diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral/wells.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/collateral/wells.py b/python/collateral/wells.py index 95fbfe50..8ae1f532 100644 --- a/python/collateral/wells.py +++ b/python/collateral/wells.py @@ -102,7 +102,7 @@ def collateral(d, positions, engine): compare_notionals(df, positions, "Wells") positions = positions.join(df, how="left") positions["amount"] = positions["notional"] * positions["DIRTYUPFRONT"] - positions.folder = positions.folder.map( + positions.folder = positions.folder.replace( { "HEDGE_MBS": "MBSCDSCSH", "SER_ITRXCURVE": "SER_ITRXCVCSH", @@ -113,6 +113,15 @@ def collateral(d, positions, engine): "HYINX": "TCSH", } ) + + def aux(row): + if row.folder == "XCURVE": + return "SER_IGCVECSH" if row.currency == "USD" else "SER_ITRXCVCSH" + else: + return row.folder + + positions.folder = positions.apply(aux, axis=1) + df = ( positions.groupby("folder") .agg({"amount": "sum", "currency": "first"}) |