1 files changed, 14 insertions, 0 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql
index ba1b878b..9b9b7ce1 100644
--- a/sql/dawn.sql
+++ b/sql/dawn.sql
@@ -437,6 +437,20 @@ RETURN QUERY EXECUTE query_positions('cds') USING p_date;
 END;
 $$ LANGUAGE plpgsql;
 
+CREATE OR REPLACE function list_cds_positions_by_strat(p_date date)
+RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date,
+              fixed_rate float, folder cds_strat, notional float) AS $$
+BEGIN
+RETURN QUERY
+  WITH tmp AS (SELECT cds.security_id, cds.security_desc, cds.maturity, cds.fixed_rate, cds.folder,
+       SUM(cds.notional * (CASE WHEN cds.protection='Buyer' THEN -1 ELSE 1 END))
+       OVER (PARTITION BY cds.security_id, cds.maturity, cds.folder)  AS notional
+       FROM cds WHERE (cds.termination_date is NULL OR cds.termination_date > p_date) AND
+       cds.trade_date <= p_date AND cds.attach is NULL AND cds.folder != 'MBSCDS')
+  SELECT DISTINCT ON (tmp.security_id, tmp.maturity, tmp.folder) * FROM tmp WHERE tmp.notional!=0;
+END;
+$$ LANGUAGE plpgsql;
+
 CREATE OR REPLACE function list_tranche_positions(p_date date)
 RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date,
               fixed_rate float, attach smallint, detach smallint, notional float) AS $$