diff options
Diffstat (limited to 'R/mlpdb.R')
| -rw-r--r-- | R/mlpdb.R | 10 |
1 files changed, 5 insertions, 5 deletions
@@ -13,7 +13,7 @@ load.index <- function(name, date=Sys.Date(), tenor="5yr"){ id <- nameToBasketID(name, date) sqlstr <- "SELECT indexfactor, cumulativeloss, maturity from index_desc where basketid=%s and tenor='%s'" r <- as.list(dbGetQuery(mlpdbCon, sprintf(sqlstr, id, tenor))) - return(list(coupon=0.05, factor=r$indexfactor/100, maturity=r$maturity, + return(list(tenor=tenor, factor=r$indexfactor/100, maturity=r$maturity, loss=r$cumulativeloss/100, recovery=0.4, name=name)) } @@ -49,10 +49,10 @@ indexsplit <- function(indexname){ return(list(index=toupper(index), series=series)) } -get.tranchequotes <- function(indexname, date=Sys.Date()){ - sqlstr <- paste("select * from quotes where index='%s'", - "and series=%s and quotedate='%s' order by attach asc") +get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ + sqlstr <- paste("select * from tranche_quotes where index='%s'", + "and series=%s and quotedate='%s' and tenor = '%s' order by attach asc") temp <- indexsplit(indexname) - r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date)) + r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor)) return( r ) } |