diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral_calc.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index f82fc613..3936c116 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -221,7 +221,7 @@ def baml_collateral(d): df['DIRTYUPFRONT'] = (df.MTM + df.ACCRUEDCPN ) / df.NOTIONAL df['DIRTYUPFRONT'] = df.DIRTYUPFRONT.where(df.BUYSELL == 'Buy', -df.DIRTYUPFRONT) df = df.groupby(level=[0, 1]).first() - positions['dirtyupfront'] = df.loc[positions.index, 'DIRTYUPFRONT'] + positions["dirtyupfront"] = df.reindex(positions.index)["DIRTYUPFRONT"] positions['amount'] = positions['notional'] * positions['dirtyupfront'] positions.folder = positions.folder.map({'HEDGE_MBS': 'MBSCDSCSH', 'SER_ITRXCURVE': 'SER_ITRXCVCSH', |