diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/common.py | 18 |
1 files changed, 17 insertions, 1 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index b19474db..b618321c 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -126,7 +126,23 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data engine, params=(d, fund), ) - df = pd.concat([df_cds, df_swaptions, df_caps, df_forwards, df_trs, df_options]) + df_terminations = pd.read_sql_query( + "SELECT cpty_id, folder, 0 as ia FROM termination_collateral_mapping " + "WHERE termination_date <= %s AND fund=%s", + engine, + params=(d, fund), + ) + df = pd.concat( + [ + df_cds, + df_swaptions, + df_caps, + df_forwards, + df_trs, + df_options, + df_terminations, + ] + ) df = df.replace({"folder": STRATEGY_CASH_MAPPING}) return df |