diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/common.py | 2 | ||||
| -rw-r--r-- | python/collateral/cs.py | 2 |
2 files changed, 2 insertions, 2 deletions
diff --git a/python/collateral/common.py b/python/collateral/common.py index 95e35eec..157c1978 100644 --- a/python/collateral/common.py +++ b/python/collateral/common.py @@ -66,7 +66,7 @@ def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.Data params=(d, fund), ) df_swaptions = pd.read_sql_query( - "SELECT cpty_id, folder, initial_margin_percentage * notional / 100 AS IA " + "SELECT cpty_id, folder, initial_margin_percentage * abs(notional) / 100 AS IA " "FROM list_swaptions(%s::date, %s) ", engine, params=(d, fund), diff --git a/python/collateral/cs.py b/python/collateral/cs.py index e6dfe244..78d77081 100644 --- a/python/collateral/cs.py +++ b/python/collateral/cs.py @@ -52,7 +52,7 @@ def get_collateral(d: datetime.date, fund): "Serenitas": "SerenitasCGMF", "BowdSt": "BostonBPStLLC", } - for collat_type in ("RVM", "IM"): + for collat_type in ("RVM", "IM", "FXIM"): pdf_file = ( DATA_DIR / f"CollateralCptyStatement161{full_name[fund]}{collat_type}_{d:%m%d%Y}.pdf" |