diff options
Diffstat (limited to 'R/mlpdb.R')
| -rw-r--r-- | R/mlpdb.R | 20 |
1 files changed, 13 insertions, 7 deletions
@@ -3,7 +3,7 @@ drv <- dbDriver("PostgreSQL") mlpdbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1", host="debian") -nameToBasketID <- function(name, date){ +nameToBasketID <- function(name, date=Sys.Date()){ sqlstr <- "SELECT * from nametobasketid('%s', '%s')" r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, name, date)) return(as.integer(r)) @@ -17,19 +17,25 @@ load.index <- function(name, date=Sys.Date(), tenor="5yr"){ loss=r$cumulativeloss/100, recovery=0.4, name=name)) } -cdslist <- function(indexname, date){ +cdslist <- function(indexname, date=Sys.Date()){ basketid <- nameToBasketID(indexname, date) sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'" return( dbGetQuery(mlpdbCon, sprintf(sqlstr, basketid))) } arr.convert <- function(arr){ - return(as.numeric(unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE))))) + arr <- unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE))) + arr[arr=="NULL"] <- NA + arr <- matrix(as.numeric(arr), nrow=length(arr)/8, ncol=8, byrow=T) + colnames(arr) <- c("6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y") + return(arr) } -get.indexquotes <- function(indexname, date){ +get.indexquotes <- function(indexname, date=Sys.Date()){ r <- dbGetQuery(mlpdbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date)) - r <- data.frame(r[,1], matrix(arr.convert(r[,2]), nrow(r), 8, byrow=T)) - colnames(r) <- c("ticker", "6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y") - return( r ) + quotes <- list(tickers=r[,1], + spread_curve = arr.convert(r$spread_curve), + upfront_curve =arr.convert(r$upfront_curve), + recovery_curve = arr.convert(r$recovery_curve)) + return( quotes ) } |