diff options
Diffstat (limited to 'python/collateral')
| -rw-r--r-- | python/collateral/baml_isda.py | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index 61740b83..b023fd66 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -1,4 +1,5 @@ from . import DAILY_DIR +from analytics.utils import get_fx from bs4 import BeautifulSoup from io import BytesIO from pandas.tseries.offsets import BDay @@ -133,6 +134,9 @@ def load_excel(fname): rows.append(r) i += 1 df = pd.DataFrame.from_records(rows, columns=headers) + if not df.empty: + df["fx"] = df[["Market Value Date", "Ccy1"]].apply(lambda x: get_fx(*x), axis=1) + df["Market Value Amount"] /= df["fx"] df = df.rename( columns={ "Contract ID ": "Trade ID", |