1 files changed, 46 insertions, 4 deletions
diff --git a/python/collateral/baml_fcm.py b/python/collateral/baml_fcm.py
index c7c892a4..6847eb93 100644
--- a/python/collateral/baml_fcm.py
+++ b/python/collateral/baml_fcm.py
@@ -1,5 +1,5 @@
 from . import DAILY_DIR, SftpClient
-from .common import compare_notionals, STRATEGY_CASH_MAPPING
+from .common import compare_notionals, compare_notionals_rates, STRATEGY_CASH_MAPPING
 import pandas as pd
 from sqlalchemy.exc import IntegrityError
 
@@ -11,12 +11,21 @@ def download_files(*args, fund="Serenitas", **kwargs):
     sftp.download_files("outgoing", DAILY_DIR / fund / "BAML_reports")
 
 
-def collateral(d, positions, *, engine, fund="Serenitas", **kwargs):
-    df = pd.read_csv(
+def load_csv(file_type, fund, d, **kwargs):
+    return pd.read_csv(
         DAILY_DIR
         / fund
         / "BAML_reports"
-        / f"OTC_Open_Positions_-_Credit_-_LMCG_{d:%Y%m%d}.CSV",
+        / f"OTC_Open_Positions_-_{file_type}_-_LMCG_{d:%Y%m%d}.CSV",
+        **kwargs,
+    )
+
+
+def collateral(d, positions, *, engine, fund="Serenitas", positions_irs, **kwargs):
+    df = load_csv(
+        "Credit",
+        fund,
+        d,
         usecols=[
             "MTM",
             "ACCRUEDCPN",
@@ -60,6 +69,33 @@ def collateral(d, positions, *, engine, fund="Serenitas", **kwargs):
         .reset_index(["folder", "currency"])
     )
     df = df.rename(columns={"folder": "Strategy", "currency": "Currency"})
+    df_rates = load_csv(
+        "Rates",
+        fund,
+        d,
+        usecols=[
+            "COBDATE",
+            "CLEAREDTRADEID",
+            "FIXEDRATE",
+            "NPV",
+            "DIRECTION",
+            "NOTIONAL",
+            "EFFDATE",
+            "MATDATE",
+        ],
+        index_col=["CLEAREDTRADEID"],
+        parse_dates=["MATDATE", "EFFDATE"],
+    )
+    compare_notionals_rates(df_rates, positions_irs, "BAML")
+    positions_irs["Amount"] = df_rates.reindex(positions_irs.index)["NPV"]
+    positions_irs.folder.replace(STRATEGY_CASH_MAPPING, inplace=True)
+    df_rates = (
+        positions_irs.groupby(["folder", "currency"])
+        .agg({"Amount": "sum"})
+        .reset_index(["folder", "currency"])
+    )
+    df_rates = df_rates.rename(columns={"folder": "Strategy", "currency": "Currency"})
+
     col_names = [
         "Statement Date",
         "AT",
@@ -105,5 +141,11 @@ def collateral(d, positions, *, engine, fund="Serenitas", **kwargs):
             )
     except IntegrityError:
         pass
+    df = pd.concat([df, df_rates])
+    df = (
+        df.groupby(["Strategy", "Currency"])
+        .agg({"Amount": "sum"})
+        .reset_index(["Strategy", "Currency"])
+    )
     df["date"] = d
     return df.set_index("Strategy")