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Diffstat (limited to 'python/collateral_calc.py')
| -rw-r--r-- | python/collateral_calc.py | 1 |
1 files changed, 1 insertions, 0 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index af9846e3..dd8327c2 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -153,6 +153,7 @@ def baml_collateral(d): positions = positions.reset_index(['tenor']).set_index(['PERIOD'], append=True) df['DIRTYUPFRONT'] = (df.MTM + df.ACCRUEDCPN ) / df.NOTIONAL df['DIRTYUPFRONT'] = df.DIRTYUPFRONT.where(df.BUYSELL == 'Sell', -df.DIRTYUPFRONT) + df = df.groupby(level=[0, 1]).first() positions['dirtyupfront'] = df.loc[positions.index, 'DIRTYUPFRONT'] positions['amount'] = positions['notional'] * positions['dirtyupfront'] df = (positions. |