diff options
Diffstat (limited to 'R/intex_deal_functions.R')
| -rw-r--r-- | R/intex_deal_functions.R | 22 |
1 files changed, 14 insertions, 8 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index f340edeb..37f388f4 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -15,16 +15,20 @@ source("cds_functions_generic.R") source("etdb.R")
getdealdata <- function(dealname, workdate){
- sqlstring <- paste0("select marketvalue from et_deal_model_numbers where dealname='%s' and ",
+ sqlstring <- paste0("select marketvalue from et_deal_model_numbers where dealname=$1 and ",
"updatedate in (select max(updatedate) from et_deal_model_numbers where ",
- "dealname = '%s' and updatedate<='%s')")
- sqlstring <- sprintf(sqlstring, dealname, dealname, workdate)
- mv <- dbGetQuery(dbCon, sqlstring)$marketvalue
- sqlstring <- sprintf(paste0("select \"Curr Collat Bal\", reinv_end_date, ",
- "first_pay_date , maturity, \"Principal Bal\" , pay_day from ",
- "historical_clo_universe('%s', '%s')"), dealname, workdate)
- dealdata <- dbGetQuery(dbCon, sqlstring)
+ "dealname = $2 and updatedate<=$3)")
+ mv <- dbGetQuery(dbCon, sqlstring,
+ params = list(dealname, dealname, workdate))$marketvalue
+
+ sqlstring <- paste0("select \"Curr Collat Bal\", reinv_end_date, ",
+ "first_pay_date , maturity, \"Principal Bal\" , pay_day from ",
+ "historical_clo_universe($1, $2)")
+ dealdata <- dbGetQuery(dbCon, sqlstring, params=list(dealname, workdate))
dealdata$mv <- mv
+ dealdata$maturity <- as.Date(dealdata$maturity)
+ dealdata$first_pay_date <- as.Date(dealdata$first_pay_date)
+ dealdata$reinv_end_date <- as.Date(dealdata$reinv_end_date)
return(dealdata)
}
@@ -246,6 +250,8 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, startdate = Sys.Date()) {
collatdata <- data.table(getcollateral(dealname, startdate))
setkey(collatdata, "cusip")
+ collatdata$nextpaydate <- as.Date(collatdata$nextpaydate)
+ collatdata$maturity <- as.Date(collatdata$maturity)
## replace the cdo fields by bloomberg data
collatdata[cusipdata,
`:=`(maturity=i.maturity, fixedorfloat=i.fixedorfloat,
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