diff options
| -rw-r--r-- | R/new_index_series.R | 12 |
1 files changed, 5 insertions, 7 deletions
diff --git a/R/new_index_series.R b/R/new_index_series.R index afe8d132..b2628c5a 100644 --- a/R/new_index_series.R +++ b/R/new_index_series.R @@ -1,7 +1,7 @@ library(Rblpapi) source("serenitasdb.R") -bbgConn <- blpConnect(host='192.168.1.108') +blpConnect(host='192.168.1.108') ## This script helps adding the necessary data for a new index series @@ -23,7 +23,7 @@ newbasketID <- function(indextype='IG', series, version=1, mat_5yr, coupon){ sqlstr <- paste0("INSERT INTO index_version", "(index, series, version, indexfactor, cumulativeloss, lastdate, redindexcode) ", "VALUES($1, $2, $3, 100, 0, 'infinity', $4) RETURNING basketid") - red <- bdp(bbgConn, bbgname("XO", 23), "CDS_RED_PAIR_CODE")$CDS_RED_PAIR_CODE + 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)) @@ -40,11 +40,11 @@ newbasketID <- function(indextype='IG', series, version=1, mat_5yr, coupon){ } newcurves <- function(indextype, series, basketid){ - index <- bds(bbgConn, bbgname(indextype, series), "INDX_MEMBERS") + index <- bds(bbgname(indextype, series), "INDX_MEMBERS") tickers <- index[,5] cds.fields <- c("cds_company_id", "cds_restructuring_type", "cds_corp_tkr", "sw_seniority") - df <- bdp(bbgConn, paste(tickers, "Corp"), cds.fields) + df <- bdp(paste(tickers, "Corp"), cds.fields) df <- cbind(tickers, df) prep.data <- with(df, data.frame(Name=index[,1], company_id=cds_company_id, ticker=cds_corp_tkr, currency=index[,3], @@ -58,7 +58,7 @@ newcurves <- function(indextype, series, basketid){ for(ticker in prep.data$curve_ticker){ cdscurves <- rbind(cdscurves, data.frame(ticker=ticker, - bds(bbgConn, paste(ticker, "Curncy"), "CDS_CURVE_INFO"))) + bds(paste(ticker, "Curncy"), "CDS_CURVE_INFO"))) } prep.data$cds_curve <- aggregate(Ticker~ticker, data=cdscurves, FUN=sqlArray)$Ticker @@ -108,5 +108,3 @@ markit.mappings <- function(df){ } }) } - -blpDisconnect(bbgConn) |