diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/collateral_calc.py | 10 |
1 files changed, 2 insertions, 8 deletions
diff --git a/python/collateral_calc.py b/python/collateral_calc.py index 03418b52..8750d8b1 100644 --- a/python/collateral_calc.py +++ b/python/collateral_calc.py @@ -170,7 +170,7 @@ def baml_collateral(d): positions['PERIOD'] = df_helper.loc[positions.index] positions = positions.reset_index(['tenor']).set_index(['PERIOD'], append=True) df['DIRTYUPFRONT'] = (df.MTM + df.ACCRUEDCPN ) / df.NOTIONAL - df['DIRTYUPFRONT'] = df.DIRTYUPFRONT.where(df.BUYSELL == 'Sell', -df.DIRTYUPFRONT) + df['DIRTYUPFRONT'] = df.DIRTYUPFRONT.where(df.BUYSELL == 'Buy', -df.DIRTYUPFRONT) df = df.groupby(level=[0, 1]).first() positions['dirtyupfront'] = df.loc[positions.index, 'DIRTYUPFRONT'] positions['amount'] = positions['notional'] * positions['dirtyupfront'] @@ -179,7 +179,7 @@ def baml_collateral(d): 'SER_IGCURVE': 'SER_IGCVECSH', 'HYOPTDEL': 'COCSH', 'IGOPTDEL': 'COCSH', - 'SER_IGINX': 'TCSH'}) + 'IGINX': 'TCSH'}) df = (positions. groupby('folder'). agg({'amount': 'sum', 'currency': 'first'}). @@ -278,12 +278,6 @@ def ms_collateral(d, dawn_trades): collat = float(collat) df = pd.read_excel(DAILY_DIR / "MS_reports" / f"Trade_Detail_{d:%Y%m%d}.xls") df = df.merge(dawn_trades, how='left', left_on='trade_id', right_on='cpty_id') - # d = {'TRCDX': 'IGTCDSCSH', - # 'ABINT': 'MBSCDSCSH', - # 'ACSWN': 'IRDEVCSH', - # 'ABOPB': 'HYCDSCSH', - # 'ACUSD': 'IRDEVCSH'} - # df.trade_book = df.trade_book.replace(d) df = df.groupby('folder')[["collat_req_in_agr_ccy"]].sum() df['Currency'] = "USD" df = df.reset_index() |