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