diff options
Diffstat (limited to 'sql/dawn.sql')
| -rw-r--r-- | sql/dawn.sql | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index cbbb4087..597bb651 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -883,13 +883,15 @@ $$ LANGUAGE plpgsql; CREATE OR REPLACE function tranche_factor(attach smallint, detach smallint, index_factor float, cumulativeloss float) RETURNS float AS $$ +-- index_factor and cumulativeloss are in percents, eg: +-- tranche_factor(15::smallint, 25::smallint, 98, 0.71) DECLARE newattach float; newdetach float; BEGIN -newattach:=LEAST(GREATEST((attach-100*cumulativeloss)/index_factor, 0), 1); -newdetach:=LEAST(GREATEST((detach-100*cumulativeloss)/index_factor, 0), 1); +newattach:=LEAST(GREATEST((attach-cumulativeloss)/index_factor, 0), 1); +newdetach:=LEAST(GREATEST((detach-cumulativeloss)/index_factor, 0), 1); RETURN (newdetach-newattach)/(detach-attach)*index_factor; END; $$ LANGUAGE plpgsql; |