diff options
| -rw-r--r-- | R/creditIndex.R | 35 |
1 files changed, 34 insertions, 1 deletions
diff --git a/R/creditIndex.R b/R/creditIndex.R index 8ef15093..e3002b3f 100644 --- a/R/creditIndex.R +++ b/R/creditIndex.R @@ -90,7 +90,7 @@ csvheaders <- function(index){ } tocsv <- function(index){ - ##write a one line csv representation of the index object + ## write a one line csv representation of the index object if(class(index)!="creditIndex"){ stop("argument needs to be of class creditIndex") } @@ -101,3 +101,36 @@ tocsv <- function(index){ unlist(index$tranches[c("corr01", "duration", "EL")])) return(paste(row, collapse=",")) } + +sqlArray <- function(vec){ + vec[is.na(vec)] <- "NULL" + return( sprintf("Array[%s]", paste(vec, collapse=",")) ) +} + +sqlQuote <- function(s){ + return( sprintf("'%s'", s) ) +} + +tosql <- function(index){ + ## write sql representation of the index object + values <- c(sqlQuote(index$tradedate), + sqlQuote(index$type), + sqlQuote(index$series), + sqlQuote(index$tenor), + index$quotes$price, + index$basis, + index$EL, + index$duration, + index$theta, + sqlArray(as.integer(index$K.orig*100)), + sqlArray(index$rho[-1]), + sqlArray(index$tranches$mkt.delta), + sqlArray(index$tranches$delta), + sqlArray(index$tranches$fw.delta), + sqlArray(index$tranches$gamma), + sqlArray(index$tranches$theta), + sqlArray(index$tranches$corr01), + sqlArray(index$tranches$duration), + sqlArray(index$tranches$EL)) + sprintf("INSERT INTO risk_numbers VALUES(%s)",paste(values,collapse=",")) +} |