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 ba8c182d..185e028f 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -670,7 +670,8 @@ FROM swaptions a JOIN (SELECT * FROM swaption_marks where date <= p_date) b USING (dealid) JOIN index_desc c ON a.security_id=redindexcode AND a.maturity=c.maturity LEFT JOIN (SELECT * FROM index_quotes WHERE date=p_date) d USING (index, series, tenor, version) -WHERE termination_date IS NULL AND a.expiration_date > p_date AND trade_date <= p_date +WHERE (termination_date IS NULL OR termination_date > p_date) +AND a.expiration_date > p_date AND trade_date <= p_date AND swap_type = 'CD_INDEX_OPTION' ORDER BY dealid, date DESC; END @@ -684,7 +685,7 @@ BEGIN RETURN QUERY SELECT a.dealid, folder, (CASE WHEN buysell = 't' THEN 1 ELSE -1 END) * a.notional, a.option_type, a.strike, a.expiration_date, a.maturity, a.initial_margin_percentage -FROM swaptions a WHERE termination_date IS NULL +FROM swaptions a WHERE (termination_date IS NULL OR termination_date > p_date) AND a.expiration_date > p_date AND a.trade_date <= p_date AND a.swap_type = 'SWAPTION'; |