diff options
| -rw-r--r-- | sql/dawn.sql | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index c30759ea..8f9a4118 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -113,6 +113,8 @@ CREATE TABLE cds(id serial primary key, detach smallint, clearing_facility varchar(12), isda_definition isda, + termination_date date DEFAULT NULL, + termination_amount float DEFAULT NULL, CONSTRAINT tranche_check CHECK (swap_type != 'CD_INDEX_TRANCHE' OR (attach IS NOT NULL AND detach IS NOT NULL))); @@ -393,7 +395,7 @@ BEGIN query := 'WITH tmp AS (SELECT cds.security_id, cds.security_desc, cds.maturity, cds.fixed_rate, %s SUM(cds.notional * (CASE WHEN cds.protection=''Buyer'' THEN -1 ELSE 1 END)) OVER (PARTITION BY cds.security_id, cds.maturity, cds.attach, cds.detach) AS notional -FROM cds WHERE cds.trade_date <=$1 %s) +FROM cds WHERE (cds.termination_date is NULL OR cds.termination_date> $1) and cds.trade_date <=$1 %s) SELECT DISTINCT ON (tmp.security_id, tmp.maturity %s) * FROM tmp WHERE tmp.notional!=0'; IF p_type = 'tranche' THEN |