diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 10 | ||||
| -rw-r--r-- | R/serenitasdb.R | 17 |
2 files changed, 15 insertions, 12 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index f4bb3668..38294f0f 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -47,9 +47,8 @@ for(i in seq_along(runs$name)){ if(!file.exists(filename)){
args$update <- FALSE
}
- if(args$update){##ghetto way of getting the last row of the file
- runfile <- read.csv(filename)
- begin.date <- as.Date(runfile[nrow(runfile),1])+1
+ if(args$update){
+ begin.date <- getlastdate(index.name, tenor)
}else{
begin.date <- switch(index.name,
hy10 = as.Date("2014-08-11"),
@@ -119,9 +118,8 @@ for(i in seq_along(runs$name)){ cat(csvheaders(index), sep="\n", file=filename)
}
cat(tocsv(index), sep="\n", file=filename, append=TRUE)
+ dbSendQuery(serenitasdb, tosql(index))
loginfo("done")
}
}
-## it's really ghetto, but that works for now...
-cmd <- paste("python3" , file.path(root.dir, "code", "python", "populate_risk_numbers.py"))
-system(cmd)
+dbDisconnect(serenitasdb)
diff --git a/R/serenitasdb.R b/R/serenitasdb.R index 6e6d5344..7dcfcd7d 100644 --- a/R/serenitasdb.R +++ b/R/serenitasdb.R @@ -47,12 +47,8 @@ get.indexquotes <- function(indexname, date=Sys.Date()){ } indexsplit <- function(indexname){ - r <- regexpr("(\\D*)(\\d*)", indexname, perl=T) - cs <- attr(r, "capture.start") - cl <- attr(r, "capture.length") - index <- substr(indexname, cs[1], cs[1]+cl[1]-1) - series <- substr(indexname, cs[2], cs[2]+cl[2]-1) - return(list(index=toupper(index), series=series)) + return(list(index = toupper(substr(indexname, 0, 2)), + series=substr(indexname, 3, nchar(indexname)))) } get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ @@ -114,3 +110,12 @@ couponfromindex <- function(indexname, tenor){ r <- dbGetQuery(serenitasdb, sqlstr) r$coupon } + +getlastdate <- function(indexname, tenor){ + temp <- indexsplit(indexname) + r <- dbGetQuery(serenitasdb, + sprintf(paste("SELECT max(date)+1 AS date FROM risk_numbers", + "WHERE index='%s' and series='%s' and tenor='%s'"), + temp$index, temp$series, tenor)) + return(as.Date(r$date, format="%Y-%m-%d")) +} |