diff options
Diffstat (limited to 'sql/dawn.sql')
| -rw-r--r-- | sql/dawn.sql | 32 |
1 files changed, 31 insertions, 1 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index ea854239..da6dd7b4 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1283,7 +1283,7 @@ query:= delta_hpi, delta_RnW, delta_mult, delta_ir, pv_FB FROM %I WHERE timestamp BETWEEN $1 AND $1 + INTERVAL ''1 day'' - AND model_id_sub=$3 AND normalization=''current_notional'') + AND model_id_sub=$3 ' || opt_constraint || ') SELECT a.cusip, a.pv as v1, b.pv as v2, c.pv AS v3, a.modDur, c.delta_yield, c.wal, c.pv_io, c.pv_po, c.pv_RnW, c.delta_ir_io, c.delta_ir_po, c.delta_hpi, c.delta_RnW, c.delta_mult, a.pv_RnW as v1pv_RnW, @@ -1334,6 +1334,36 @@ CREATE TABLE swaption_marks( gamma float, vega float) +CREATE TABLE subprime_risk( + date date, + cusip varchar(9), + pv1 float, + pv2 float, + pv3 float, + modDur float, + pv5 float, + pv25 float, + pv50 float, + pv75 float, + pv95 float, + delta_yield float, + wal float, + pv_io float, + pv_po float, + pv_RnW float, + delta_ir_io float, + delta_ir_po float, + delta_hpi float, + delta_RnW float, + delta_mult float, + v1pv_RnW float, + v1_lsdel float, + v1_hpidel float, + v1_irdel float, + pv_FB float, + PRIMARY KEY (date, cusip)) + + CREATE TYPE portfolio AS ENUM('CASH', 'CLO', 'CURVE', 'GFS_HELPER_BUSINESS_UNIT', 'HEDGE_MAC', 'HY', 'IG', 'LQD_TRANCH', 'MORTGAGES', 'OPTIONS', 'SERCGLLC__SERCGLLC', 'SERCGLTD__SERCGLTD', 'SER_TEST__SER_TEST', 'STRUCTURED', |