diff options
Diffstat (limited to 'R/mlpdb.R')
| -rw-r--r-- | R/mlpdb.R | 12 |
1 files changed, 6 insertions, 6 deletions
@@ -1,18 +1,18 @@ library(RPostgreSQL) drv <- dbDriver("PostgreSQL") -dbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1", +mlpdbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1", host="debian") nameToBasketID <- function(name, date){ sqlstr <- "SELECT * from nametobasketid('%s', '%s')" - r <- dbGetQuery(dbCon, sprintf(sqlstr, name, date)) + r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, name, date)) return(as.integer(r)) } -load.index <- function(name, date, tenor="Y5"){ +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(dbCon, sprintf(sqlstr, id, tenor))) + r <- as.list(dbGetQuery(mlpdbCon, sprintf(sqlstr, id, tenor))) return(list(coupon=0.05, factor=r$indexfactor/100, maturity=r$maturity, loss=r$cumulativeloss/100, recovery=0.4, name=name)) } @@ -20,7 +20,7 @@ load.index <- function(name, date, tenor="Y5"){ cdslist <- function(indexname, date){ basketid <- nameToBasketID(indexname, date) sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'" - return( dbGetQuery(dbCon, sprintf(sqlstr, basketid))) + return( dbGetQuery(mlpdbCon, sprintf(sqlstr, basketid))) } arr.convert <- function(arr){ @@ -28,7 +28,7 @@ arr.convert <- function(arr){ } get.indexquotes <- function(indexname, date){ - r <- dbGetQuery(dbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, 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 ) |