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Diffstat (limited to 'deal_pricer.R')
| -rw-r--r-- | deal_pricer.R | 22 |
1 files changed, 0 insertions, 22 deletions
diff --git a/deal_pricer.R b/deal_pricer.R deleted file mode 100644 index 0fb821de..00000000 --- a/deal_pricer.R +++ /dev/null @@ -1,22 +0,0 @@ -library(RPostgreSQL) -drv <- dbDriver("PostgreSQL") -dbCon <- dbConnect(drv, dbname="ET", user="et_user", password="Serenitas;1") -dealnames <- dbGetQuery(dbCon, "select dealname from clo_universe") -pricingcoverage <- c() -for (dealname in dealnames$dealname){ - r <- dbGetQuery(dbCon, paste( - paste("select sum(currentbalance* coalesce(b.bid,c.price))/sum(currentbalance) as wap,", - "sum(currentbalance) as pricedbalance from et_collateral a", - "left join latest_markit_prices b on a.loanxid=b.loanxid", - "left join bloomberg_corp c on a.cusip=c.cusip", - "where a.dealname='"), - dealname, - "' and coalesce(b.bid,c.price) is not Null",sep="")) - s <- dbGetQuery(dbCon, - paste("select sum(currentbalance) as totalbalance from et_collateral where dealname='",dealname,"'",sep="")) - pricingcoverage <- rbind(pricingcoverage, c(dealname,r$wap,r$pricedbalance/s$totalbalance)) -} -pricingcoverage <- data.frame(dealname=dealnames$dealname,wap=as.numeric(pricingcoverage[,2]), coverage = as.numeric(pricingcoverage[,3])) - -dbDisconnect(dbCon) - |