counterparty}_reports"
def download_messages(em, counterparty, start, end, save=False):
for msg in em.get_msgs(
20, path=["Interest", counterparty], **em_date_filter(em, start, end)
):
base_dir = get_fpath(counterparty, save)
for attach in msg.attachments:
fname = attach.name
if (counterparty == "CS") and not ("Interest" in fname):
continue
p = base_dir / fname
if not p.parent.exists():
p.parent.mkdir(parents=True)
if not p.exists():
p.write_bytes(attach.content)
def get_CS(g):
for e in g[-1]:
if "This interest, margin" in e.text:
if value == "No Accruals to Report":
return 0
return float(value)
value = e.text
def get_BNP(l):
for e, n in zip(l, l[1:]):
if "Due to" in e.text:
value = n.text.replace(",", "")
return -float(value)
def get_CITI(path):
df = pd.read_excel(path)
for row in df.itertuples():
if "Net Interest Due To CP" in row or "Net Interest Due to Citi" in row:
return -row._6
def get_GS(l):
for e, n in zip(l, l[1:]):
if "due to" in e.text:
return float(n.text.replace("USD", "").replace(",", ""))
def get_MS(path):
df = pd.read_excel(path)
return -round(df["LOCAL_ACCRUAL"].sum(), 2)
def get_BAML(l):
for e, n in zip(l, l[1:]):
if "Net interest Amount" in e.text:
return -float(n.text.replace("(", "-").replace(")", "").replace(",", ""))
def get_JPM(g):
for e in g:
if "Page" in e.text:
return float(value.replace(",", ""))
value = e.text
def start_end(date):
date = date - relativedelta(months=1)
start = datetime.date(date.year, date.month, 1)
end = start + relativedelta(months=1)
end -= datetime.timedelta(days=1)
return start, end
def get_interest(counterparties, save=False):
interest_amounts = defaultdict(float)
for cp in counterparties:
try:
func = globals()[f"get_{cp}"]
except KeyError:
print(f"Missing cp {cp}")
base_path = Path("/home/serenitas/Daily/Serenitas/MonthlyInterest/")
if cp in ("CITI", "MS"):
for p in (base_path / f"{cp}_reports").glob("*.xls*"):
if p.name.startswith("~"):
continue
amount = func(p)
interest_amounts[cp] = interest_amounts[cp] + amount
else:
for p in (base_path / f"{cp}_reports").glob("*.pdf"):
amount = func(load_pdf(p, pages=True if cp == "CS" else False))
interest_amounts[cp] = interest_amounts[cp] + amount
return pd.DataFrame(interest_amounts, index=[0]).T.rename(
index={"BAML": "BAML_ISDA"}, columns={0: "monthly_statement"}
)
if __name__ == "__main__":
em = ExchangeMessage()
counterparties = ["BNP", "CITI", "GS", "MS", "BAML", "JPM"]
# First run --save, then run --accept if it looks good
parser = argparse.ArgumentParser(description="Save, accept within tolerances")
parser.add_argument(
"date",
type=datetime.date.fromisoformat,
nargs="?",
default=datetime.date.today(),
)
parser.add_argument(
"--save",
action="store_true",
default=False,
help="store in proper folders",
)
parser.add_argument(
"--accept",
action="store_true",
default=False,
help="accept the differences are within tolerance and edit the csv accordingly",
)
args = parser.parse_args()
start = datetime.date(args.date.year, args.date.month, 1)
for cp in counterparties:
download_messages(em, cp, start, args.date, args.save)
interest_amounts = get_interest(counterparties, save=args.save)
start, end = start_end(args.date)
global df
df = pd.merge(
export_data(start, end).groupby("broker").sum(),
interest_amounts,
how="outer",
left_index=True,
right_index=True,
)
df = df.fillna(0)
df["difference"] = df["amount"] - df["monthly_statement"]
if args.accept:
ssnc_df = export_data(start, end)
for k, v in df["difference"].items():
ssnc_df.loc[k].loc["CSH_CASH"] -= v
from io import StringIO
from serenitas.utils.exchange import ExchangeMessage, FileAttachment
buf = StringIO()
ssnc_df.to_csv(buf)
attach = [
FileAttachment(
name=f"{start:%b}.csv",
content=buf.getvalue().encode(),
)
]
em = ExchangeMessage()
em.send_email(
subject=f"Allocation of Interest for {start:%b}",
body="Please see attached",
to_recipients=("serenitas.otc@sscinc.com", "SERENITAS.ops@sscinc.com"),
cc_recipients=("nyops@lmcg.com",),
attach=attach,
)
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