diff options
Diffstat (limited to 'python/collateral/ms.py')
| -rw-r--r-- | python/collateral/ms.py | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/python/collateral/ms.py b/python/collateral/ms.py index e92be447..794c4e02 100644 --- a/python/collateral/ms.py +++ b/python/collateral/ms.py @@ -1,6 +1,7 @@ import pandas as pd from . import DAILY_DIR from exchangelib import FileAttachment +from serenitas.analytics.utils import get_fx paths = { "Serenitas": ["NYops", "Margin calls MS"], @@ -55,6 +56,11 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): df_fx = pd.read_excel( DAILY_DIR / fund / "MS_reports" / f"Trade_Detail_FX_{d:%Y%m%d}.xls" ) + net_fx_exposure = ( + df_fx.loc[df_fx.buy_ccy == "EUR", "amt_buy_ccy"].sum() + - df_fx.loc[df_fx.sell_ccy == "EUR", "amt_sell_ccy"].sum() + ) + fx_ia = net_fx_exposure * 0.05 * get_fx(d, "EUR") df = pd.concat([df, df_fx]) # df = df.dropna(subset=["trade_ccy"]) df = df.merge(dawn_trades, how="left", left_on="trade_id", right_on="cpty_id") @@ -65,6 +71,7 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): df["Currency"] = "USD" df = df.reset_index() df.columns = ["Strategy", "Amount", "Currency"] + df.loc[df.Strategy == "TCSH", "Amount"] -= fx_ia df = df.append( { "Strategy": "M_CSH_CASH", |