diff options
| -rw-r--r-- | sql/dawn.sql | 11 |
1 files changed, 9 insertions, 2 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 8f142814..292cd8ed 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -652,12 +652,18 @@ END $$ LANGUAGE plpgsql; CREATE OR REPLACE FUNCTION list_swaption_positions_and_risks(IN p_date date) - RETURNS TABLE(deal_id character varying, security_id character varying, maturity date, notional double precision, swaption_type swaption_type, strike double precision, expiration_date date, market_value double precision, initial_margin_percentage double precision, latest_model_date date, delta double precision, gamma double precision, vega double precision, theta double precision, index index_type, series smallint, tenor tenor, duration double precision) AS $$ + RETURNS TABLE(deal_id character varying, security_id character varying, + maturity date, notional double precision, option_type option_type, + strike double precision, expiration_date date, market_value double precision, + initial_margin_percentage double precision, latest_model_date date, + delta double precision, gamma double precision, vega double precision, + theta double precision, index index_type, series smallint, tenor tenor, + duration double precision) AS $$ BEGIN RETURN QUERY SELECT DISTINCT ON (a.dealid) a.dealid, a.security_id, c.maturity, (CASE WHEN buysell = 't' THEN 1 ELSE -1 END) * a.notional, - a.swaption_type, a.strike, a.expiration_date, b.market_value, + a.option_type, a.strike, a.expiration_date, b.market_value, a.initial_margin_percentage, b.date, b.delta, b.gamma, b.vega, b.theta, c.index, c.series, c.tenor, d.duration FROM swaptions a @@ -665,6 +671,7 @@ JOIN (SELECT * FROM swaption_marks where date <= p_date) b USING (dealid) JOIN index_desc c ON a.security_id=redindexcode AND a.maturity=c.maturity LEFT JOIN (SELECT * FROM index_quotes WHERE date=p_date) d USING (index, series, tenor, version) WHERE termination_date IS NULL AND a.expiration_date > p_date AND trade_date <= p_date +AND swap_type = 'CD_INDEX_OPTION' ORDER BY dealid, date DESC; END $$ LANGUAGE plpgsql; |