diff options
| -rw-r--r-- | R/new_index_series.R | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/R/new_index_series.R b/R/new_index_series.R index 238a7f90..1f87fbc5 100644 --- a/R/new_index_series.R +++ b/R/new_index_series.R @@ -19,16 +19,19 @@ bbgname <- function(indextype, series, tenor="5Y"){ return( sprintf("%s %s CDSI S%s %s Corp", indexname, indextype, series, tenor) ) } -newbasketID <- function(indextype='IG', series, version=1, mat_5yr, coupon){ +newbasketID <- function(indextype='IG', series, version=1, mat_5yr, coupon, red){ sqlstr <- paste0("INSERT INTO index_version", "(index, series, version, indexfactor, cumulativeloss, lastdate, redindexcode) ", "VALUES($1, $2, $3, 100, 0, 'infinity', $4) RETURNING basketid") - red <- bdp(bbgname(indextype, series), "CDS_RED_PAIR_CODE")$CDS_RED_PAIR_CODE + if(missing(red)) { + red <- bdp(bbgname(indextype, series), "CDS_RED_PAIR_CODE")$CDS_RED_PAIR_CODE + } basketid <- as.integer(dbGetQuery(serenitasdb, sqlstr, params=list(indextype, series, version, red))$basketid) maturity <- mat_5yr + lubridate::years(c(-2, 0, 2 ,5)) tenor <- c("3yr", "5yr", "7yr", "10yr") sqlstr <- "INSERT INTO index_maturity VALUES($1, $2, $3, $4, $5)" + ## TODO: add issue date for(i in seq_along(tenor)){ r <- dbSendQuery(serenitasdb, sqlstr, params=list(indextype, series, tenor[i], maturity[i], coupon)) |