1 files changed, 0 insertions, 104 deletions
diff --git a/R/mlpdb.R b/R/mlpdb.R
deleted file mode 100644
index 5778774e..00000000
--- a/R/mlpdb.R
+++ /dev/null
@@ -1,104 +0,0 @@
-library(RPostgreSQL)
-drv <- dbDriver("PostgreSQL")
-mlpdbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
-                   host="debian")
-
-nameToBasketID <- function(name, date=Sys.Date()){
-    sqlstr <- "SELECT * from nametobasketid('%s', '%s')"
-    r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, name, date))
-    return(as.integer(r))
-}
-
-load.index <- function(name, date=Sys.Date(), tenor="5yr", Z, w, N){
-    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)))
-    if(any(c(missing(Z), missing(w), missing(N)))){
-        return( list(tenor=tenor, factor=r$indexfactor/100, maturity=r$maturity,
-                     loss=r$cumulativeloss/100, recovery=0.4, name=name))
-    }else{
-        return( list(tenor=tenor, factor=r$indexfactor/100, maturity=r$maturity,
-                     loss=r$cumulativeloss/100, recovery=0.4, name=name, Z=Z, w=w, N=N))
-    }
-}
-
-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){
-    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=Sys.Date()){
-    r <- dbGetQuery(mlpdbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date))
-    quotes <- list(tickers=r[,1],
-                   spread_curve = arr.convert(r$spread_curve),
-                   upfront_curve =arr.convert(r$upfront_curve),
-                   recovery_curve = arr.convert(r$recovery_curve))
-    return( quotes )
-}
-
-indexsplit <- function(indexname){
-    r <- regexpr("(\\D*)(\\d*)", indexname, perl=T)
-    cs <- attr(r, "capture.start")
-    cl <- attr(r, "capture.length")
-    index <- substr(indexname, cs[1], cs[1]+cl[1]-1)
-    series <- substr(indexname, cs[2], cs[2]+cl[2]-1)
-    return(list(index=toupper(index), series=series))
-}
-
-get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){
-    temp <- indexsplit(indexname)
-    ## first try the easy way:
-    sqlstr <- paste("select * from tranche_quotes",
-                        "where index='%s' and series=%s and quotedate::date='%s'",
-                        "and tenor = '%s' order by attach asc")
-    r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor))
-    ## check if set is unique and complete
-    ## hy9 and hy10 tranche is gone
-    if(tolower(indexname) %in% c("hy9", "hy10")){
-        lower.attach <- 10
-    }else{
-        lower.attach <- 0
-    }
-    if(length(unique(r$attach))==length(r$attach) && all(c(r$attach, 100)==c(lower.attach, r$detach))){
-        return(r)
-    }
-    ##else we work harder
-    ##we get the list of distinct quotes
-    sqlstr <- paste("select distinct quotesource, quotedate from tranche_quotes",
-                     "where index='%s' and series=%s and quotedate::date='%s'",
-                    "and tenor = '%s' order by quotedate desc")
-    distinct.quotes <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor))
-    flag <- FALSE
-    ##we loop through the disctinct quotes until we find a complete set
-    for(i in 1:nrow(distinct.quotes)){
-        if(temp$index == 'HY' && temp$series>=15){ ##don't want the tranchelets quoted by CITI
-            sqlstr <- paste("select * from tranche_quotes where index='%s'",
-                            "and series=%s and tenor = '%s' and quotedate='%s'",
-                            "and detach-attach!=5  and quotesource='%s' order by attach asc")
-        }else{
-            sqlstr <- paste("select * from tranche_quotes where index='%s'",
-                            "and series=%s and tenor = '%s' and quotedate='%s'",
-                            "and quotesource='%s' order by attach asc")
-        }
-        r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, tenor,
-                                          distinct.quotes$quotedate[i],
-                                          distinct.quotes$quotesource[i]))
-        if(all(c(r$attach, 100)==c(lower.attach, r$detach))){#set is complete
-            flag <- TRUE
-            break
-        }
-    }
-    if(!flag){
-        stop("no quotes for that day")
-    }
-    return( r )
-}