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 6f9bb047..6f21f234 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -151,7 +151,7 @@ def baml_collateral(d): positions = positions.set_index('tenor', append=True) positions['PERIOD'] = df_helper.loc[positions.index] positions = positions.reset_index(['tenor']).set_index(['PERIOD'], append=True) - df['DIRTYUPFRONT'] = df.VARMARGIN / df.NOTIONAL + df['DIRTYUPFRONT'] = (df.MTM + df.ACCRUEDCPN ) / df.NOTIONAL df['DIRTYUPFRONT'] = df.DIRTYUPFRONT.where(df.BUYSELL == 'Sell', -df.DIRTYUPFRONT) positions['dirtyupfront'] = df.loc[positions.index, 'DIRTYUPFRONT'] positions['amount'] = positions['notional'] * positions['dirtyupfront'] |