BacenDRM.jl
Writes DRM (monthly market risk report) XML file, as required by Brazilian Central Bank (BACEN)
Example
# create document with basic information
doc = BacenDRM.Documento(
"2060", # id_docto::String,
"v1", # id_docto_versao::String,
"2020-06", # data_base::String,
123456, # id_inst_financ::Int64,
:I, # tipo_arq::Symbol,
"Fulano", # nome_contato::String,
"555-1234", # fone_contato::String
)
# create ItemCarteira, which is an index to document data
item_carteira = BacenDRM.ItemCarteira(
:A20,
nothing,
:JM1,
:offshore,
:banking
)
# repeat for each vertice
codigo_vertice = 1
vertice_1 = BacenDRM.Vertice(
100_000.0, # valor_alocado::Float64
0.0 # valor_mam::Float64
)
push!(doc, item_carteira, codigo_vertice, vertice_1) # add Vertice
# end repeat
# two vertices
ic = BacenDRM.ItemCarteira(:A30, nothing, :ME1, :offshore, :banking)
push!(doc, ic, 3, BacenDRM.Vertice(100_000.0, 0.0))
push!(doc, ic, 12, BacenDRM.Vertice(200_000.0, 10_000.0))
# you can also build a vertice adding incrementally its values
ic = BacenDRM.ItemCarteira(:P30, nothing, :JM1, :onshore_sem_clearing, :trading)
push!(doc, ic, 1, BacenDRM.Vertice(70_000.0, 0.0))
push!(doc, ic, 1, BacenDRM.Vertice(230_000.0, 0.0))
# will result in: Vertice(300_000.0, 0.0)
# one-liner
push!(doc, BacenDRM.ItemCarteira(:D41, :C, :JM1, :onshore_clearing, :banking), 1, BacenDRM.Vertice(400_000.0, 0.0))
# hedge fund assets: data goes into ativo_fundo section
ic = BacenDRM.ItemCarteira(
:A90,
nothing,
:JM1,
:offshore,
:banking,
true # is_ativo_fundo::Bool=false
)
push!(doc, ic, 1, BacenDRM.Vertice(500_000.0, 0.0))
# atividade_financeira
push!(doc, BacenDRM.ItemCarteira(:AFC, :V, :JM1, nothing, :banking), 1, BacenDRM.Vertice(600_000.0, 0.0))
# write a xml file ready to be sent to BACEN...
BacenDRM.write_xml("DRM.xml", doc)
# ... or a csv file to debug results
BacenDRM.write_csv("DRM.csv", doc)
Content of "DRM.xml"
Numbers are truncated to thousands when writing in xml.
<?xml version="1.0" encoding="UTF-8"?>
<DocDRM>
<IdDocto>2060</IdDocto>
<IdDoctoVersao>v1</IdDoctoVersao>
<DataBase>2020-06</DataBase>
<IdInstFinanc>123456</IdInstFinanc>
<TipoArq>I</TipoArq>
<NomeContato>Fulano</NomeContato>
<FoneContato>555-1234</FoneContato>
<Ativo>
<ItemCarteira Item="A20" FatorRisco="JM1" LocalRegistro="03" CarteiraNegoc="02">
<FluxoVertice CodVertice="01" ValorAlocado="100"/>
</ItemCarteira>
<ItemCarteira Item="A30" FatorRisco="ME1" LocalRegistro="03" CarteiraNegoc="02">
<FluxoVertice CodVertice="03" ValorAlocado="100"/>
<FluxoVertice CodVertice="12" ValorAlocado="200" ValorMaM="10"/>
</ItemCarteira>
</Ativo>
<Passivo>
<ItemCarteira Item="P30" FatorRisco="JM1" LocalRegistro="02" CarteiraNegoc="01">
<FluxoVertice CodVertice="01" ValorAlocado="300"/>
</ItemCarteira>
</Passivo>
<Derivativo>
<ItemCarteira Item="D41" IdPosicao="C" FatorRisco="JM1" LocalRegistro="01" CarteiraNegoc="02">
<FluxoVertice CodVertice="01" ValorAlocado="400"/>
</ItemCarteira>
</Derivativo>
<AtivoFundo>
<ItemCarteira Item="A90" FatorRisco="JM1" LocalRegistro="03" CarteiraNegoc="02">
<FluxoVertice CodVertice="01" ValorAlocado="500"/>
</ItemCarteira>
</AtivoFundo>
<AtividadeFinanceira>
<ItemCarteira Item="AFC" IdPosicao="V" FatorRisco="JM1" CarteiraNegoc="02">
<FluxoVertice CodVertice="01" ValorAlocado="600"/>
</ItemCarteira>
</AtividadeFinanceira>
</DocDRM>Content of "DRM.csv"
| secao | item | id_posicao | fator_risco | local_registro | carteira_negoc | v01 | v02 | v03 | v04 | v05 | v06 | v07 | v08 | v09 | v10 | v11 | v12 | v12_MaM |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ativo | A20 | JM1 | offshore | banking | 100000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| ativo | A30 | ME1 | offshore | banking | 0.0 | 0.0 | 100000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 200000.0 | 10000.0 | |
| passivo | P30 | JM1 | onshore_sem_clearing | trading | 300000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| derivativo | D41 | C | JM1 | onshore_clearing | banking | 400000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| ativo_fundo | A90 | JM1 | offshore | banking | 500000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| atividade_financeira | AFC | V | JM1 | banking | 600000.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |