1 files changed, 104 insertions, 0 deletions
diff --git a/R/serenitasdb.R b/R/serenitasdb.R
new file mode 100644
index 00000000..80b50ed6
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+++ b/R/serenitasdb.R
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+library(RPostgreSQL)
+drv <- dbDriver("PostgreSQL")
+serenitasdb <- dbConnect(drv, dbname="serenitasdb", user="serenitas_user", password="Serenitas1",
+                      host="debian")
+
+nameToBasketID <- function(name, date=Sys.Date()){
+    sqlstr <- "SELECT * from nametobasketid('%s', '%s')"
+    r <- dbGetQuery(serenitasdb, 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(serenitasdb, 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(serenitasdb, 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(serenitasdb, 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$recovery_curve))
+    return( quotes )
+}
+
+indexsplit <- function(indexname){
+    r <- regexpr("(\\D*)(\\d*)", indexname, perl=T)
+    cs <- attr(r, "capture.start")
+    cl <- attr(r, "capture.length")
+    index <- substr(indexname, cs[1], cs[1]+cl[1]-1)
+    series <- substr(indexname, cs[2], cs[2]+cl[2]-1)
+    return(list(index=toupper(index), series=series))
+}
+
+get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){
+    temp <- indexsplit(indexname)
+    ## first try the easy way:
+    sqlstr <- paste("select * from tranche_quotes",
+                        "where index='%s' and series=%s and quotedate::date='%s'",
+                        "and tenor = '%s' order by attach asc")
+    r <- dbGetQuery(serenitasdb, sprintf(sqlstr, temp$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$detach))){
+        return(r)
+    }
+    ##else we work harder
+    ##we get the list of distinct quotes
+    sqlstr <- paste("select distinct quotesource, quotedate from tranche_quotes",
+                     "where index='%s' and series=%s and quotedate::date='%s'",
+                    "and tenor = '%s' order by quotedate desc")
+    distinct.quotes <- dbGetQuery(serenitasdb, sprintf(sqlstr, temp$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$series>=15){ ##don't want the tranchelets quoted by CITI
+            sqlstr <- paste("select * from tranche_quotes where index='%s'",
+                            "and series=%s and tenor = '%s' and quotedate='%s'",
+                            "and detach-attach!=5  and quotesource='%s' order by attach asc")
+        }else{
+            sqlstr <- paste("select * from tranche_quotes where index='%s'",
+                            "and series=%s and tenor = '%s' and quotedate='%s'",
+                            "and quotesource='%s' order by attach asc")
+        }
+        r <- dbGetQuery(serenitasdb, sprintf(sqlstr, temp$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 )
+}