diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral_calc.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 69e96c35..496af854 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -123,14 +123,16 @@ def sg_collateral(d): def ms_collateral(d): df = pd.read_excel(DAILY_DIR / "MS_reports" / f"{d:%Y%m%d}.xls" ) d = {'TRCDX': 'IGTCDSCSH', - 'ABINT': 'MBSCDSCSH'} + 'ABINT': 'MBSCDSCSH', + 'ACSWN': 'IRDEVCSH', + 'ABOPB': 'HYCDSCSH'} r = [] acc = 0 for k, v in d.items(): amount = df.loc[df.trade_book == k, "collat_req_in_agr_ccy"].sum() r.append((v, amount, "USD")) acc += amount - r.append(["M_CSH_CASH", -6_810_000 - acc, "USD"]) + r.append(["M_CSH_CASH", -7_490_000 - acc, "USD"]) return pd.DataFrame.from_records(r, columns=['Strategy', 'Amount', 'Currency']) |