diff options
Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 1fd31d05..a210c5fb 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -92,7 +92,12 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data engine, params=(d, fund, d), ) - df = pd.concat([df_cds, df_swaptions, df_caps, df_forwards]) + df_trs = pd.read_sql_query( + "SELECT cpty_id, folder, initial_margin_percentage * notional/100 as IA from trs where cpty_id is NOT NULL and trade_date <= %s and fund=%s", + engine, + params=(d, fund), + ) + df = pd.concat([df_cds, df_swaptions, df_caps, df_forwards, df_trs]) df = df.replace({"folder": STRATEGY_CASH_MAPPING}) return df |