diff options
| -rw-r--r-- | intex_deals_functions.R | 11 |
1 files changed, 8 insertions, 3 deletions
diff --git a/intex_deals_functions.R b/intex_deals_functions.R index 1931c1b8..a85b9f24 100644 --- a/intex_deals_functions.R +++ b/intex_deals_functions.R @@ -17,9 +17,10 @@ getcollateral <- function(dealname, date=Sys.Date()){ return(collatdata)
}
-getdealdata <- function(dealname, date=Sys.Date()){
- sqlstring <- sprintf("select * from clo_universe where dealname='%s' order by \"Latest Update\"", dealname)
- return( dbGetQuery(dbCon, sqlstring)[1,] )
+getdealdata <- function(dealnames){
+ sqlstring <- sprintf("select * from latest_clo_universe where dealname in ('%s')",
+ paste(dealnames, collapse="','"))
+ return( dbGetQuery(dbCon, sqlstring) )
}
recovery <- function(collateral) {
@@ -52,6 +53,10 @@ dealnamefromcusip <- function(cusips){ return( r )
}
+cusipsfromdealnames <- function(dealnames){
+ unlist(strsplit(getdealdata(dealnames)$"Deal Cusip List", ","))
+}
+
fithazardrate.fast <- function(collateral, eps=1e-6){
lambda <- 0.05
cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
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