diff options
Diffstat (limited to 'R/thetas-durations.R')
| -rw-r--r-- | R/thetas-durations.R | 18 |
1 files changed, 8 insertions, 10 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 8aa01197..9c93e0a7 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -20,18 +20,16 @@ source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) source(file.path(root.dir, "code", "R", "yieldcurve.R")) get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr"), onlymissing=TRUE){ - arraystring1 <- paste0(sqlArray(sqlQuote(sqlQuote(tenors))), "::tenor[]") - arraystring2 <- paste0('"', paste(tenors, collapse='" float, "'), '" float') - sqlstr <- paste("select * from crosstab('select date, tenor, closeprice from index_quotes", - "where index=''%s''and series=%s") + query1 <- sprintf(paste("select date, tenor, closeprice from index_quotes", + "where index=%s and series=%s"), sqlQuote(index), series) if(onlymissing){ - sqlstr <- paste(sqlstr, "and duration is Null") + query1 <- paste(query1, "and duration is Null") } - sqlstr <- paste(sqlstr, "order by date, tenor', 'select unnest(%s)')", - "AS ct(date date, %s)") - stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2) - df <- dbGetQuery(serenitasdb, stmt) - df$date <- as.Date(df$date) + query1 <- paste(query1, "order by date, tenor") + query2 <- sprintf("select unnest(%s::tenor[])",sqlQuote(sqlArray(tenors))) + stmt <- paste0("SELECT * from crosstab($1, $2) AS ct(date date, ", arraystring2, ")") + arraystring2 <- paste(lapply(tenors, function(s)sprintf("\"%s\" float", s)), collapse=",") + df <- dbGetQuery(serenitasdb, stmt, params=list(query1, query2)) return( df ) } |