diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/gs_fcm.py | 21 |
1 files changed, 17 insertions, 4 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index 851d8618..33d25bfd 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -36,16 +36,29 @@ def collateral(d: datetime.date, positions, *, engine, fund, positions_irs, **kw "Instrument", "CCP Trade ID", "Pay Notional", + "Pay Leg Rate/Index", + "Receive Leg Rate/Index", ], parse_dates=["COB Date", "Maturity Date"], index_col=["Red Code", "Maturity Date"], thousands=",", ) - df_rates = ( - df[df["Instrument"] == "IRS"] - .drop(["Instrument", "Notional"], axis=1) - .set_index("CCP Trade ID") + df_rates = df[df["Instrument"] == "IRS"].drop(["Instrument", "Notional"], axis=1) + df_rates = df_rates.reset_index() + df_rates.loc[df_rates["Direction"] == "Receive", "Pay Notional"] *= -1 + df_rates["fixed_rate"] = df_rates.apply( + lambda row: row["Receive Leg Rate/Index"] + if row["Direction"] == "Receive" + else row["Pay Leg Rate/Index"], + axis=1, ) + # Going to fix roll day at IMM for now until we have the column updated + df_rates["roll_day"] = "IMM" + df_rates = df_rates.rename(columns={"Pay Notional": "NOTIONAL"}) + df_rates = df_rates.groupby(by=["Maturity Date", "fixed_rate", "roll_day"])[ + ["NOTIONAL", "NPV (local)"] + ].sum() + df_rates.index.names = ["maturity_date", "fixed_rate", "roll_day"] df = df[df["Instrument"] == "CDS"].drop( ["Instrument", "CCP Trade ID", "Pay Notional"], axis=1 ) |