diff options
Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 6cd1dc7a..d27271f2 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -325,6 +325,7 @@ def wells_collateral(d): "BUY_SELL", "NOTIONAL", "MATURITY_DATE", + "TRADE_PRICE", ], parse_dates=["MATURITY_DATE"], index_col=["PAIR_CLIP", "MATURITY_DATE"], @@ -350,6 +351,8 @@ def wells_collateral(d): df["BUY_SELL"] = 1 df.loc[df.Fixed_Rate_Notional_Buy.isnull(), "BUY_SELL"] = 2 del df["Fixed_Rate_Notional_Buy"] + df = df[df.TRADE_PRICE != 0.0] + del df["TRADE_PRICE"] positions = pd.read_sql_query( "SELECT security_id, security_desc, maturity, " "folder, notional, currency " |