diff options
Diffstat (limited to 'sql/quantifi.sql')
| -rw-r--r-- | sql/quantifi.sql | 320 |
1 files changed, 320 insertions, 0 deletions
diff --git a/sql/quantifi.sql b/sql/quantifi.sql new file mode 100644 index 00000000..838baa4a --- /dev/null +++ b/sql/quantifi.sql @@ -0,0 +1,320 @@ +CREATE TABLE qf_bespokes ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + bookingentity_name text NULL, + productdescription text NULL, + maturity text NULL, + trancheattachment float8 NULL, + tranchedetachment float8 NULL, + pv float8 NULL, + riskyduration float8 NULL, + apcorrelation float8 NULL, + dpcorrelation float8 NULL, + breakevenpremium float8 NULL, + basecorrelationleveldelta float8 NULL, + CONSTRAINT qf_bespokes_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_bondbetas ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + et_duration float8 NULL, + et_beta1 float8 NULL, + et_beta2 float8 NULL, + CONSTRAINT qf_bondbetas_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_bonds ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + bookingentity_name text NULL, + cusip text NULL, + "strategy" text NULL, + quantity int8 NULL, + effectivenotional float8 NULL, + bondcoupon float8 NULL, + producttype text NULL, + pv float8 NULL, + price float8 NULL, + accrued float8 NULL, + duration float8 NULL, + beta1 float8 NULL, + beta2 float8 NULL, + CONSTRAINT qf_bonds_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_cdx ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + productdescription text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + creditindexred text NULL, + subfamily text NULL, + currentnotional float8 NULL, + riskyduration float8 NULL, + maturity text NULL, + beta float8 NULL, + fxratequote float8 NULL, + cs01 float8 NULL, + cs10 float8 NULL, + cs50 float8 NULL, + CONSTRAINT qf_cdx_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_cdxoption ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + productdescription text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + currentnotional int8 NULL, + cdxoptiontype text NULL, + cdxoptionstrike float8 NULL, + expiration text NULL, + delta float8 NULL, + cs01 float8 NULL, + vega float8 NULL, + pv float8 NULL, + priceinbps float8 NULL, + subfamily text NULL, + tradetag_markit1 text NULL, + beta float8 NULL, + fxratequote int8 NULL, + CONSTRAINT qf_cdxoption_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_cdxqf ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + productname text NULL, + productdescription text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + creditindexred text NULL, + subfamily text NULL, + currentnotional float8 NULL, + riskyduration float8 NULL, + maturity text NULL, + beta float8 NULL, + fxratequote float8 NULL, + cs01 float8 NULL, + cs10 float8 NULL, + cs50 float8 NULL, + tradedate text NULL, + substrategy text NULL, + broker_longname text NULL, + CONSTRAINT qf_cdxqf_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_cdxtranche ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + productdescription text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + currentnotional int8 NULL, + effectivenotional float8 NULL, + delta float8 NULL, + cs01 float8 NULL, + pvbaseccy float8 NULL, + pvlocalccy float8 NULL, + accrued float8 NULL, + cleanprice float8 NULL, + tradetag_markit1 text NULL, + subfamily text NULL, + fxratequote float8 NULL, + beta float8 NULL, + CONSTRAINT qf_cdxtranche_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_fxforwards ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + bookingentity_name text NULL, + buycurrency text NULL, + buyamount float8 NULL, + sellcurrency text NULL, + sellamount float8 NULL, + pv int8 NULL, + counterparty_longname text NULL, + CONSTRAINT qf_fxforwards_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_hvardata ( + "date" date NOT NULL, + "row" text NOT NULL, + tradeid text NULL, + shiftdate text NULL, + bookingentity_longname text NULL, + "trade simulated loss" text NULL, + substrategy text NULL, + "strategy" text NULL, + CONSTRAINT qf_hvardata_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_hvardatacdxoptions ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + shiftdate text NULL, + bookingentity_longname text NULL, + tradesimulatedloss float8 NULL, + substrategy text NULL, + "strategy" text NULL, + CONSTRAINT qf_hvardatacdxoptions_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_indicatives ( + "date" date NOT NULL, + "row" int8 NOT NULL, + productname text NULL, + "strategy" text NULL, + productdescription text NULL, + quantity int8 NULL, + et_beta1 float8 NULL, + riskyduration float8 NULL, + pv float8 NULL, + impliedquotedspr float8 NULL, + subfamily text NULL, + CONSTRAINT qf_indicatives_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_jtd ( + "date" date NOT NULL, + "row" int8 NOT NULL, + referenceentity_longname text NULL, + bookingentity_name text NULL, + jtddelta float8 NULL, + jtddelta_0 float8 NULL, + jtddelta_100 float8 NULL, + cdsspreadquote5y float8 NULL, + CONSTRAINT qf_jtd_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_pnlexplainbytrade ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + substrategy text NULL, + producttype text NULL, + pnlusd float8 NULL, + newbusiness float8 NULL, + termination_effect int8 NULL, + basecorrelationhigherorder float8 NULL, + basecorrelationdelta float8 NULL, + parspreadsdelta float8 NULL, + parspreadsgamma float8 NULL, + parspreadshigherorder float8 NULL, + indexbasisdelta float8 NULL, + indexbasishigherorder float8 NULL, + creditcorrelationcrosseffect float8 NULL, + creditindexvolcrosseffect float8 NULL, + recoveryratedelta float8 NULL, + recoveryhigherorder float8 NULL, + creditdefaulteffect int8 NULL, + volatilitydelta float8 NULL, + volatilityhigherorder float8 NULL, + accrualinterest float8 NULL, + timeeffecttotal float8 NULL, + irdelta float8 NULL, + irgamma float8 NULL, + irhigherorder float8 NULL, + equityvega int8 NULL, + equityspotdelta int8 NULL, + equityspotgamma int8 NULL, + equitymodeleffectinho float8 NULL, + equityspothighorder int8 NULL, + modelbasistotal float8 NULL, + mtmfxdelta float8 NULL, + mtmfxhighorder int8 NULL, + cashfxeffect float8 NULL, + nonactivetrade_cashrevaleffect float8 NULL, + mtmpladjfxreval float8 NULL, + unexplainedpl int8 NULL, + totalexplainedpl float8 NULL, + residualeffects float8 NULL, + absresidual float8 NULL, + basecorrelationhigherorder1 text NULL, + CONSTRAINT qf_pnlexplainbytrade_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_proxies ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + bookingentity_name text NULL, + productdescription text NULL, + "strategy" text NULL, + substrategy text NULL, + quantity int8 NULL, + pv float8 NULL, + riskyduration float8 NULL, + cs01 float8 NULL, + CONSTRAINT qf_proxies_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_ratefutures ( + "date" date NOT NULL, + "row" text NOT NULL, + bookingentity_name text NULL, + productdescription text NULL, + maturity text NULL, + quantity text NULL, + futurescontracttype text NULL, + price text NULL, + pv text NULL, + CONSTRAINT qf_ratefutures_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_sensitivities ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + bookingentity_name text NULL, + "strategy" text NULL, + substrategy text NULL, + producttype text NULL, + subfamily text NULL, + cs01 float8 NULL, + cs10 float8 NULL, + cs20 float8 NULL, + cs30 float8 NULL, + cs40 float8 NULL, + cs50 float8 NULL, + cs60 float8 NULL, + cs70 float8 NULL, + cs80 float8 NULL, + cs90 float8 NULL, + cs100 float8 NULL, + beta float8 NULL, + currentnotional float8 NULL, + cs300 float8 NULL, + cs1000 float8 NULL, + CONSTRAINT qf_sensitivities_pk PRIMARY KEY (date, "row") +); + +CREATE TABLE qf_swaptions ( + "date" date NOT NULL, + "row" int8 NOT NULL, + tradeid text NULL, + productdescription text NULL, + bookingentity_name text NULL, + quantity int8 NULL, + producttype text NULL, + pv float8 NULL, + expiration text NULL, + dv01 float8 NULL, + CONSTRAINT qf_swaptions_pk PRIMARY KEY (date, "row") +); + |