diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/serenitasdb.R | 53 |
1 files changed, 6 insertions, 47 deletions
diff --git a/R/serenitasdb.R b/R/serenitasdb.R index 16b3d764..807bb57f 100644 --- a/R/serenitasdb.R +++ b/R/serenitasdb.R @@ -79,53 +79,12 @@ indexsplit <- function(indexname){ get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){ ## first try the easy way: - sqlstr <- paste("select * from tranche_quotes", - "where index=$1 and series=$2 and quotedate::date=$3", - "and tenor = $4 order by attach asc") - temp <- indexsplit(indexname) - indextype <- temp$indextype - series <- temp$series - r <- dbGetQuery(serenitasdb, sqlstr, - params = list(indextype, series, date, tenor)) - ## check if set is unique and complete - ## hy9 and hy10 tranche is gone - if(tolower(indexname) %in% c("hy9", "hy10")){ - lower.attach <- 10 - }else{ - lower.attach <- 0 - } - if(length(unique(r$attach))==length(r$attach) && all(c(r$attach, 100)==c(lower.attach, r$detach))){ - return(r) - } - ##else we work harder - ##we get the list of distinct quotes - 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 <- 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)){ - 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 - } - } - if(!flag){ - return(NULL) - } + sqlstr <- "SELECT * from get_tranche_quotes($1, $2, $3, $4)" + r <- with(indexsplit(indexname), + suppressWarnings( + dbGetQuery(serenitasdb, sqlstr, params = list(indextype, series, tenor, date)) + ) + ) return( r ) } |