diff options
| -rw-r--r-- | python/collateral/__main__.py | 5 | ||||
| -rw-r--r-- | python/report_ops/sma.py | 2 | ||||
| -rw-r--r-- | sql/dawn.sql | 16 |
3 files changed, 21 insertions, 2 deletions
diff --git a/python/collateral/__main__.py b/python/collateral/__main__.py index e270dc58..2f985c62 100644 --- a/python/collateral/__main__.py +++ b/python/collateral/__main__.py @@ -134,7 +134,10 @@ for fund in funds: "SELECT maturity_date, (fixed_rate /100)::NUMERIC(4, 4) as fixed_rate, float_index, currency, roll_day, notional, folder " "FROM list_ir_positions(%s, %s) ", dawn_engine, - params=(fund_mapping[fund], workdate), + params=( + workdate, + fund_mapping[fund], + ), index_col=["maturity_date", "fixed_rate", "roll_day", "float_index"], parse_dates=["maturity_date"], ) diff --git a/python/report_ops/sma.py b/python/report_ops/sma.py index fd70ab04..cc720071 100644 --- a/python/report_ops/sma.py +++ b/python/report_ops/sma.py @@ -150,7 +150,7 @@ product_name_mapping = { "future": "Future", "tranche": "Credit Index Tranche", "cdx_swaption": "CD Swaption", - "irs": "IRS Swaption", + "irs": "Interest Rate Swap", "cdx": "Credit Index", } diff --git a/sql/dawn.sql b/sql/dawn.sql index 9e7570a1..e6d7cf8a 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1922,6 +1922,22 @@ AND fund=p_fund; END; $$ LANGUAGE plpgsql; +CREATE OR REPLACE FUNCTION list_ir_positions(p_date date, p_fund fund) + RETURNS TABLE(maturity_date date, fixed_rate double precision, fund fund, folder strategy, float_index cash_rate, currency currency, clearing_facility clearing_cp, roll_day roll_day, notional double precision) + LANGUAGE plpgsql +AS $function$ +BEGIN + RETURN QUERY SELECT i.maturity_date, i.fixed_rate, i.fund, i.folder, i.float_index, i.currency, i.clearing_facility, i.roll_day, + sum(CASE WHEN payreceive THEN i.notional ELSE -i.notional end) AS notional + FROM irs i + WHERE i.fund = $2 AND i.trade_date <= $1 + GROUP BY i.maturity_date, i.fixed_rate, i.fund, i.folder, i.float_index, i.currency, i.clearing_facility, i.roll_day + HAVING sum(CASE WHEN payreceive THEN i.notional ELSE -i.notional end) != 0; +END; +$function$ +; + + CREATE OR REPLACE function list_abscds_marks(p_date date, fund fund DEFAULT 'SERCGMAST'::fund) RETURNS TABLE(security_id varchar(12), cusip varchar(9), security_desc varchar(32), maturity date, notional float, factor float, fixed_rate float, clean_nav float, accrued float) AS $$ |