diff options
Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 08e34047..7261a216 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -227,7 +227,8 @@ def baml_collateral(d): 'SER_IGCURVE': 'SER_IGCVECSH', 'HYOPTDEL': 'COCSH', 'IGOPTDEL': 'COCSH', - 'IGINX': 'TCSH'}) + 'IGINX': 'TCSH', + 'HYINX': 'TCSH'}) df = (positions. groupby('folder'). agg({'amount': 'sum', 'currency': 'first'}). @@ -445,8 +446,8 @@ def gs_collateral(d, dawn_trades): def citi_collateral(d, dawn_trades): df = load_citi_file(d) collateral = get_citi_collateral(d - BDay()) - df = df[['Trade ID', 'Market Value', 'BasicAmt']] - df = df.merge(dawn_trades, how='left', left_on='Trade ID', right_on='cpty_id') + df = df[['Operations File', 'Market Value', 'BasicAmt']] + df = df.merge(dawn_trades, how='left', left_on='Operations File', right_on='cpty_id') df = df.groupby('folder').sum() df = df.sum(axis=1).to_frame(name='Amount') df['Currency'] = 'USD' |