diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 32333c18..008d49a7 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -40,9 +40,9 @@ index <- creditIndex("hy25") index <- set.index.desc(index, calibration.date)
global.params <- yaml.load_file(file.path(root.dir, "code", "etc", "params.yml"))
-cusipdata <- cusip.data()
+cusipdata <- cusip.data(workdate)
cashspread.discount <- 0
-currdealnames <- dbGetQuery(etdb, "select updatedate, dealname from latest_deal_model_numbers")
+currdealnames <- dbGetQuery(etdb, "select dealname from et_deal_model_numbers where updatedate=$1", list(workdate))
## build portfolio data
for(i in seq_along(dealnames)){
deal.name <- dealnames[i]
@@ -76,8 +76,7 @@ for(i in seq_along(dealnames)){ save(deal.portfolio, A, S, deal.weights, deal.spread5y,
deal.spreadatmaturity, deal.data, file=file.path(save.dir, paste0(deal.name, ".RData")))
cat(deal.name, "... done\n")
- dealupdatedate <- currdealnames$updatedate[currdealnames$dealname %in% deal.name]
- if(length(dealupdatedate) && dealupdatedate == workdate){
+ if(deal.name %in% currdealnames$dealname){
sqlstring <- paste0("UPDATE et_deal_model_numbers SET dealspread5y = $1,",
"dealspread = $2, cdopercentage = $3, stalepercentage= $4, ",
"marketvalue = $5",
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