diff options
Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index dd8327c2..d8981377 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -299,11 +299,13 @@ def gs_collateral(d): # TODO: need to break down SWO_CDIXOP between IG and HY df.Strategy = df.Strategy.replace({'SWAP_CDINDT': 'IGTCDSCSH', 'GENERIC_IRSIRD': 'IRDEVCSH', - 'SWO_CDIXOP': 'IGCDSCSH'}) + 'SWO_CDIXOP': 'IGCDSCSH', + 'FX': 'M_CSH_CASH'}) df.Amount *= -1 df = df.append({'Strategy': "M_CSH_CASH", 'Amount': -collateral - df.Amount.sum(), 'Currency': "USD"}, ignore_index=True) + df = df.groupby('Strategy').agg({'Amount': 'sum', 'Currency': 'first'}) return df |