diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral_calc.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 885b29ee..e86c5786 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -180,7 +180,7 @@ def baml_collateral(d): 'SER_IGCURVE': 'SER_IGCVECSH', 'HYOPTDEL': 'HYCDSCSH', 'IGOPTDEL': 'IGCDSCSH', - 'SER_IGINX': 'IGTCDSCSH'}) + 'SER_IGINX': 'TCDSCSH'}) df_margin = pd.read_csv(DAILY_DIR / "BAML_reports" / f"OTC_Moneyline_{d:%Y%m%d}.CSV", usecols=['Statement Date', 'AT CCY', 'Initial Margin Requirement'], @@ -316,10 +316,11 @@ def get_dawn_trades(): 'STEEP': 'IRDEVCSH', 'FLAT': 'IRDEVCSH', 'MBSCDS': 'MBSCDSCSH', - 'SER_IGMEZ': 'IGTCDSCSH', - 'SER_IGSNR': 'IGTCDSCSH', - 'SER_IGEQY': 'IGTCDSCSH', - 'SER_HYMEZ': 'HYTCDSCSH'}}) + 'IGMEZ': 'TCDSCSH', + 'IGSNR': 'TCDSCSH', + 'IGEQY': 'TCDSCSH', + 'HYMEZ': 'TCDSCSH', + 'BSPK': 'TCDSCSH'}}) return df def gs_collateral(d, dawn_trades): |