diff options
Diffstat (limited to 'python/collateral/gs_fcm.py')
| -rw-r--r-- | python/collateral/gs_fcm.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index 1ffdc8f9..11385e96 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -23,7 +23,7 @@ def get_filename(d: datetime.date, name: str): return fname -def collateral(d: datetime.date, positions, *, engine, **kwargs): +def collateral(d: datetime.date, positions, *, engine, fund, **kwargs): df = pd.read_csv( get_filename(d + datetime.timedelta(days=1), "Open_Trades_Redcode"), usecols=[ @@ -45,7 +45,7 @@ def collateral(d: datetime.date, positions, *, engine, **kwargs): ["Notional", "NPV (local)"] ].sum() df = df.rename(columns={"Notional": "NOTIONAL"}) - compare_notionals(df, positions, "GS") + compare_notionals(df, positions, "GS", fund) df["dirty_upfront"] = df["NPV (local)"] / df.NOTIONAL positions["dirty_upfront"] = df.reindex(positions.index)["dirty_upfront"] positions["Amount"] = positions["notional"] * positions["dirty_upfront"] |