diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/gs.py | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/python/collateral/gs.py b/python/collateral/gs.py index a57b4e5d..b4889677 100644 --- a/python/collateral/gs.py +++ b/python/collateral/gs.py @@ -1,6 +1,9 @@ +import logging import pandas as pd from . import DAILY_DIR +logger = logging.getLogger(__name__) + paths = { "Serenitas": ["NYops", "Margin calls"], "Brinker": ["NYops", "Margin Calls GS-Brinker"], @@ -37,17 +40,16 @@ def collateral(d, dawn_trades, *, fund="Serenitas", **kwargs): collateral = df.Quantity.sum() df = load_file(d, fund, "Trade_Detail") df = df.dropna(subset=["GS Entity"]) - df = df[df["Notional (USD)"] != 0.0] df = df[["Trade Id", "Transaction Type", "NPV (USD)", "Initial Margin Required"]] df = df.merge(dawn_trades, how="left", left_on="Trade Id", right_on="cpty_id") missing_ids = df.loc[df.cpty_id.isnull(), "Trade Id"] missing_ids = missing_ids[~missing_ids.str.startswith("FX")] if not missing_ids.empty: - raise ValueError(f"{missing_ids.tolist()} not in the database") + logger.error(f"{missing_ids.tolist()} not in the database") # we allocate all the FX collateral to tranches df.loc[df["Transaction Type"] == "FX", "folder"] = "TCSH" df = df[["folder", "NPV (USD)", "Initial Margin Required"]] - df = df.groupby("folder").sum() + df = df.groupby("folder", dropna=False).sum() df = df.sum(axis=1).to_frame(name="Amount") df["Currency"] = "USD" df = df.reset_index() |