diff options
| -rw-r--r-- | sql/dawn.sql | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 23508abe..5707d0a7 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1663,9 +1663,9 @@ CREATE OR REPLACE VIEW globeop_tranche_risk AS SELECT date, tranche_id as trade_id, security_desc, index, series, maturity, orig_attach, orig_detach, CASE protection WHEN 'Buyer' THEN notional ELSE -notional END AS notional, endqty as globeop_notional, - clean_nav as serenitas_clean_nav, + clean_nav * coalesce(fx, 1.) as serenitas_clean_nav, globeop_clean_nav, - accrued as serenitas_accrued, globeop_accrued, + accrued * coalesce(fx, 1.) as serenitas_accrued, globeop_accrued, duration, delta, gamma, theta, tranche_factor, tranche_risk.corr_attach, tranche_risk.corr_detach, tranche_risk.upfront, tranche_risk.running, @@ -1679,6 +1679,7 @@ LEFT JOIN (SELECT invid, periodenddate, FROM valuation_reports GROUP BY invid, periodenddate) a ON (invid=globeop_id AND periodenddate=date) LEFT JOIN index_version ON (security_id=redindexcode) +LEFT JOIN (SELECT date, 'EUR'::currency AS currency, eurusd AS fx FROM fx) fx USING (date, currency) ORDER BY index, series, orig_attach; |