diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/gs_fcm.py | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/python/collateral/gs_fcm.py b/python/collateral/gs_fcm.py index 983ed1d3..97b1b145 100644 --- a/python/collateral/gs_fcm.py +++ b/python/collateral/gs_fcm.py @@ -62,6 +62,7 @@ def collateral(d: datetime.date, positions, *, engine, fund, positions_irs, **kw if row["Direction"] == "Receive" else float(row["Pay Leg Rate/Index"]), axis=1, + result_type="reduce", ) _rate_index_mapping = {"1Y-USD-SOFR-COMPOUND": "SOFRRATE"} df_rates["float_index"] = df_rates.apply( @@ -69,6 +70,7 @@ def collateral(d: datetime.date, positions, *, engine, fund, positions_irs, **kw if row["Direction"] == "Pay" else _rate_index_mapping[row["Pay Leg Rate/Index"]], axis=1, + result_type="reduce", ) # Going to fix roll day at IMM for now until we have the column updated df_rates["roll_day"] = "IMM" |