1 files changed, 50 insertions, 0 deletions
diff --git a/R/new_index_series.R b/R/new_index_series.R
new file mode 100644
index 00000000..d6854667
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+++ b/R/new_index_series.R
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+library(Rbbg)
+library(RPostgreSQL)
+drv <- dbDriver("PostgreSQL")
+dbCon <- dbConnect(drv, dbname="serenitasdb", user="serenitas_user", password="Serenitas1",
+                   host="debian")
+
+bbgConn <- blpConnect(host='192.168.1.108', port='8194')
+
+## This script helps adding the necessary data for a new index series
+newbasketID <- function(indextype='IG', series, newid){
+    sqlstr <- "INSERT INTO index_version VALUES(%s, '%s', %s, '%s', '%s', 100, 0)"
+    stmt <- sprintf(sqlstr, newid, indextype, series, 1, 100, 0, 'infinity')
+    dbSendQuery(dbCon, stmt)
+}
+##TODO: fill the index
+indextype <- 'IG'
+oldseries <- 22
+newseries <- 23
+newid <- 338
+newbasketID('IG', 23, 338)
+
+oldindex <- bds(bbgConn, sprintf("CDX %s CDSI S%s 5Y Corp", indextype, oldseries), "INDX_MEMBERS")
+newindex <- bds(bbgConn, sprintf("CDX %s CDSI S%s 5Y Corp", indextype, newseries), "INDX_MEMBERS")
+oldtickers <- oldindex[,5]
+tickers <- newindex[,5]
+
+data <- bdp(bbgConn, paste(tickers, "Corp"), c("cds_company_id", "cds_restructuring_type", "cds_corp_tkr"))
+olddata <- bdp(bbgConn, paste(oldtickers, "Corp"), c("cds_company_id", "cds_restructuring_type", "cds_corp_tkr"))
+data <- cbind(tickers, data)
+unique.tickers <- aggregate(data, by=list(data$cds_company_id), FUN=function(x)x[1])$tickers
+cdscurves <- bds(bbgConn, paste(unique.tickers, "Curncy"), "CDS_CURVE_INFO")
+curves <- aggregate(cdscurves[,2], by=list(cdscurves$ticker), FUN=function(x)x)
+prep.data <- data.frame(Name=newindex[,1], company_id=data[,2], ticker=data[,4],
+                        currency=newindex[,3], seniority=temp1[,4], doc_clause=data[,3])
+newrowids <- which(!data[,'cds_company_id'] %in% olddata[,'cds_company_id'], 'cds_company_id')
+newids <- data[!data[,'cds_company_id'] %in% olddata[,'cds_company_id'], 'cds_company_id']
+sqlstr <- "INSERT INTO CDS_Issuers VALUES('%s', %s, '%s', '%s', '%s', '%s', '%s')"
+with(prep.data,
+     for(i in newids){
+         stmt <- sprintf(sqlstr, gsub("'","''", Name[i]), company_id[i], ticker[i], currency[i],
+                         seniority[i], doc_clause[i],
+                         paste0("{\"", paste(curves[i,2], collapse="\",\""), "\"}"))
+         dbSendQuery(dbCon, stmt)
+     })
+
+##fill index_list column
+sqlstr <- "UPDATE CDS_Issuers SET index_list=index_list||%s where company_id=%s"
+for(id in prep.data[,2]){
+    dbSendQuery(dbCon, sprintf(sqlstr, newid, id))
+}