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Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 95e35eec..157c1978 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -66,7 +66,7 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data params=(d, fund), ) df_swaptions = pd.read_sql_query( - "SELECT cpty_id, folder, initial_margin_percentage * notional / 100 AS IA " + "SELECT cpty_id, folder, initial_margin_percentage * abs(notional) / 100 AS IA " "FROM list_swaptions(%s::date, %s) ", engine, params=(d, fund), |