diff options
Diffstat (limited to 'sql/dawn.sql')
| -rw-r--r-- | sql/dawn.sql | 20 |
1 files changed, 12 insertions, 8 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 02432d0c..8550c41f 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1335,7 +1335,7 @@ BEGIN RETURN QUERY SELECT id, fund, trade_date, security_id, security_desc, maturity, fixed_rate, currency, folder, protection, (notional - coalesce(terminated_amount, 0.)) * - (CASE WHEN cds.protection='Buyer' THEN 1 ELSE -1 END) + (CASE WHEN cds.protection='Buy' THEN 1 ELSE -1 END) AS notional, orig_attach, orig_detach, attach, detach, account_code, initial_margin_percentage, cpty_id, @@ -1355,7 +1355,7 @@ BEGIN RETURN QUERY SELECT id, fund, trade_date, security_id, security_desc, maturity, fixed_rate, currency, folder, protection, (notional - coalesce(terminated_amount, 0.)) * - (CASE WHEN cds.protection='Buyer' THEN 1 ELSE -1 END) + (CASE WHEN cds.protection='Buy' THEN 1 ELSE -1 END) AS notional, orig_attach, orig_detach, attach, detach, account_code, initial_margin_percentage, cpty_id, @@ -3042,13 +3042,15 @@ SELECT cds.id, orig_detach, attach, detach, - CASE protection WHEN 'Buyer' THEN - 'Seller'::protection + CASE protection WHEN 'Buy' THEN + 'Sell'::protection ELSE - 'Buyer'::protection + 'Buy'::protection END AS protection, termination_fee AS upfront, - terminations.traded_level + terminations.traded_level, + terminations.fee_payment_date AS settle_date, + cds.currency FROM terminations RIGHT JOIN cds USING (dealid) LEFT JOIN counterparties on termination_cp=code WHERE termination_date is NOT NULL @@ -3070,7 +3072,9 @@ SELECT id, detach, protection, upfront, - traded_level + traded_level, + cds.upfront_settle_date AS settle_date, + cds.currency FROM cds JOIN counterparties ON cp_code = code) ORDER BY trade_date DESC, folder; CREATE TABLE curve_risk( @@ -3436,7 +3440,7 @@ begin SELECT LEFT(split_part(security_desc, ' ', 2),2) AS "index", imm.tradeid, a.fund, pfm.clean_folder, pfm.portfolio, a.security_id, a.notional, a.fcm FROM ( SELECT cds.fund, account_code AS fcm, cds.security_id, max(security_desc) AS security_desc, maturity, folder, -SUM(cds.notional * (CASE WHEN protection='Buyer' THEN 1 ELSE -1 END)) AS notional FROM cds +SUM(cds.notional * (CASE WHEN protection='Buy' THEN 1 ELSE -1 END)) AS notional FROM cds WHERE swap_type='CD_INDEX' AND trade_date<=start_from AND maturity > start_from GROUP BY cds.security_id, maturity, cds.folder, cds.fund, account_code) a LEFT JOIN portfolio_folder_mapping pfm ON replace(a.folder::text, 'SER_', '')=pfm.clean_folder |