diff options
Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 11 |
1 files changed, 9 insertions, 2 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index d133bbec..ca8b6759 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -115,11 +115,18 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data params=(d, fund, d), ) 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", + "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_options = pd.read_sql_query( + "SELECT cpty_id, folder, initial_margin_percentage * quantity AS ia FROM equityoptions " + "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_options]) df = df.replace({"folder": STRATEGY_CASH_MAPPING}) return df |