diff options
| -rw-r--r-- | sql/dawn.sql | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index fc308128..db07bec6 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -692,11 +692,11 @@ BEGIN days:=days_accrued(p_date); SELECT eurusd INTO eur_fx FROM fx WHERE date=p_date; RETURN QUERY -WITH temp AS (SELECT a.*, c.index, c.series, c.version, d.basketid, d.tenor, +WITH temp AS (SELECT a.*, c.index, c.series, c.version, c.basketid, d.tenor, tranche_factor(a.attach, a.detach, c.indexfactor, c.cumulativeloss) AS fact FROM list_tranche_positions(p_date) a LEFT JOIN index_version c ON a.security_id=c.redindexcode - LEFT JOIN index_desc d USING (redindexcode, maturity)), + LEFT JOIN index_maturity d USING (index, series, maturity)), tranche_price AS (SELECT DISTINCT ON (basketid, tenor, attach, detach) basketid, tenor, e.attach, e.detach, upfront_mid, tranche_spread FROM markit_tranche_quotes e WHERE quotedate BETWEEN p_date - interval '1 week' AND p_date ORDER by basketid, tenor, attach, detach, quotedate desc), @@ -712,7 +712,7 @@ SELECT temp.security_id, temp.security_desc, temp.index, temp.series, temp.versi (CASE WHEN temp.currency = 'EUR' THEN eur_fx ELSE 1 END), temp.initial_margin_percentage, risk_num.theta, risk_num.duration, risk_num.tranchedelta, risk_num.trancheupfrontmid, risk_num.indexrefprice, risk_num.indexrefspread, - risk_num.attach, risk_num.detach, risk_num.index_duration + temp.attach, temp.detach, risk_num.index_duration FROM temp LEFT JOIN tranche_price USING (basketid, attach, detach, tenor) LEFT JOIN risk_num USING (series, attach, detach, tenor); |