diff options
| -rw-r--r-- | python/collateral/barclays.py | 1 | ||||
| -rw-r--r-- | python/collateral/ms.py | 3 |
2 files changed, 4 insertions, 0 deletions
diff --git a/python/collateral/barclays.py b/python/collateral/barclays.py index 999e5b28..08b86d80 100644 --- a/python/collateral/barclays.py +++ b/python/collateral/barclays.py @@ -64,6 +64,7 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): df = load_file(d, fund, "Exposure Report") df = df[["Trade Reference", "Exposure (USD)", "Ind Amt (USD)"]] df["Trade Reference"] = df["Trade Reference"].astype(str) + df = df[df["Trade Reference"] != "0 Trades Exposure (USD) "] df = df.merge( dawn_trades, how="left", left_on="Trade Reference", right_on="cpty_id" ) diff --git a/python/collateral/ms.py b/python/collateral/ms.py index 61e0346d..5a56d88f 100644 --- a/python/collateral/ms.py +++ b/python/collateral/ms.py @@ -70,6 +70,9 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): except FileNotFoundError: # We don't always have FX files pass # df = df.dropna(subset=["trade_ccy"]) + # The accrued amount we called back from MS is now marked as an exposure. + # Let me just ignore these for now + df = df[df["trade_id"] != "52TGNSU"] df = df.merge(dawn_trades, how="left", left_on="trade_id", right_on="cpty_id") missing_ids = df.loc[df.cpty_id.isnull(), "trade_id"] if not missing_ids.empty: |