diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/baml_fcm.py | 11 | ||||
| -rw-r--r-- | python/collateral/wells.py | 11 |
2 files changed, 12 insertions, 10 deletions
diff --git a/python/collateral/baml_fcm.py b/python/collateral/baml_fcm.py index fa3e120e..8a175a51 100644 --- a/python/collateral/baml_fcm.py +++ b/python/collateral/baml_fcm.py @@ -51,7 +51,7 @@ def collateral(d, positions, engine): df = df[df.groupby(["security_id", "maturity"])["NOTIONAL"].sum() != 0.0] compare_notionals(df, positions, "BAML") positions["dirtyupfront"] = df.reindex(positions.index)["DIRTYUPFRONT"] - positions["amount"] = positions["notional"] * positions["dirtyupfront"] + positions["Amount"] = positions["notional"] * positions["dirtyupfront"] positions.folder = positions.folder.replace( { "HEDGE_MBS": "MBSCDSCSH", @@ -61,6 +61,7 @@ def collateral(d, positions, engine): "IGOPTDEL": "COCSH", "IGINX": "TCSH", "HYINX": "TCSH", + "XOINX": "TCSH", } ) @@ -72,11 +73,11 @@ def collateral(d, positions, engine): positions.folder = positions.apply(aux, axis=1) df = ( - positions.groupby("folder") - .agg({"amount": "sum", "currency": "first"}) - .reset_index("folder") + positions.groupby(["folder", "currency"]) + .agg({"Amount": "sum"}) + .reset_index(["folder", "currency"]) ) - df.columns = ["Strategy", "Amount", "Currency"] + df = df.rename(columns={"folder": "Strategy", "currency": "Currency"}) df_margin = pd.read_csv( DAILY_DIR / "BAML_reports" / f"OTC_Moneyline_{d:%Y%m%d}.CSV", usecols=["Statement Date", "AT CCY", "Initial Margin Requirement"], diff --git a/python/collateral/wells.py b/python/collateral/wells.py index 8ae1f532..3603bbe9 100644 --- a/python/collateral/wells.py +++ b/python/collateral/wells.py @@ -101,7 +101,7 @@ def collateral(d, positions, engine): df.index.names = ["security_id", "maturity"] compare_notionals(df, positions, "Wells") positions = positions.join(df, how="left") - positions["amount"] = positions["notional"] * positions["DIRTYUPFRONT"] + positions["Amount"] = positions["notional"] * positions["DIRTYUPFRONT"] positions.folder = positions.folder.replace( { "HEDGE_MBS": "MBSCDSCSH", @@ -111,6 +111,7 @@ def collateral(d, positions, engine): "IGOPTDEL": "COCSH", "IGINX": "TCSH", "HYINX": "TCSH", + "XOINX": "TCSH", } ) @@ -123,11 +124,11 @@ def collateral(d, positions, engine): positions.folder = positions.apply(aux, axis=1) df = ( - positions.groupby("folder") - .agg({"amount": "sum", "currency": "first"}) - .reset_index("folder") + positions.groupby(["folder", "currency"]) + .agg({"Amount": "sum"}) + .reset_index(["folder", "currency"]) ) - df.columns = ["Strategy", "Amount", "Currency"] + df = df.rename(columns={"folder": "Strategy", "currency": "Currency"}) df_margin = pd.read_csv( DAILY_DIR / "Wells_reports" |