diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/baml_isda.py | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/python/collateral/baml_isda.py b/python/collateral/baml_isda.py index 619ce309..ac8db16a 100644 --- a/python/collateral/baml_isda.py +++ b/python/collateral/baml_isda.py @@ -132,6 +132,7 @@ def load_excel(fname): "Contract ID ": "Trade ID", "Market Value Amount": "MTM(USD)", "Trade Date ": "Trade Date", + "Cpty Independent Amount": "ia", } ) df["MTM(USD)"] *= -1.0 @@ -158,8 +159,13 @@ def collateral(d, dawn_trades, *args): except StopIteration: raise ValueError(f"no trade-level data for date {report_date}") df = load_excel(fname) - df = df[["Trade ID", "MTM(USD)"]] - df = df.merge(dawn_trades, how="left", left_on="Trade ID", right_on="cpty_id") + df = df[["Trade ID", "MTM(USD)", "ia"]] + df = df.merge( + dawn_trades.drop("ia", axis=1), + how="left", + left_on="Trade ID", + right_on="cpty_id", + ) missing_ids = df.loc[df.cpty_id.isnull(), "Trade ID"] if not missing_ids.empty: raise ValueError(f"{missing_ids.tolist()} not in the database") |