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import pandas as pd
import re
from pathlib import Path
emails = [f for f in Path("../../data/swaptions").iterdir() if f.is_file()]
def makedf(r, indextype, ref):
if indextype=='IG':
cols = ['Strike', 'RecBid', 'RecOffer', 'DeltaRec', 'PayBid',
'PayOffer', 'DeltaPay', 'Vol', 'Gamma']
else:
cols = ['Strike', 'RecBid', 'RecOffer', 'DeltaRec', 'PayBid',
'PayOffer', 'DeltaPay', 'Vol', 'PxVol', 'Gamma']
df = pd.DataFrame.from_records(r, columns = cols)
df['ref'] = ref
for col in ['DeltaRec', 'DeltaPay', 'Vol', 'PxVol', 'Gamma']:
if col in df:
df[col] = df[col].str.strip("%").astype('float')/100
df = df.convert_objects(convert_numeric=True)
df.set_index('Strike', inplace=True)
return df
masterdf = {}
for f in emails:
with f.open("rb") as fh:
subject = fh.readline()
m = re.match("(?:Fwd:)?(\w{2})([0-9]{1,2})\s", subject.decode('utf-8'))
if m:
indextype, series = m.groups()
series = int(series)
else:
print("can't parse subject line for {0}".format(f))
print(subject.decode("utf-8"))
continue
flag = False
allexpiriesdf = {}
for line in fh:
line = line.decode('utf-8', 'ignore')
line = line.rstrip()
if line.startswith("At"):
quotedate = pd.to_datetime(line[4:])
if quotedate >= pd.to_datetime('2015-04-01'):
continue
if line.startswith("Ref"):
m = re.match("Ref:(\S+)\s+Fwd(?: Spd)?:(\S+)\s+Fwd Bpv:(\S+)\s+Expiry:(\S+)", line)
if m:
ref, fwspread, fwbpv, expiry = m.groups()
expiry = pd.datetime.strptime(expiry, '%d-%b-%y')
else:
print("something wrong with {0}".format(f))
continue
if line.startswith("Strike"):
if "Px Vol" in line:
indextype='HY'
else:
indextype='IG'
flag = True
r = []
continue
if flag:
if line:
line = re.sub("[/|]", " ", line)
vals = re.sub(" +", " ", line).rstrip().split(" ")
r.append(vals)
continue
else:
allexpiriesdf[expiry] = makedf(r, indextype, ref)
flag = False
r = []
continue
if flag:
allexpiriesdf[expiry] = makedf(r, indextype, ref)
masterdf[(quotedate, indextype, series)] = pd.concat(allexpiriesdf, names=['expiry', 'Strike'])
masterdf = pd.concat(masterdf, names=['indextype', 'series', 'quotedate'])
masterdf.to_hdf('swaptions.hdf', key='swaptions')
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