diff options
Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 30 |
1 files changed, 15 insertions, 15 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index e86c5786..d2283910 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -170,17 +170,17 @@ def baml_collateral(d): df = df.groupby(level=[0, 1]).first() positions['dirtyupfront'] = df.loc[positions.index, 'DIRTYUPFRONT'] positions['amount'] = positions['notional'] * positions['dirtyupfront'] + positions.folder = positions.folder.map({'HEDGE_MBS': 'MBSCDSCSH', + 'SER_ITRXCURVE': 'SER_ITRXCVCSH', + 'SER_IGCURVE': 'SER_IGCVECSH', + 'HYOPTDEL': 'COCSH', + 'IGOPTDEL': 'COCSH', + 'SER_IGINX': 'TCSH'}) df = (positions. groupby('folder'). agg({'amount': 'sum', 'currency': 'first'}). reset_index('folder')) df.columns = ['Strategy', 'Amount', 'Currency'] - df.Strategy = df.Strategy.map({'HEDGE_MBS': 'MBSCDSCSH', - 'SER_ITRXCURVE': 'SER_ITRXCVCSH', - 'SER_IGCURVE': 'SER_IGCVECSH', - 'HYOPTDEL': 'HYCDSCSH', - 'IGOPTDEL': 'IGCDSCSH', - 'SER_IGINX': 'TCDSCSH'}) 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'], @@ -309,18 +309,18 @@ def get_dawn_trades(): df_caps = pd.read_sql_query("SELECT cpty_id, folder FROM capfloors " "WHERE cpty_id IS NOT NULL", dawn_engine) df = pd.concat([df_cds, df_swaptions, df_caps]) - df = df.replace({"folder": {'IGREC': 'IGCDSCSH', - 'IGPAYER': 'IGCDSCSH', - 'HYPAYER': 'HYCDSCSH', - 'HYREC': 'HYCDSCSH', + df = df.replace({"folder": {'IGREC': 'COCSH', + 'IGPAYER': 'COCSH', + 'HYPAYER': 'COCSH', + 'HYREC': 'COCSH', 'STEEP': 'IRDEVCSH', 'FLAT': 'IRDEVCSH', 'MBSCDS': 'MBSCDSCSH', - 'IGMEZ': 'TCDSCSH', - 'IGSNR': 'TCDSCSH', - 'IGEQY': 'TCDSCSH', - 'HYMEZ': 'TCDSCSH', - 'BSPK': 'TCDSCSH'}}) + 'IGMEZ': 'TCSH', + 'IGSNR': 'TCSH', + 'IGEQY': 'TCSH', + 'HYMEZ': 'TCSH', + 'BSPK': 'TCSH'}}) return df def gs_collateral(d, dawn_trades): |