diff options
Diffstat (limited to 'R/mlpdb.R')
| -rw-r--r-- | R/mlpdb.R | 5 |
1 files changed, 2 insertions, 3 deletions
@@ -71,7 +71,6 @@ get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ if(length(unique(r$attach))==length(r$attach) && all(c(r$attach, 100)==c(lower.attach, r$detach))){ return(r) } - ##else we work harder ##we get the list of distinct quotes sqlstr <- paste("select distinct quotesource, quotedate from tranche_quotes", @@ -81,10 +80,10 @@ get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ flag <- FALSE ##we loop through the disctinct quotes until we find a complete set for(i in 1:nrow(distinct.quotes)){ - if(temp$index == 'HY'){ ##don't want the tranchelets quoted by CITI + if(temp$index == 'HY' && temp$series>=15){ ##don't want the tranchelets quoted by CITI sqlstr <- paste("select * from tranche_quotes where index='%s'", "and series=%s and tenor = '%s' and quotedate='%s'", - "and detach not in(5,10) and quotesource='%s' order by attach asc") + "and detach-attach!=5 and quotesource='%s' order by attach asc") }else{ sqlstr <- paste("select * from tranche_quotes where index='%s'", "and series=%s and tenor = '%s' and quotedate='%s'", |