diff options
| -rw-r--r-- | R/mlpdb.R | 18 |
1 files changed, 11 insertions, 7 deletions
@@ -50,16 +50,20 @@ indexsplit <- function(indexname){ } get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ - sqlstr <- paste("select * from tranche_quotes where index='%s'", - "and series=%s and quotedate::date='%s' and tenor = '%s'", - "and quotesource='MKIT' order by attach asc") + sqlstr <- paste("select distinct quotesource, quotedate from tranche_quotes", + "where index='%s' and series=%s and quotedate::date='%s'", + "and tenor = '%s' order by quotedate desc") temp <- indexsplit(indexname) r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor)) - if(nrow(r)==0){ + + if(nrow(r)>0){ sqlstr <- paste("select * from tranche_quotes where index='%s'", - "and series=%s and quotedate::date='%s' and tenor = '%s'", - "order by attach asc") - r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor)) + "and series=%s and tenor = '%s' and quotedate='%s'", + "and detach-attach!=5 and quotesource='%s' order by attach asc") + r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, tenor, + r$quotedate, r$quotesource)) + }else{ + stop("no quotes for that day") } return( r ) } |