def getPositions(file):
""" [String] file => [List] ([Dictionary] position) """
logger.debug('loadRepoPosition(): {0}'.format(file))
headers = ( 'RepoName', 'Account', 'LoanAmount', 'AccruedInterest'
, 'OpenDate', 'CloseDate', 'InterestRate')
with open(file, newline='') as csvfile:
spamreader = csv.reader(csvfile, delimiter=',', quotechar='|')
return \
compose(
list
, partial( map
, lambda p: mergeDict( p
, {'CloseDate': '99991231' if p['CloseDate'] == '' \
else p['CloseDate']}
)
)
, partial( map
, lambda p: mergeDict( p
, { 'LoanAmount': float(p['LoanAmount'])
, 'AccruedInterest': float(p['AccruedInterest'])
, 'InterestRate': float(p['InterestRate'])
}
)
)
, partial(map, dict)
, partial(map, lambda row: zip(headers, row))
)(spamreader)
def enrichPosition(repoData, position):
"""
[Dictionary] repoData, [Dictionary] position
=> [Iterable] ([Dictionary] enriched position)
Because a Bloomberg repo position can have one or multiple collaterals,
we allocate the accrued interest pro-rata to each collateral.
"""
logger.debug('enrichPosition(): {0}'.format(position['RepoName']))
# [String] date (yyyy-mm-dd) => [String] date (yyyymmdd)
changeDate = compose(
lambda L: L[0] + L[1] + L[2]
, lambda s: s.split('-')
)
try:
return \
map( lambda t: \
mergeDict( position
, { 'CollateralID': t[0]
, 'CollateralQuantity': t[1]
, 'LoanAmount': position['LoanAmount']*t[2]
, 'AccruedInterest': position['AccruedInterest']*t[2]
, 'OpenDate': changeDate(t[3])
}
)
, repoData[position['RepoName']]
)
except:
logger.error('enrichPosition(): failed on {0}'.format(position['RepoName']))
return [mergeDict( position
, {'CollateralID': '', 'CollateralQuantity': 0}
)]
def getAccumulatedTimeWeightedCapital(bondConnectOnly, sortedCLPositions):
"""
[Bool] bondConnectOnly
[Iterable] ([String] period end date, [List] positions of that period)
=> [Iterable] Float (time weighted return at each period end date)
"""
"""
[Iterable] cash ledger entries => [Iterable] cash ledger entries
filter and change the entries for bond connect calculation.
"""
mappingFunc = compose(
partial( map
, lambda p: mergeDict(p, {'TranDescription': 'Deposit'}) \
if p['TranDescription'] == 'Transfer' else p
)
, partial( filter
, lambda p: 'BOCHK_BC' in p['GroupWithinCurrency_OpeningBalDesc']
)
)
return \
compose(
partial(map, lambda t: getTimeWeightedCapital(t[0], t[1]))
, partial(map, lambda t: (t[0], list(mappingFunc(t[1])))) \
if bondConnectOnly else partial(map, lambda t: t)
, lambda sortedCLPositions: \
accumulate(sortedCLPositions, lambda t1, t2: (t2[0], t1[1] + t2[1]))
)(sortedCLPositions)
def createRepoReconFile(directory, date, positions):
"""
[Iterable] repo positions after enrichment
=> [String] file
Create a csv file from the repo positions in the directory.
"""
logger.debug('createRepoReconFile(): {0}'.format(date))
headers = ( 'RepoName', 'Account', 'CollateralID', 'CollateralQuantity'
, 'LoanAmount', 'AccruedInterest', 'OpenDate', 'CloseDate'
, 'InterestRate')
changeDate = lambda dt: dt[0:4] + '-' + dt[4:6] + '-' + dt[6:8]
updatePosition = lambda p: \
mergeDict( p
, { 'OpenDate': changeDate(p['OpenDate'])
, 'CloseDate': changeDate(p['CloseDate'])
}
)
return \
compose(
partial(writeCsv, join(directory, 'Repo_PosRecon_WithHeader_{0}.csv'.format(date)))
, partial(chain, [headers])
, partial(map, partial(dictToValues, headers))
, partial(map, updatePosition)
)(positions)
def _addMetaDataToPosition(fields, positions, metaData):
"""
[Iterable] positions, [Dictionary] metaData
=> [Iterable] positions
"""
data = {key: metaData.get(key, '') for key in fields}
return map(lambda p: mergeDict(p, data), positions)
def getJournalTrades(lines):
"""
[Iterable] lines => [Iterable] ([Dictionary] journal trade)
"""
nonEmptyLine = lambda line: len(line) > 0 and line[0] != ''
toDateTimeString = lambda x: fromExcelOrdinal(x).strftime('%Y-%m-%d')
toStringIfFloat = lambda acc: \
str(int(acc)) if isinstance(acc, float) else acc
updatePosition = lambda p: \
mergeDict( p
, { 'Account': toStringIfFloat(p['Account'])
, 'Trade Date': toDateTimeString(p['Trade Date'])
, 'Settlement Date': toDateTimeString(p['Settlement Date'])
, 'Ticket Number': toStringIfFloat(p['Ticket Number'])
}
)
return \
compose(
partial(map, updatePosition)
, getRawPositions
, partial(takewhile, nonEmptyLine)
)(lines)
def getRepoRerateFromFile(file):
"""
[String] file
=> [Iterable] ([Dictionary] repo rerate)
"""
logger.debug('getRepoRerateFromFile(): {0}'.format(file))
getRateTable = lambda L: dict(zip(L[0], L[1]))
return \
compose(
partial( map
, lambda d: mergeDict(d, {'TransactionType': d['transaction_type']}))
, partial( map
, lambda el: mergeDict(el, {'RateTable': getRateTable(el['RateTable'])}))
, getRawDataFromXML
)(file)
def updateAccruedInterest(date, position):
"""
[Dictionary] position => [Dictionary] position
update the accrued interest
"""
logger.debug('updateAccruedInterest(): {0}'.format(position['RepoName']))
return \
mergeDict( position
, {'AccruedInterest': getAccruedInterest(date, position)}
)
def addInvestId(position):
"""
[Dictionary] position => [Dictionary] position
Add the field 'InvestID' to the position
"""
m = re.search('\((.*)\)', position['InvestmentDescription'])
return \
mergeDict( position
, {'InvestID': m.group(1) if m != None else position['InvestmentDescription']}
)
def consolidate(group):
"""
[List] group (positions) => [Dictionary] position
"""
return \
compose(
lambda position: mergeDict(
position
, _updateFields( ( 'Quantity', 'CostBook', 'MarketValueBook'
, 'UnrealizedPriceGainLossBook', 'UnrealizedFXGainLossBook'
, 'AccruedAmortBook', 'AccruedInterestBook'
)
, group
)
)
, lambda group: mergeDict(
group[0]
, {'UnitCost': getUnitCost(group)}
)
)(group)
def getRepoTradeFromFile(file):
"""
[String] file
=> [Iterable] ([Dictionary] repo trade)
"""
logger.debug('getRepoTradeFromFile(): {0}'.format(file))
return \
compose(
partial( map
, lambda d: mergeDict(d, {'TransactionType': d['transaction_type']}))
, getRawDataFromXML
)(file)
def _consolidate_dividend_receivable_group(group):
"""
[List] ([Dictionary] dvd receivable)
=> [Dictionary] consolidated dvd receivable position
"""
if not allEquals(
map(
lambda p:
(p['EXDate'], p['ExDateQuantity'], p['LocalCurrency']),
group)):
raise ValueError(
'_consolidate_dividend_receivable_group(): inconsistency {0}'.
format(group[0]['Investment']))
return mergeDict(
group[0], {
'LocalGrossDividendRecPay':
sum(map(lambda p: p['LocalGrossDividendRecPay'], group))
})
def addSedol(sedolMapping, p):
return mergeDict(p, {'SEDOL': sedolMapping.get(p['Code'], '')})
def updatePortfolioName(p):
return mergeDict(p, {'NameSort': toString(p['NameSort'])})
getCurrentDirectory = lambda : \
dirname(abspath(__file__))
"""
[Dictionary] functionMap (key -> function), [Dictionary] d
=> [Dictionary] updated d (with keys in functionMap)
Create a copy of the input dictionary d, with certain key, value pairs
updated for those keys in the functionMap.
"""
updateDictionaryWithFunction = lambda functionMap, d: \
mergeDict(d, {key: functionMap[key](d.get(key, '')) for key in functionMap})
"""
[Dictonary] raw metadata => [Dictionary] metadata
"""
getExcelMetadata = lambda metadata: \
updateDictionaryWithFunction(
{ 'Portfolio': toStringIfFloat
, 'PeriodEndDate': toDateTimeString
, 'PeriodStartDate': toDateTimeString
}
, metadata
)
def updateCashDescription(p):
return mergeDict(p, {'TaxLotDescription': p['InvestID'] + ' ' + p['Portfolio']}) \
if _isCash(p['ThenByDescription']) else p
