diff options
Diffstat (limited to 'R/intex_deal_functions.R')
| -rw-r--r-- | R/intex_deal_functions.R | 21 |
1 files changed, 11 insertions, 10 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index f984b494..d5c7294e 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -12,19 +12,20 @@ if(hostname=="debian"){ }
source("cds_functions_generic.R")
-source("etdb.R")
+source("db.R")
+etdb <- dbConn("ET")
getdealdata <- function(dealname, workdate){
sqlstring <- paste0("select marketvalue from et_deal_model_numbers where dealname=$1 and ",
"updatedate in (select max(updatedate) from et_deal_model_numbers where ",
"dealname = $2 and updatedate<=$3)")
- mv <- dbGetQuery(dbCon, sqlstring,
+ mv <- dbGetQuery(etdb, sqlstring,
params = list(dealname, dealname, workdate))$marketvalue
sqlstring <- paste0("select \"Curr Collat Bal\", reinv_end_date, ",
"first_pay_date , maturity, \"Principal Bal\" , pay_day from ",
"historical_clo_universe($1, $2)")
- dealdata <- dbGetQuery(dbCon, sqlstring, params=list(dealname, workdate))
+ dealdata <- dbGetQuery(etdb, sqlstring, params=list(dealname, workdate))
if(!length(mv)){
dealdata$mv <- NA
}else{
@@ -35,10 +36,10 @@ getdealdata <- function(dealname, workdate){ getcollateral <- function(dealname, date){
if(missing(date)){
- collatdata <- dbGetQuery(dbCon, "select * from et_aggdealinfo($1)",
+ collatdata <- dbGetQuery(etdb, "select * from et_aggdealinfo($1)",
params=list(dealname))
}else{
- collatdata <- dbGetQuery(dbCon,
+ collatdata <- dbGetQuery(etdb,
"select * from et_aggdealinfo_historical($1, $2)",
params=list(dealname, date))
}
@@ -47,7 +48,7 @@ getcollateral <- function(dealname, date){ listdealnames <- function(){
sqlstring <- "select distinct dealname from clo_universe order by dealname"
- return( dbGetQuery(dbCon, sqlstring))
+ return( dbGetQuery(etdb, sqlstring))
}
cusip.data <- function(){
@@ -56,7 +57,7 @@ cusip.data <- function(){ CASE WHEN a.floater_index like 'LIBOR%' THEN 'FLOAT' ELSE 'FIXED' END
AS fixedorfloat, a.orig_moody from latest_cusip_universe a
LEFT JOIN latest_clo_universe b ON a.dealname = b.dealname"
- data <- dbGetQuery(dbCon, sqlstring)
+ data <- dbGetQuery(etdb, sqlstring)
data <- data.table(data)
setkey(data, "cusip")
return( data )
@@ -86,7 +87,7 @@ dealnamefromcusip <- function(cusips){ ## wrapper around the sql function
sqlstr <- sprintf("select * from dealname_from_cusip('%s')",
paste(cusips, collapse="','"))
- r <- dbGetQuery(dbCon, sqlstr)
+ r <- dbGetQuery(etdb, sqlstr)
return( r$p_dealname )
}
@@ -94,7 +95,7 @@ cusipsfromdealnames <- function(dealnames){ sqlstring <-
sprintf("select unnest(\"Deal Cusip List\") from deal_indicative where dealname in ('%s')",
paste(dealnames, collapse="','"))
- return( dbGetQuery(dbCon, sqlstring)$unnest )
+ return( dbGetQuery(etdb, sqlstring)$unnest )
}
fithazardrate.fast <- function(collateral, eps=1e-6){
@@ -340,7 +341,7 @@ severityfromscenarios <- function(scenariosd, scenariosr){ get.reinvassets <- function(dealname, tradedate){
r <- list()
sqlstr <- "select * from et_historicaldealinfo($1, $2) where ReinvFlag Is true"
- data <- dbGetQuery(dbCon, sqlstr, params=list(dealname, tradedate))
+ data <- dbGetQuery(etdb, sqlstr, params=list(dealname, tradedate))
if(nrow(data)>0){
for(i in 1:nrow(data)){
r[[data$issuername[i]]] <- list(coupontype=data$fixedorfloat[i], liborfloor=data$liborfloor[i])
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