diff options
| -rw-r--r-- | sql/dawn.sql | 31 |
1 files changed, 5 insertions, 26 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 58cbb1f9..c2568878 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -147,10 +147,6 @@ CREATE TABLE cds(id serial primary key, detach float, clearing_facility varchar(12) DEFAULT NULL, isda_definition isda, - termination_date date[] DEFAULT NULL, - termination_fee float[] DEFAULT NULL, - termination_amount float[] DEFAULT NULL, - termination_cp text[] DEFAULT NULL, initial_margin_percentage float DEFAULT NULL, index_ref float DEFAULT NULL, corr_attach float DEFAULT NULL, @@ -703,15 +699,14 @@ SELECT id, trade_date, security_id, security_desc, maturity, fixed_rate, currenc orig_attach, orig_detach, attach, detach, account_code, initial_margin_percentage, cpty_id FROM cds LEFT JOIN ( - SELECT id, SUM(termination_amount ) AS terminated_amount - FROM (SELECT id, unnest(termination_amount) as termination_amount, - unnest(termination_date) as termination_date FROM cds) a - WHERE termination_date <= p_date GROUP BY id) b USING (id) + SELECT dealid, SUM(termination_amount) AS terminated_amount + FROM terminations WHERE termination_date <= p_date GROUP BY dealid) b USING (dealid) WHERE fund=p_fund and notional IS DISTINCT FROM terminated_amount AND trade_date <= p_date AND maturity > p_date; END; $$ LANGUAGE plpgsql; + CREATE OR REPLACE function list_cds_positions (p_date date, strat cds_strat DEFAULT NULL::cds_strat, fund fund DEFAULT 'SERCGMAST'::fund) @@ -1792,7 +1787,7 @@ FROM swaptions JOIN counterparties ON cp_code = code LEFT JOIN index_version ON security_id = redindexcode) ORDER BY trade_date DESC; CREATE OR REPLACE VIEW cds_trades AS -SELECT id, +SELECT cds.id, dealid, termination_date AS trade_date, termination_amount AS notional, @@ -1818,23 +1813,7 @@ SELECT id, END AS protection, termination_fee AS upfront, ref -FROM (select id, - dealid, - unnest(termination_date) AS termination_date, - unnest(termination_amount) AS termination_amount, - security_desc, - security_id, - unnest(termination_cp) AS termination_cp, - folder, - fund, - orig_attach, - orig_detach, - attach, - detach, - protection, - unnest(termination_fee) AS termination_fee, - cp_code, - ref from cds where termination_date is not null) a +FROM terminations LEFT JOIN cds USING (dealid) left JOIN counterparties on termination_cp=code UNION ALL ( SELECT id, |