diff options
| -rw-r--r-- | python/collateral/gs_fcm.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index b6517e87..68480c66 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -76,7 +76,7 @@ def collateral(d: datetime.date, positions, *, engine, fund, **kwargs): "Opening Balance (local)": "beginning_balance", "Ending Balance (local)": "ending_balance", "PAI (local)": "pai", - "Account Value (local)": "account_value_market", + "Account Value + IM Collateral (local)": "account_value_market", "Initial Margin Requirement (local)": "current_im", "Excess/Deficit (local)": "current_excess_deficit", "Currency": "currency", @@ -101,12 +101,14 @@ def collateral(d: datetime.date, positions, *, engine, fund, **kwargs): "GS Account Number": "account", "COB Date": "date", "Excess/Deficit (Local)": "current_excess_deficit", - "Total Equity (Local)": "account_value_market", "Currency": "currency", "Gross Realized P&L (Local)": "realized_pnl", "Commission & Fees (Local)": "transaction_fees", } df_margin_futures = df_margin_futures.rename(columns=col_mapping) + df_margin_futures["account_value_market"] = ( + df_margin_futures["current_im"] + df_margin_futures["Total Equity (Local)"] + ) df_margin_futures["pai"] = 0.0 df_margin = df_margin.groupby(["date", "account", "currency"], as_index=False).sum() df_margin = pd.concat([df_margin, df_margin_futures]) |