diff options
Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index f6ad5ecb..56d2f9ec 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -79,7 +79,15 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data engine, params=(d, fund), ) - df = pd.concat([df_cds, df_swaptions, df_caps]) + df_forwards = pd.read_sql_query( + "SELECT cpty_id, folder, initial_margin_percentage * buy_amount / 100 AS IA " + "FROM spots " + "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 = df.replace({"folder": STRATEGY_CASH_MAPPING}) return df |