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[BugFix] Fix SEC ETF Holdings Parsing Exception (#6121)
* fix etf holdings * linting * black --------- Co-authored-by: James Maslek <jmaslek11@gmail.com>
This commit is contained in:
Danglewood
@@ -1,5 +1,7 @@
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"""SEC ETF Holings Model."""
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# pylint: disable =[unused-argument,too-many-locals,too-many-branches]
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import warnings
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from datetime import date as dateType
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from typing import Any, Dict, List, Optional, Union
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@@ -27,7 +29,8 @@ class SecEtfHoldingsQueryParams(EtfHoldingsQueryParams):
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date: Optional[Union[str, dateType]] = Field(
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description=QUERY_DESCRIPTIONS.get("date", "")
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+ " The date represents the period ending. The date entered will return the closest filing.",
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+ " The date represents the period ending."
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+ " The date entered will return the closest filing.",
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default=None,
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)
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use_cache: bool = Field(
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@@ -136,7 +139,7 @@ class SecEtfHoldingsData(EtfHoldingsData):
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description="If the debt security is in arrears.", default=None
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)
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is_paid_kind: Optional[str] = Field(
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description="If the debt security payments are are paid in kind.", default=None
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description="If the debt security payments are paid in kind.", default=None
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)
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derivative_category: Optional[str] = Field(
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description="The derivative category of the holding.", default=None
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@@ -283,7 +286,7 @@ class SecEtfHoldingsData(EtfHoldingsData):
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@model_validator(mode="before")
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@classmethod
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def replace_zero(cls, values): # pylint: disable=no-self-argument
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def replace_zero(cls, values):
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"""Check for zero values and replace with None."""
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return (
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{k: None if v == 0 else v for k, v in values.items()}
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@@ -350,10 +353,9 @@ class SecEtfHoldingsFetcher(
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return response
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# pylint: disable=unused-argument
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# pylint: disable=too-many-statements
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@staticmethod
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def transform_data(
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def transform_data( # noqa: PLR0912
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query: SecEtfHoldingsQueryParams,
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data: Dict,
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**kwargs: Any,
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@@ -491,12 +493,13 @@ class SecEtfHoldingsFetcher(
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if "futrDeriv" in derivative_info:
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futr_deriv = derivative_info["futrDeriv"]
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df.loc[i, "derivative_category"] = futr_deriv.get("@derivCat")
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df.loc[i, "counterparty"] = futr_deriv["counterparties"].get(
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"counterpartyName"
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)
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df.loc[i, "lei"] = futr_deriv["counterparties"].get(
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"counterpartyLei"
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)
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if isinstance(futr_deriv.get("counterparties"), dict):
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df.loc[i, "counterparty"] = futr_deriv[
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"counterparties"
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].get("counterpartyName")
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df.loc[i, "lei"] = futr_deriv["counterparties"].get(
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"counterpartyLei"
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)
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df.loc[i, "underlying_name"] = (
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futr_deriv["descRefInstrmnt"]
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.get("indexBasketInfo", {})
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@@ -563,54 +566,56 @@ class SecEtfHoldingsFetcher(
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if "otherRecDesc" in swap_deriv["descRefInstrmnt"]
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else None
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)
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df.loc[i, "rate_type_rec"] = swap_deriv["floatingRecDesc"].get(
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"@fixedOrFloating"
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)
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df.loc[i, "floating_rate_index_rec"] = swap_deriv[
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"floatingRecDesc"
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].get("@floatingRtIndex")
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df.loc[i, "floating_rate_spread_rec"] = float(
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swap_deriv["floatingRecDesc"].get("@floatingRtSpread")
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)
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df.loc[i, "payment_amount_rec"] = float(
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swap_deriv["floatingRecDesc"].get("@pmntAmt")
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)
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df.loc[i, "rate_tenor_rec"] = swap_deriv["floatingRecDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@rateTenor")
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df.loc[i, "rate_tenor_unit_rec"] = swap_deriv[
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"floatingRecDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@rateTenorUnit")
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df.loc[i, "reset_date_rec"] = swap_deriv["floatingRecDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@resetDt")
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df.loc[i, "reset_date_unit_rec"] = swap_deriv[
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"floatingRecDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@resetDtUnit")
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df.loc[i, "rate_type_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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].get("@fixedOrFloating")
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df.loc[i, "floating_rate_index_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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].get("@floatingRtIndex")
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df.loc[i, "floating_rate_spread_pmnt"] = float(
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swap_deriv["floatingPmntDesc"].get("@floatingRtSpread")
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)
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df.loc[i, "payment_amount_pmnt"] = float(
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swap_deriv["floatingPmntDesc"].get("@pmntAmt")
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)
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df.loc[i, "rate_tenor_pmnt"] = swap_deriv["floatingPmntDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@rateTenor")
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df.loc[i, "rate_tenor_unit_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@rateTenorUnit")
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df.loc[i, "reset_date_pmnt"] = swap_deriv["floatingPmntDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@resetDt")
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df.loc[i, "reset_date_unit_rec"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@resetDtUnit")
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if "floatingRecDesc" in swap_deriv:
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df.loc[i, "rate_type_rec"] = swap_deriv[
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"floatingRecDesc"
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].get("@fixedOrFloating")
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df.loc[i, "floating_rate_index_rec"] = swap_deriv[
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"floatingRecDesc"
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].get("@floatingRtIndex")
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df.loc[i, "floating_rate_spread_rec"] = float(
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swap_deriv["floatingRecDesc"].get("@floatingRtSpread")
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)
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df.loc[i, "payment_amount_rec"] = float(
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swap_deriv["floatingRecDesc"].get("@pmntAmt")
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)
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df.loc[i, "rate_tenor_rec"] = swap_deriv["floatingRecDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@rateTenor")
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df.loc[i, "rate_tenor_unit_rec"] = swap_deriv[
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"floatingRecDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@rateTenorUnit")
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df.loc[i, "reset_date_rec"] = swap_deriv["floatingRecDesc"][
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"rtResetTenors"
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]["rtResetTenor"].get("@resetDt")
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df.loc[i, "reset_date_unit_rec"] = swap_deriv[
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"floatingRecDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@resetDtUnit")
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if "floatingPmntDesc" in swap_deriv:
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df.loc[i, "rate_type_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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].get("@fixedOrFloating")
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df.loc[i, "floating_rate_index_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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].get("@floatingRtIndex")
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df.loc[i, "floating_rate_spread_pmnt"] = float(
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swap_deriv["floatingPmntDesc"].get("@floatingRtSpread")
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)
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df.loc[i, "payment_amount_pmnt"] = float(
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swap_deriv["floatingPmntDesc"].get("@pmntAmt")
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)
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df.loc[i, "rate_tenor_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@rateTenor")
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df.loc[i, "rate_tenor_unit_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@rateTenorUnit")
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df.loc[i, "reset_date_pmnt"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@resetDt")
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df.loc[i, "reset_date_unit_rec"] = swap_deriv[
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"floatingPmntDesc"
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]["rtResetTenors"]["rtResetTenor"].get("@resetDtUnit")
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df.loc[i, "expiry_date"] = swap_deriv.get("terminationDt")
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df.loc[i, "upfront_payment"] = float(
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swap_deriv.get("upfrontPmnt")
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