diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/baml_fcm.py | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/python/collateral/baml_fcm.py b/python/collateral/baml_fcm.py index fc3861d9..fa3e120e 100644 --- a/python/collateral/baml_fcm.py +++ b/python/collateral/baml_fcm.py @@ -52,7 +52,7 @@ def collateral(d, positions, engine): compare_notionals(df, positions, "BAML") positions["dirtyupfront"] = df.reindex(positions.index)["DIRTYUPFRONT"] positions["amount"] = positions["notional"] * positions["dirtyupfront"] - positions.folder = positions.folder.map( + positions.folder = positions.folder.replace( { "HEDGE_MBS": "MBSCDSCSH", "SER_ITRXCURVE": "SER_ITRXCVCSH", @@ -63,6 +63,14 @@ def collateral(d, positions, engine): "HYINX": "TCSH", } ) + + def aux(row): + if row.folder == "XCURVE": + return "SER_IGCVECSH" if row.currency == "USD" else "SER_ITRXCVCSH" + else: + return row.folder + + positions.folder = positions.apply(aux, axis=1) df = ( positions.groupby("folder") .agg({"amount": "sum", "currency": "first"}) |