diff options
| -rw-r--r-- | python/collateral/baml_isda.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index fc4cc5da..b02e8889 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -185,12 +185,15 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): if not missing_ids.empty: raise ValueError(f"{missing_ids.tolist()} not in the database") df = df[["folder", "base_nav", "ia"]] + # we put all the FX collateral in TCSH for now + df.loc[df.folder == "M_CSH_CASH", "folder"] = "TCSH" df = df.groupby("folder").sum() df = (df["ia"] - df["base_nav"]).to_frame(name="Amount") df["Currency"] = "USD" df = df.reset_index() df.columns = ["Strategy", "Amount", "Currency"] df.Amount *= -1 + df.loc[df.Strategy == "M_CSH_CASH", "Strategy"] = "TCSH" df = df.append( { "Strategy": "M_CSH_CASH", |