diff options
Diffstat (limited to 'R/thetas-durations.R')
| -rw-r--r-- | R/thetas-durations.R | 30 |
1 files changed, 19 insertions, 11 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 98ddd822..c441140d 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -31,6 +31,7 @@ get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr"), onlymi "AS ct(date date, %s)") stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2) df <- dbGetQuery(serenitasdb, stmt) + df$date <- as.Date(df$date) return( df ) } @@ -39,6 +40,7 @@ get.indexmaturity <- function(index, series){ "from index_maturity where index=$1", "and series=$2 order by maturity") df <- dbGetQuery(serenitasdb, sqlstr, params=list(index, series)) + df$maturity <- as.Date(df$maturity) return( df ) } @@ -95,10 +97,10 @@ convertNA <- function(x){ index <- 'HY' tenors <- c("3yr", "5yr", "7yr") recov <- 0.3 -sqlstr.duration <- paste("UPDATE index_quotes set duration=%s where date='%s' and index='%s'", - "and series=%s and tenor='%s'") -sqlstr.theta <- paste("UPDATE index_quotes set theta=%s where date='%s' and index='%s'", - "and series=%s and tenor='%s'") +sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and index=$3", + "and series=$4 and tenor=$5") +sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3", + "and series=$4 and tenor=$5") for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ indexquotes <- get.indexquotes(index, series) @@ -135,15 +137,21 @@ for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ colnames(df.thetas) <- c("date", tenors) for(i in 1:nrow(df.durations)){ for(tenor in tenors){ - if(!is.na(df.durations[i,tenor])){ - stmt <- sprintf(sqlstr.duration, df.durations[i,tenor], - df.durations[i,"date"], index, series, tenor) - dbSendQuery(serenitasdb, stmt) + if(!is.na(df.durations[i, tenor])){ + r <- dbSendQuery(serenitasdb, sqlstr.duration, + params = list(df.durations[i, tenor], + df.durations[i,"date"], index, series, tenor)) + if(dbHasCompleted(r)){ + dbClearResult(r) + } } if(!is.na(df.thetas[i,tenor])){ - stmt <- sprintf(sqlstr.theta, df.thetas[i,tenor], - df.thetas[i,"date"], index, series, tenor) - dbSendQuery(serenitasdb, stmt) + r <- dbSendQuery(serenitasdb, sqlstr.theta, + params = list(df.thetas[i, tenor], + df.thetas[i, "date"], index, series, tenor)) + if(dbHasCompleted(r)){ + dbClearResult(r) + } } } } |