1 files changed, 81 insertions, 0 deletions
diff --git a/sql/date.c b/sql/date.c
new file mode 100644
index 00000000..aa81342c
--- /dev/null
+++ b/sql/date.c
@@ -0,0 +1,81 @@
+#include "postgres.h"
+#include "fmgr.h"
+#include "utils/date.h"
+#include "utils/builtins.h"
+#include "isda/dateconv.h"
+#include "isda/busday.h"
+
+PG_MODULE_MAGIC;
+
+static inline TDate next_business_day(TDate date, long method, const char* cal) {
+    TDate r;
+    if (JpmcdsBusinessDay(date, method, cal, &r) != SUCCESS) {
+        return -1;
+    } else {
+        return r;
+    }
+}
+
+TDate _previous_twentieth(TDate d, bool roll, const char* cal) {
+    TMonthDayYear mdy;
+    if (JpmcdsDateToMDY(d, &mdy) != SUCCESS) {
+        return -1;
+    }
+    if (mdy.day < 20) {
+        if(mdy.month == 1) {
+            mdy.month = 12;
+            mdy.year -= 1;
+        } else {
+            mdy.month -= 1;
+        }
+    }
+    mdy.day = 20;
+    int mod = mdy.month % 3;
+    if (mod != 0) {
+        mdy.month -= mod;
+        if (mdy.month <= 0) {
+            mdy.month += 12;
+            mdy.year -= 1;
+        }
+    }
+    TDate r;
+    if (JpmcdsMDYToDate(&mdy, &r) != SUCCESS) {
+        return -1;
+    }
+    if (roll) {
+        return next_business_day(r, JPMCDS_BAD_DAY_FOLLOW, cal);
+    } else {
+        return r;
+    }
+}
+
+PG_FUNCTION_INFO_V1(cds_accrued);
+
+// postgresql represents dates as number of days since 2000-01-01
+// TDate are integers since 1601-01-01
+Datum cds_accrued(PG_FUNCTION_ARGS) {
+    const char default_cal[] = "NONE";
+    const char us_cal[] = "/usr/share/cds/US";
+    DateADT d = PG_GETARG_DATEADT(0);
+    float8 coupon = PG_GETARG_FLOAT8(1);
+    bool include_cashflow = PG_GETARG_BOOL(2);
+    const char* currency = text_to_cstring(PG_GETARG_TEXT_PP(3));
+    const char* cal;
+
+    if (strcmp(currency, "USD") == 0) {
+        cal = us_cal;
+    } else {
+        cal = default_cal;
+    }
+    TDate date = d + 145731 + 1;
+    TDate date1 = next_business_day(date, JPMCDS_BAD_DAY_PREVIOUS, cal);
+    if (date1 == -1) {
+	elog(ERROR, "Please set up the US calendar in /usr/share/cds/US");
+    }
+    TDate date_prev = _previous_twentieth(date1, true, cal);
+
+    if ((date_prev == date) && include_cashflow) {
+        date_prev = _previous_twentieth(date - 1, true, cal);
+    }
+    PG_RETURN_FLOAT8((date - date_prev) / 360. * coupon);
+}