1 files changed, 29 insertions, 0 deletions
diff --git a/R/mlpdb.R b/R/mlpdb.R
new file mode 100644
index 00000000..04c1f0b9
--- /dev/null
+++ b/R/mlpdb.R
@@ -0,0 +1,29 @@
+library(RPostgreSQL)
+drv <- dbDriver("PostgreSQL")
+dbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
+                   host="debian")
+
+nameToBasketID <- function(name){
+    index <- substr(name, 1, 2)
+    series <- substr(name, 3, nchar(name))
+    sqlstr <- "SELECT max(basketid) from index_desc where Index='%s' and Series=%s"
+    r <- dbGetQuery(dbCon, sprintf(sqlstr, index, series))
+    return(as.integer(r))
+}
+
+cdslist <- function(indexname){
+    basketid <- nameToBasketID(indexname)
+    sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
+    return( dbGetQuery(dbCon, sprintf(sqlstr, basketid)))
+}
+
+arr.convert <- function(arr){
+    return(as.numeric(unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE)))))
+}
+
+get.indexquotes <- function(indexname, date){
+    r <- dbGetQuery(dbCon, 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 )
+}