diff options
Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 00b8c8e2..747ffb43 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -57,6 +57,23 @@ def compare_notionals(df: pd.DataFrame, positions: pd.DataFrame, fcm: str) -> No ) +def compare_notionals_rates( + df: pd.DataFrame, positions: pd.DataFrame, fcm: str +) -> None: + check_notionals = positions.join(df["NOTIONAL"], how="left") + diff_notionals = check_notionals[ + (check_notionals.notional != check_notionals.NOTIONAL) + & (check_notionals.notional != 0.0) + ] + if not diff_notionals.empty: + + logger.error(f"Database and {fcm} FCM know different notionals") + for t in diff_notionals.itertuples(): + logger.error( + f"{t.Index[0]}\t{t.Index[1]:%Y-%m-%d}\t{t.notional}\t{t.NOTIONAL}" + ) + + def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.DataFrame: df_cds = pd.read_sql_query( "SELECT cpty_id, folder, initial_margin_percentage * abs(notional) / 100 as IA " |