diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/gs_fcm.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index bce43510..1ffdc8f9 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -46,7 +46,9 @@ def collateral(d: datetime.date, positions, *, engine, **kwargs): ].sum() df = df.rename(columns={"Notional": "NOTIONAL"}) compare_notionals(df, positions, "GS") - positions["Amount"] = df.reindex(positions.index)["NPV (local)"] + df["dirty_upfront"] = df["NPV (local)"] / df.NOTIONAL + positions["dirty_upfront"] = df.reindex(positions.index)["dirty_upfront"] + positions["Amount"] = positions["notional"] * positions["dirty_upfront"] positions.folder = positions.folder.replace(STRATEGY_CASH_MAPPING) def aux(row): |