diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/baml_isda.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index 128312b4..d0b67e61 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -135,12 +135,13 @@ def load_excel(fname): df = df.rename( columns={ "Contract ID ": "Trade ID", - "Market Value Amount": "MTM(USD)", + "Market Value Amount": "local_nav", + "Market Value Amount in CA Ccy": "base_nav", "Trade Date ": "Trade Date", "Cpty Independent Amount": "ia", } ) - df["MTM(USD)"] *= -1.0 + df[["local_nav", "base_nav"]] *= -1.0 return df @@ -165,7 +166,7 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): except StopIteration: raise ValueError(f"no trade-level data for date {report_date}") df = load_excel(fname) - df = df[["Trade ID", "MTM(USD)", "ia"]] + df = df[["Trade ID", "base_nav", "ia"]] df = df.merge( dawn_trades.drop("ia", axis=1), how="left", |