1 files changed, 28 insertions, 9 deletions

diff --git a/sql/dawn.sql b/sql/dawn.sql
index f39e01fd..ff6e7de8 100644
--- a/sql/dawn.sql
+++ b/sql/dawn.sql
@@ -662,6 +662,7 @@ END;
 $$ LANGUAGE plpgsql;
 
 CREATE TYPE LIST_CDS AS(
+       id integer,
        trade_date date,
        security_id varchar(12),
        security_desc varchar(32),
@@ -675,22 +676,24 @@ CREATE TYPE LIST_CDS AS(
        orig_detach smallint,
        attach float,
        detach float,
-       fcm text
+       fcm text,
+       initial_margin_percentage float
 );
 
 CREATE OR REPLACE function list_cds(p_date date, p_fund fund DEFAULT 'SERCGMAST'::fund)
 RETURNS SETOF LIST_CDS AS $$
 BEGIN
 RETURN QUERY
-SELECT trade_date, security_id, security_desc, maturity, fixed_rate, currency,
+SELECT id, trade_date, security_id, security_desc, maturity, fixed_rate, currency,
        folder, protection, notional - coalesce(terminated_amount, 0.) AS notional,
-       orig_attach, orig_detach, attach, detach, account_code
+       orig_attach, orig_detach, attach, detach, account_code, initial_margin_percentage
 FROM cds LEFT JOIN (
      SELECT id, SUM(termination_amount ) AS terminated_amount
      FROM (SELECT id, unnest(termination_amount) as termination_amount,
                   unnest(termination_date) as termination_date FROM cds) a
            WHERE termination_date <= p_date GROUP BY id) b USING (id)
-           WHERE fund=p_fund and notional != 0. and trade_date <= p_date;
+WHERE fund=p_fund and notional IS DISTINCT FROM terminated_amount
+      AND trade_date <= p_date AND maturity > p_date;
 END;
 $$ LANGUAGE plpgsql;
 
@@ -791,8 +794,7 @@ RETURN QUERY
        cds.attach, cds.detach, cds.folder,
        SUM(cds.notional * (CASE WHEN cds.protection='Buyer' THEN 1 ELSE -1 END))
        OVER (PARTITION BY cds.security_id, cds.maturity, cds.orig_attach, cds.orig_detach, 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.orig_attach is NOT NULL AND cds.fund=p_fund)
+       FROM list_cds(p_date, p_fund) cds WHERE cds.orig_attach is NOT NULL)
   SELECT DISTINCT ON (tmp.security_id, tmp.maturity, tmp.orig_attach, tmp.folder) * FROM tmp WHERE tmp.notional!=0;
 END;
 $$ LANGUAGE plpgsql;
@@ -1774,8 +1776,8 @@ FROM swaptions JOIN counterparties ON cp_code = code
 CREATE OR REPLACE VIEW cds_trades AS
 SELECT id,
        dealid,
-       termination_date as trade_date,
-       notional,
+       termination_date AS trade_date,
+       termination_amount AS notional,
        security_desc,
        security_id,
        CASE WHEN termination_cp=cp_code THEN
@@ -1798,7 +1800,24 @@ SELECT id,
        END AS protection,
        -termination_fee AS upfront,
        ref
-FROM cds JOIN counterparties ON termination_cp = code WHERE termination_date IS NOT NULL
+FROM (select id,
+             dealid,
+             unnest(termination_date) AS termination_date,
+             unnest(termination_amount) AS termination_amount,
+             security_desc,
+             security_id,
+             unnest(termination_cp) AS termination_cp,
+             folder,
+             fund,
+             orig_attach,
+             orig_detach,
+             attach,
+             detach,
+             protection,
+             unnest(termination_fee) AS termination_fee,
+             cp_code,
+             ref from cds where termination_date is not null) a
+left JOIN counterparties on termination_cp=code
 UNION ALL (
 SELECT id,
        dealid,