diff options
| -rw-r--r-- | python/collateral/baml_isda.py | 4 | ||||
| -rw-r--r-- | python/external_deriv_marks.py | 3 |
2 files changed, 7 insertions, 0 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index 61740b83..b023fd66 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -1,4 +1,5 @@ from . import DAILY_DIR +from analytics.utils import get_fx from bs4 import BeautifulSoup from io import BytesIO from pandas.tseries.offsets import BDay @@ -133,6 +134,9 @@ def load_excel(fname): rows.append(r) i += 1 df = pd.DataFrame.from_records(rows, columns=headers) + if not df.empty: + df["fx"] = df[["Market Value Date", "Ccy1"]].apply(lambda x: get_fx(*x), axis=1) + df["Market Value Amount"] /= df["fx"] df = df.rename( columns={ "Contract ID ": "Trade ID", diff --git a/python/external_deriv_marks.py b/python/external_deriv_marks.py index dc0bc666..4a5ba105 100644 --- a/python/external_deriv_marks.py +++ b/python/external_deriv_marks.py @@ -151,6 +151,9 @@ def bnp_navs(date: datetime.date = None, fund: str = "Serenitas"): df["Trade Ref"] = df["Trade Ref"].str.replace("MBO-", "") df = df.set_index("Trade Ref") df["Trade Date"] = pd.to_datetime(df["Trade Date"], dayfirst=True) + df["Exposure Amount"] = df["Exposure Amount"].where( + df["Notional 1 Ccy"] == "EUR", df["Exposure Amount (Agmt Ccy)"] + ) df = df[ [ "Trade Date", |