diff options
| -rw-r--r-- | python/collateral/common.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 64498fca..d17becb0 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -39,9 +39,11 @@ def compare_notionals(df: pd.DataFrame, positions: pd.DataFrame, fcm: str) -> No .join(df["NOTIONAL"], how="left") ) diff_notionals = check_notionals[ - check_notionals.notional != check_notionals.NOTIONAL + (check_notionals.notional != check_notionals.NOTIONAL) + & (check_notionals.notional != 0.0) ] if not diff_notionals.empty: + logger.error(f"Database and {fcm} FCM know different notionals") for t in diff_notionals.itertuples(): logger.error( @@ -51,7 +53,7 @@ def compare_notionals(df: pd.DataFrame, positions: pd.DataFrame, fcm: str) -> No def get_dawn_trades(d: datetime.date, engine: Engine) -> pd.DataFrame: df_cds = pd.read_sql_query( - "SELECT cpty_id, folder, initial_margin_percentage * notional / 100 as IA " + "SELECT cpty_id, folder, initial_margin_percentage * abs(notional) / 100 as IA " "FROM list_cds(%s::date) " "WHERE cpty_id IS NOT NULL", engine, |