diff options
| -rw-r--r-- | sql/dawn.sql | 39 |
1 files changed, 38 insertions, 1 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 50775091..de38b3a4 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -2,6 +2,9 @@ CREATE TYPE bond_strat AS ENUM('M_STR_MAV', 'M_STR_SMEZZ', 'CSO_TRANCH', 'M_CLO_BB20', 'M_CLO_AAA', 'M_CLO_BBB', 'M_MTG_IO', 'M_MTG_THRU', 'M_MTG_GOOD', 'M_MTG_B4PR', 'M_MTG_RW'); +CREATE TYPE cds_strat AS ENUM('HEDGE_CSO', 'HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS', + 'SER_IGSNR', 'SER_IGMEZ', 'SER_IGEQY', 'SER_IGINX', 'SER_HYSNR', + 'SER_HYMEZ', 'SER_HYEQY', 'SER_HYINX', 'SER_IGCURVE', 'MBSCDS'); CREATE TYPE asset_class AS ENUM('CSO', 'Subprime', 'CLO', 'Tranches', 'Futures', 'Cash', 'FX', 'Cleared'); @@ -9,7 +12,11 @@ CREATE TYPE action AS ENUM('NEW', 'UPDATE', 'CANCEL'); CREATE TYPE currency AS ENUM('USD', 'CAD', 'EUR', 'YEN'); CREATE TYPE bbg_type AS ENUM('Mtge', 'Corp'); CREATE type day_count AS ENUM('ACT/360', 'ACT/ACT', '30/360', 'ACT/365'); -CREATE type index_type AS ENUM('IG', 'HY', 'EU'); +CREATE type bus_day_convention AS ENUM('Modified Following', 'Following', 'Modified Preceding', 'Preceding', + 'Second-Day-After', 'End-of-Month'); +CREATE type index_type AS ENUM('IG', 'HY', 'EU', 'XO', 'LCDX'); +CREATE TYPE swap_type AS ENUM('CD_INDEX', 'CD_INDEX_TRANCHE', 'CD_BASKET_TRANCHE', 'ABS_CDS'); +CREATE type isda AS ENUM('ISDA2014', 'ISDA2003Cred'); CREATE TABLE counterparties(code varchar(12) primary key, name text, @@ -55,6 +62,36 @@ CREATE TABLE bonds(id serial primary key, principal_payment float, accrued_payment float); +CREATE TABLE cds(is serial primary key, + dealid varchar(28), + lastupdate timestamp, + action action, + folder cds_strat, + custodian varchar(12), + cashaccount varchar(10), + cp_code varchar(12), + trade_date date, + effective_date date, + maturity date, + currency currency, + payment_rolldate bus_day_convention, + notional float, + fixed_rate float, + day_count day_count, + frequency samllint, + protection protection, + security_id varchar(12), + security_desc varchar(32), + upfront float, + upfront_settle_date date, + swap_type swap_type, + attach smallint, + detach smallint, + clearing_facility varchar(12), + isda_definition isda); + + + CREATE TABLE securities(identifier varchar(12) PRIMARY KEY, cusip varchar(9), isin varchar(12), |