diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/serenitasdb.R | 35 |
1 files changed, 15 insertions, 20 deletions
diff --git a/R/serenitasdb.R b/R/serenitasdb.R index 04a6224a..798c55f8 100644 --- a/R/serenitasdb.R +++ b/R/serenitasdb.R @@ -79,9 +79,11 @@ get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ sqlstr <- paste("select * from tranche_quotes", "where index=$1 and series=$2 and quotedate::date=$3", "and tenor = $4 order by attach asc") - r <- with(indexsplit(indexname), - dbGetQuery(serenitasdb, sqlstr, - params = list(indextype, series, date, tenor))) + temp <- indexsplit(indexname) + indextype <- temp$indextype + series <- temp$series + r <- dbGetQuery(serenitasdb, sqlstr, + params = list(indextype, series, date, tenor)) ## check if set is unique and complete ## hy9 and hy10 tranche is gone if(tolower(indexname) %in% c("hy9", "hy10")){ @@ -97,29 +99,22 @@ get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ sqlstr <- paste("select distinct quotesource, quotedate from tranche_quotes", "where index=$1 and series=$2 and quotedate::date=$3", "and tenor = $4 order by quotedate desc") - distinct.quotes <- with(indexsplit(indexname), - dbGetQuery(serenitasdb, sqlstr, - params = list(indextype, series, date, tenor))) + distinct.quotes <- dbGetQuery(serenitasdb, sqlstr, + params = list(indextype, series, date, tenor)) flag <- FALSE ##we loop through the disctinct quotes until we find a complete set if(nrow(distinct.quotes)==0){ return(NULL) } for(i in 1:nrow(distinct.quotes)){ - if(temp$index == 'HY' && temp$series>=15){ ##don't want the tranchelets quoted by CITI - sqlstr <- paste("select * from tranche_quotes where index=$1", - "and series=$2 and tenor = $3 and quotedate=$4", - "and detach-attach!=5 and quotesource=$5 order by attach asc") - }else{ - sqlstr <- paste("select * from tranche_quotes where index=$1", - "and series=$2 and tenor = $3 and quotedate=$4", - "and quotesource=$5 order by attach asc") - } - r <- with(indexsplit(indexname), - dbGetQuery(serenitasdb, sqlstr, - params = list(indextype, series, tenor, - distinct.quotes$quotedate[i], - distinct.quotes$quotesource[i]))) + sqlstr <- str_c("select * from tranche_quotes where index=$1 ", + "and series=$2 and tenor = $3 and quotedate=$4 ", + if(indextype == 'HY' && series>=15) "and detach-attach!=5 " else NULL, + "and quotesource=$5 order by attach asc") + r <- dbGetQuery(serenitasdb, sqlstr, + params = list(indextype, series, tenor, + distinct.quotes$quotedate[i], + distinct.quotes$quotesource[i])) if(all(c(r$attach, 100)==c(lower.attach, r$detach))){#set is complete flag <- TRUE break |