diff options
Diffstat (limited to 'sql/dawn.sql')
| -rw-r--r-- | sql/dawn.sql | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index dc24a865..8e3020c1 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -504,7 +504,7 @@ $$ LANGUAGE plpgsql; CREATE OR REPLACE function list_cds_marks(p_date date, strat cds_strat DEFAULT NULL::cds_strat) RETURNS TABLE(security_id varchar(12), security_desc varchar(32), p_index index_type, p_series smallint, p_version smallint, tenor tenor, maturity date, notional float, factor float, - name text, coupon float, duration float, price float, closespread float, + name text, coupon float, duration float, theta float, price float, closespread float, clean_nav float, accrued float) AS $$ DECLARE days integer; @@ -525,12 +525,12 @@ sqlquery := format( cds_globeop_name(a.security_id, a.fixed_rate, a.maturity, c.index, c.tenor) FROM list_cds_positions(%s) a LEFT JOIN index_desc c ON (a.security_id=c.redindexcode AND a.maturity=c.maturity)), -index_price AS (SELECT index, series, version, d.tenor, closeprice, d.duration, d.closespread +index_price AS (SELECT index, series, version, d.tenor, closeprice, d.duration, d.closespread, d.theta FROM index_quotes d WHERE date=$1) SELECT temp.security_id, temp.security_desc, temp.index, temp.series, temp.version, temp.tenor, temp.maturity, temp.notional, temp.fact, temp.cds_globeop_name, temp.fixed_rate/100, - index_price.duration, index_price.closeprice, index_price.closespread, + index_price.duration, index_price.theta, index_price.closeprice, index_price.closespread, (index_price.closeprice/100.-1) * temp.notional * temp.fact * (CASE WHEN temp.currency = ''EUR'' THEN $2 ELSE 1 END), temp.notional * temp.fixed_rate/100. * temp.fact * $3 / 360 * |