1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
|
import pandas as pd
import re
from pathlib import Path
import pdb
from download_emails import update_emails
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
for k in df:
if df.dtypes[k]=='object':
df[k] = pd.to_numeric(df[k])
df.set_index('strike', inplace=True)
return df
if __name__=="__main__":
update_emails()
emails = [f for f in Path("../../data/swaptions").iterdir() if f.is_file()]
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"):
for p in ['%m/%d %H:%M:%S', '%b %d %Y %H:%M:%S']:
try:
quotedate = pd.to_datetime(line, format=p, exact=False)
except ValueError:
continue
else:
if quotedate.year == 1900:
quotedate = quotedate.replace(year=2015)
break
else:
pdb.set_trace()
if line.startswith("Ref"):
m = re.match("Ref:(\S+)\s+(?:Fwd Px:(\S+)\s+)?Fwd(?: Spd)?:(\S+)\s+Fwd Bpv:(\S+)\s+Expiry:(\S+)",
line)
if m:
if len(m.groups())==4:
ref, fwspread, fwfwbpv, expiry = m.groups()
elif len(m.groups())==5:
ref, fwprice, fwspread, fwfwbpv, expiry = m.groups()
else:
print("something wrong with {0}".format(f))
expiry = pd.datetime.strptime(expiry, '%d-%b-%y')
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)
if allexpiriesdf:
masterdf[(quotedate, indextype, series)] = pd.concat(allexpiriesdf, names=['expiry', 'strike'])
masterdf = pd.concat(masterdf, names=['quotedate', 'indextype', 'series'])
masterdf.to_hdf('swaptions.hdf', key='swaptions')
|
