diff options
| -rw-r--r-- | R/serenitasdb.R | 26 |
1 files changed, 17 insertions, 9 deletions
diff --git a/R/serenitasdb.R b/R/serenitasdb.R index 65373a23..736d2250 100644 --- a/R/serenitasdb.R +++ b/R/serenitasdb.R @@ -40,27 +40,35 @@ cdslist <- function(indexname, date=Sys.Date()){ return( dbGetQuery(serenitasdb, sqlstr, params=list(basketid))) } -arr.convert <- function(arr, ncol=8){ - arr <- unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE))) +arr.convert <- function(arr, col.names){ + if(missing(col.names)){ + ncol <- str_count(arr[1], ",") + 1 + }else{ + ncol <- length(col.names) + } + arr <- str_split_fixed(str_sub(arr, 2, -2), ",", ncol) arr[arr=="NULL"] <- NA - arr <- matrix(as.numeric(arr), nrow=length(arr)/ncol, ncol=ncol, byrow=T) - colnames(arr) <- c("6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y") + storage.mode(arr) <- "numeric" + if(!missing(col.names)){ + colnames(arr) <- col.names + } return(arr) } get.indexquotes <- function(indexname, date=Sys.Date()){ r <- dbGetQuery(serenitasdb, "SELECT * from curve_quotes($1, $2)", params = list(indexname, date)) + tenors <- c("6m", paste0(c(1, 2, 3, 4, 5, 7, 10), "y")) quotes <- list(tickers=r[,1], - spread_curve = arr.convert(r$spread_curve), - upfront_curve =arr.convert(r$upfront_curve), - recovery_curve = arr.convert(r$recovery_curve)) + spread_curve = arr.convert(r$spread_curve, tenors), + upfront_curve =arr.convert(r$upfront_curve, tenors), + recovery_curve = arr.convert(r$recovery_curve, tenors)) return( quotes ) } indexsplit <- function(indexname){ - return(list(index = toupper(substr(indexname, 0, 2)), - series=substr(indexname, 3, nchar(indexname)))) + return(list(index = str_to_upper(str_sub(indexname, 0, 2)), + series=str_sub(indexname, 3, -1))) } get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ |