2 files changed, 35 insertions, 30 deletions
diff --git a/R/bloomberg_cds.R b/R/load_cds_data.R
index 79717a36..ff41b6bd 100644
--- a/R/bloomberg_cds.R
+++ b/R/load_cds_data.R
@@ -1,33 +1,5 @@
-bbgConn <- blpConnect(host='192.168.1.108', port='8194')
-
-nameToBasketID <- function(name){
-    index <- substr(name, 1, 2)
-    series <- substr(name, 3, nchar(name))
-    sqlstr <- "SELECT max(basketid) from index_desc where Index='%s' and Series=%s"
-    r <- dbGetQuery(dbCon, sprintf(sqlstr, index, series))
-    return(as.integer(r))
-}
-
-newbasketID <- function(series, offset){
-    maturities <- c("2017-06-20", "2019-06-20", "2021-06-20", "2024-06-20")
-    tenors <- c("Y3", "Y5", "Y7", "Y10")
-    sqlstr <- "INSERT INTO index_desc VALUES(%s, '%s', %s, '%s', '%s', 100, 0)"
-    indices <- c("HY", "IG")
-    for(i in seq_along(indices)){
-        for(j in seq_along(tenors)){
-            stmt <- sprintf(sqlstr, offset + 10*i, indices[i], series,
-                            maturities[j], tenors[j])
-            dbSendQuery(dbCon, stmt)
-        }
-
-    }
-}
-
-cdslist <- function(indexname){
-    basketid <- nameToBasketID(indexname)
-    sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
-    return( dbGetQuery(dbCon, sprintf(sqlstr, basketid)))
-}
+library(Rbbg)
+source("mlpdb.R")
 
 download.cdscurves <- function(date=Sys.Date()){
     tickers <- dbGetQuery(dbCon, "select cds_curve[6] from CDS_Issuers")$cds_curve
@@ -59,4 +31,8 @@ write.tranchedata <- function(){
     write.csv(data, file=paste0("tranche_data_", Sys.Date(), ".csv"), row.names=TRUE)
 }
 
+setwd("/home/share/CorpCDOs/data/bloomberg/CDS")
+bbgConn <- blpConnect(host='192.168.1.108', port='8194')
+download.cdscurves()
+write.tranchedata()
 blpDisconnect(bbgConn)
diff --git a/R/mlpdb.R b/R/mlpdb.R
new file mode 100644
index 00000000..04c1f0b9
--- /dev/null
+++ b/R/mlpdb.R
@@ -0,0 +1,29 @@
+library(RPostgreSQL)
+drv <- dbDriver("PostgreSQL")
+dbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
+                   host="debian")
+
+nameToBasketID <- function(name){
+    index <- substr(name, 1, 2)
+    series <- substr(name, 3, nchar(name))
+    sqlstr <- "SELECT max(basketid) from index_desc where Index='%s' and Series=%s"
+    r <- dbGetQuery(dbCon, sprintf(sqlstr, index, series))
+    return(as.integer(r))
+}
+
+cdslist <- function(indexname){
+    basketid <- nameToBasketID(indexname)
+    sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
+    return( dbGetQuery(dbCon, sprintf(sqlstr, basketid)))
+}
+
+arr.convert <- function(arr){
+    return(as.numeric(unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE)))))
+}
+
+get.indexquotes <- function(indexname, date){
+    r <- dbGetQuery(dbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date))
+    r <- data.frame(r[,1], matrix(arr.convert(r[,2]), nrow(r), 8, byrow=T))
+    colnames(r) <- c("ticker", "6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y")
+    return( r )
+}