diff options
Diffstat (limited to 'python/collateral/citi.py')
| -rw-r--r-- | python/collateral/citi.py | 9 |
1 files changed, 6 insertions, 3 deletions
diff --git a/python/collateral/citi.py b/python/collateral/citi.py index 8ddc22d4..bac10750 100644 --- a/python/collateral/citi.py +++ b/python/collateral/citi.py @@ -59,15 +59,18 @@ def get_total_collateral(d): col2 = (top, bottom, 320, 530) col3 = (top, bottom, 530, 600) initial_margin = get_df(l, col1, col2, col3) + return ( - variation_margin.loc["VM Total Collateral", "amount"] - + initial_margin.loc["Non Reg IM Total Collateral", "amount"] + variation_margin.loc["VM Total Collateral", "amount"], + initial_margin.loc["Non Reg IM Total Collateral", "amount"], + -variation_margin.loc["Regulatory VM Requirement", "amount"], + -initial_margin.loc["Non Reg IM Requirement Due Customer", "amount"], ) def collateral(d, dawn_trades, **kwargs): df = load_file(next_business_day(d)) - collat = get_total_collateral(d) + collat = sum(get_total_collateral(d)[:2]) df = df[["Operations File", "Market Value", "BasicAmt"]].dropna( subset=["Operations File"] ) # missing Operations File means assignment usually |