diff options
Diffstat (limited to 'python/collateral/wells.py')
| -rw-r--r-- | python/collateral/wells.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/collateral/wells.py b/python/collateral/wells.py index 64917c10..d8e59b6b 100644 --- a/python/collateral/wells.py +++ b/python/collateral/wells.py @@ -59,7 +59,7 @@ def collateral(d, positions, *, engine, fund="Serenitas", **kwargs): df["NOTIONAL"] = df.NOTIONAL.where(df.BUY_SELL == 1, -df.NOTIONAL).astype("float") df["DIRTYUPFRONT"] = df.MARKET_VALUE_NPV / df.NOTIONAL df.index.names = ["security_id", "maturity"] - compare_notionals(df, positions, "Wells") + compare_notionals(df, positions, "Wells", fund) positions = positions.join(df, how="left") positions["Amount"] = positions["notional"] * positions["DIRTYUPFRONT"] positions.folder = positions.folder.replace(STRATEGY_CASH_MAPPING) |