diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/intex_deal_functions.R | 47 |
1 files changed, 31 insertions, 16 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index 29573b24..f6fa2c2c 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -12,17 +12,31 @@ source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) source(file.path(root.dir, "code", "R", "etdb.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
-getdealdata <- function(dealnames){
- sqlstring <- sprintf("select * from latest_clo_universe where dealname in ('%s')",
- paste(dealnames, collapse="','"))
+getdealdata <- function(dealnames, date){
+ if(missing(date)){
+ sqlstring <- sprintf("select * from latest_clo_universe where dealname in ('%s')",
+ paste(dealnames, collapse="','"))
+ }else{
+ sqlstring <- paste("SELECT b.* FROM (SELECT MAX(\"Latest Update\") AS latestdate,",
+ "dealname FROM clo_universe WHERE \"Latest Update\"<='%s' AND dealname in ('%s')",
+ "GROUP BY dealname) a JOIN clo_universe b ON a.dealname = b.dealname",
+ "AND a.latestdate= b.\"Latest Update\" ORDER by dealname asc")
+ sqlstring <- sprintf(sqlstring, date, paste(dealnames, collapse="','"))
+ }
+ data <- dbGetQuery(dbCon, sqlstring)
data <- dbGetQuery(dbCon, sqlstring)
data <- data[match(dealnames, data$dealname),]
rownames(data) <- c()
return( data )
}
-getcollateral <- function(dealname, date=Sys.Date()){
- sqlstring <- sprintf("select * from et_aggdealinfo_historical('%s', '%s')", dealname, date)
+
+getcollateral <- function(dealname, date){
+ if(missing(date)){
+ sqlstring <- sprintf("select * from et_aggdealinfo('%s')", dealname, date)
+ }else{
+ sqlstring <- sprintf("select * from et_aggdealinfo_historical('%s', '%s')", dealname, date)
+ }
collatdata <- dbGetQuery(dbCon, sqlstring)
return(collatdata)
}
@@ -32,10 +46,13 @@ listdealnames <- function(){ return( dbGetQuery(dbCon, sqlstring))
}
-cusip.data <- function(){
- sqlstring <- "SELECT a.cusip, b.maturity, a.coupon AS grosscoupon, a.spread,
+cusip.data <- function(date){
+ if(missing(date)){
+ sqlstring <- "SELECT a.cusip, b.maturity, a.coupon AS grosscoupon, a.spread,
CASE WHEN a.floater_index like 'LIBOR%' THEN 'FLOAT' ELSE 'FIXED' END
AS fixedorfloat, a.orig_moody from cusip_universe a LEFT JOIN latest_clo_universe b ON a.dealname = b.dealname"
+ }else{
+ }
data <- dbGetQuery(dbCon, sqlstring)
return( data )
}
@@ -61,13 +78,11 @@ recovery <- function(collateral) { }
dealnamefromcusip <- function(cusips){
- ## wrapper around the sql procedure, not the fastest probably
- r <- NULL
- for(i in 1:length(cusips)){
- sqlstr <- sprintf("select * from dealname_from_cusip('%s')", cusips[i])
- r <- c(r, as.character(dbGetQuery(dbCon, sqlstr)))
- }
- return( r )
+ ## wrapper around the sql function
+ sqlstr <- sprintf("select * from dealname_from_cusip('%s')",
+ paste(cusips, collapse="','"))
+ r <- dbGetQuery(dbCon, sqlstr)
+ return( r$p_dealname )
}
cusipsfromdealnames <- function(dealnames){
@@ -239,8 +254,8 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate return( list(SC=SC, notional=line.item$currentbalance, price = line.item$price) )
}
-buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, startdate=today()) {
- collatdata <- getcollateral(dealname)
+buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, startdate=Sys.Date()) {
+ collatdata <- getcollateral(dealname, startdate)
index <- hash(cusipdata$cusip, 1:length(cusipdata$cusip))
notionalvec <- c()
SCvec <- c()
|