diff options
Diffstat (limited to 'python/collateral/common.py')
| -rw-r--r-- | python/collateral/common.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 3d07796b..6a7afdfe 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -52,29 +52,29 @@ def compare_notionals(df: pd.DataFrame, positions: pd.DataFrame, fcm: str) -> No ) -def get_dawn_trades(d: datetime.date, engine: Engine) -> pd.DataFrame: +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 " - "FROM list_cds(%s::date) " + "FROM list_cds(%s::date, %s) " "WHERE cpty_id IS NOT NULL", engine, - params=(d,), + params=(d, fund), ) df_swaptions = pd.read_sql_query( "SELECT cpty_id, folder, initial_margin_percentage * notional / 100 AS IA " "FROM swaptions " "WHERE cpty_id IS NOT NULL " - "AND trade_date <= %s", + "AND trade_date <= %s AND fund=%s", engine, - params=(d,), + params=(d, fund), ) df_caps = pd.read_sql_query( "SELECT cpty_id, folder, initial_margin_percentage * amount / 100 AS IA " "FROM capfloors " "WHERE cpty_id IS NOT NULL " - "AND trade_date <= %s", + "AND trade_date <= %s AND fund=%s", engine, - params=(d,), + params=(d, fund), ) df = pd.concat([df_cds, df_swaptions, df_caps]) df = df.replace({"folder": STRATEGY_CASH_MAPPING}) |