diff options
| -rw-r--r-- | R/build_cds_database.R | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/R/build_cds_database.R b/R/build_cds_database.R index 2d9e30e9..95696e4e 100644 --- a/R/build_cds_database.R +++ b/R/build_cds_database.R @@ -21,10 +21,10 @@ newbasketID <- function(series, offset){ } } -ig.indices <- c("19", "21", "22") -igpattern <- "CDXIG5%s Curncy" -hy.indices <- c("15", "17", "19", "21", "22") -hypattern <- "CDXHY5%s Curncy" +ig.indices <- c("9", "19", "21", "22") +igpattern <- "CDX IG CDSI S%s 7Y Corp" +hy.indices <- c("10", "15", "17", "19", "21", "22") +hypattern <- "CDX HY CDSI S%s 7Y PRC Corp" itraxx.indices <- c("19", "20", "21") itraxxpattern <- "ITXEB5%s Curncy" @@ -34,7 +34,6 @@ itraxxpattern <- "ITXEB5%s Curncy" for(index in ig.indices){ assign(paste0("IG", index), bds(bbgConn, sprintf(igpattern, index), "INDX_MEMBERS")) } -assign("IG9", bds(bbgConn, "IBOXUG09 Curncy", "INDX_MEMBERS")) for(index in hy.indices){ assign(paste0("HY", index), bds(bbgConn, sprintf(hypattern, index), "INDX_MEMBERS")) @@ -52,6 +51,7 @@ for(index in all.indices){ } tickers <- unique(all.names[,5]) +tickers <- tickers[-which(tickers=="")] data <- bdp(bbgConn, paste(tickers, "Corp"), c("cds_company_id", "cds_restructuring_type", "cds_corp_tkr")) data <- cbind(tickers, data) unique.tickers <- aggregate(data, by=list(data$cds_company_id), FUN=function(x)x[1])$tickers @@ -75,12 +75,12 @@ with(prep.data, ticker_company <- dbGetQuery(dbCon, "SELECT company_id, unnest(cds_curve) from CDS_Issuers") for(index in c(paste0("IG", c(9, 19, 21, 22)), paste0("EU", c(9, 19, 21)), - paste0("HY", c(15, 17, 19, 21, 22)))){ - indexmatch <- ticker_company[match(get(index)[get(index)[,2]>0,5], ticker_company[,2]),] + paste0("HY", c(10, 15, 17, 19, 21, 22)))){ + indexmatch <- ticker_company[match(get(index)[,5], ticker_company[,2]),] sqlstr <- "UPDATE CDS_Issuers SET index_list=index_list||%s where company_id='%s'" - basketid <- nameToBasketID(index) + basketids <- allBasketID(index) for(j in 1:nrow(indexmatch)){ - dbSendQuery(dbCon, sprintf(sqlstr, basketid, indexmatch[j,1])) + dbSendQuery(dbCon, sprintf(sqlstr, 182910, indexmatch[j,1])) } } |