def loadAssetTypeSpecialCaseFromFile(file):
"""
[String] file => [Dictionary] ID -> [Dictionary] security info
"""
stringToTuple = compose(tuple, partial(map, lambda s: s.strip()),
lambda s: s.split(','))
updatePosition = lambda position: mergeDict(
position
, { 'Portfolio': str(int(position['Portfolio'])) \
if isinstance(position['Portfolio'], float) \
else position['Portfolio']
, 'AssetType': stringToTuple(position['AssetType'])
}
)
return \
compose(
dict
, partial(map, lambda p: (p['ID'], p))
, partial(map, updatePosition)
, getRawPositions
, fileToLines
, partial(join, getDataDirectory())
)(file)
def getGenevaPositions(portfolio, date, mode):
"""
[String] portfolio, [String] date (yyyymmdd), [String] mode
=> [Iterator] Investment positions of the portfolio on that date
"""
"""
[String] file (Geneva investment positions report, Excel format)
=> [Iterator] positions
"""
readGenevaInvestmentPositionFile = compose(
partial(
map, lambda p: mergeDict(
p, {'Remarks1': 'Geneva investment positions report'})),
lambda lines: getPositions(lines)[1], fileToLines,
lambda file: lognContinue(
'readGenevaInvestmentPositionFile(): {0}'.format(file), file))
"""
[String] portfolio, [String] date (yyyymmdd), [String] mode
=> [String] file
"""
getGenevaInvestmentPositionFile = lambda portfolio, date, mode: \
join( getInputDirectory(mode)
, portfolio + '_Investment_Positions_' + date + '.xlsx'
)
return \
compose(
readGenevaInvestmentPositionFile
, getGenevaInvestmentPositionFile
)(portfolio, date, mode)
def getAllPositionsBlp(date, mode):
"""
[String] date (yyyymmdd), [String] mode
=> [Iterator] positions of all portfolios on the date from Bloomberg
"""
getBlpPositionFile = lambda date, mode: \
join(getInputDirectory(mode), 'risk_m2_mav_' + date + '.xlsx')
# [Iterable] lines => [List] line that contains the date
findDateLine = partial(
firstOf,
lambda line: len(line) > 1 and line[1].startswith('Risk-Mon Steven'))
# [String] The string containing date => [String] date (yyyymmdd)
# it looks like: Risk Report LQA Master as of 20200429
getDateFromString = lambda s: s.split()[-1]
getDateFromLines = compose(
getDateFromString, lambda line: lognRaise('Failed to find date line')
if line == None else line[1], findDateLine)
floatToString = lambda x: str(int(x)) if isinstance(x, float) else x
updatePosition = lambda date, position: \
mergeDict( position
, { 'AsOfDate': date
, 'Remarks1': 'Bloomberg MAV Risk-Mon Steven'
, 'Account Code': floatToString(position['Account Code'])
}
)
getPositions = lambda date, lines: \
compose(
partial(map, partial(updatePosition, date))
, partial(filterfalse, lambda p: p['Account Code'] == '')
, getRawPositions
, lambda lines: dropwhile(lambda line: line[0] != 'Name', lines)
)(lines)
return \
compose(
lambda t: getPositions(t[0], t[1])
, lambda lines: (getDateFromLines(lines), lines)
, fileToLines
, lambda file: lognContinue('getAllPositionsBlp(): {0}'.format(file), file)
, getBlpPositionFile
)(date, mode)
def loadLiquiditySpecialCaseFromFile(file):
"""
[String] file => [Dictionary] id -> [Dictionary] liquidity data
"""
toDate = lambda x: \
fromExcelOrdinal(x) if isinstance(x, float) else \
datetime.strptime(x, '%m/%d/%Y')
updatePosition = lambda position: mergeDict(
position, {'CALC_MATURITY': toDate(position['CALC_MATURITY'])})
return \
compose(
dict
, partial(map, lambda p: (p['ID'], p))
, partial(map, updatePosition)
, getRawPositionsFromFile
)(file)
def getGenevaLqaPositions(positions):
"""
[Iterable] positions => [Iterable] positions
Read Geneva consolidated tax lot positions, then do the following:
1) take out those not suitable for liquidity test (cash, FX forward, etc.);
2) Add Id, IdType and Position fields for LQA processing.
"""
# [Dictonary] p => [Dictionary] enriched position with id and idType
addIdnType = compose(
lambda t: mergeDict(t[2], {'Id': t[0], 'IdType': t[1]})
, lambda p: (*getIdnType(p), p)
)
return compose(
partial(map, addIdnType)
, partial(filterfalse, noNeedLiquidityGeneva)
, lambda positions: lognContinue('getGenevaLqaPositions(): start', positions)
)(positions)
def getBlpLqaPositions(positions):
"""
[Iterable] positions => ( [Iterable] CLO positions
, [Iterable] nonCLO positions
)
Read Bloomberg raw positions, then do the following:
1) take out those not suitable to do liquidity test (cash, FX forward, etc.);
2) take out DIF fund positions, since they will come from Geneva;
2) split into clo and nonCLO positions.
Return (CLO positions, nonCLO positions)
"""
removeUnwantedPositions = compose(
partial( filterfalse
, lambda p: p['Asset Type'] in [ 'Cash', 'Foreign Exchange Forward'
, 'Repo Liability', 'Money Market'] \
or p['Name'] in ['.FSFUND HK', 'CLFLDIF HK'] # open ended funds
)
, partial(filterfalse, lambda p: p['Position'] == '' or p['Position'] <= 0)
)
# [Dictionary] position => [Dictioanry] position with id and idtype
updatePositionId = compose(
lambda t: mergeDict(t[2], {'Id': t[0], 'IdType': t[1]})
, lambda position: (*getIdnType(position), position)
)
isCLOPortfolio = lambda p: p['Account Code'] in \
['12229', '12734', '12366', '12630', '12549', '12550', '13007']
"""
[Iterable] positions => ( [Iterable] CLO positions
, [Iterable] non CLO positions
)
Split the positions into All, CLO and non-CLO group
"""
splitCLO = lambda positions: \
reduce( lambda acc, el: ( chain(acc[0], [el])
, acc[1]
) if isCLOPortfolio(el) else \
( acc[0]
, chain(acc[1], [el])
)
, positions
, ([], [])
)
return \
compose(
splitCLO
, partial(map, updatePositionId)
, removeUnwantedPositions
, lambda positions: lognContinue('getBlpLqaPositions(): start', positions)
)(positions)
Example:
[ {'Id': '1 HK', 'Position': 100, ...}
, {'Id': '1 HK', 'Position': 200, ...}
]
=>
{'Id': '1 HK', 'Position': 300, ...}
NOTE: consolidated position is hard to tell whether it is a blp position or
a geneva position. Therefore we 'Position' field to store the total quantity.
"""
consolidateGroup = lambda group: \
mergeDict(group[0].copy(), {'Position': sum(map(getQuantity, group))})
"""[Iterable] positions => [Iterable] consolidated positions"""
consolidate = compose(
partial(map, consolidateGroup)
, lambda d: d.values()
, partial(groupbyToolz, lambda p: p['Id'])
)
def lognContinue(msg, x):
logger.debug(msg)
return x
def updateSecurityId(p):
if len(p['SECURITIES'].split()[0]) == 12: # it's ISIN
return mergeDict(p, {'SECURITIES': p['SECURITIES'].split()[0]})
else:
return p