diff options
Diffstat (limited to 'sql/serenitas.c')
| -rw-r--r-- | sql/serenitas.c | 238 |
1 files changed, 238 insertions, 0 deletions
diff --git a/sql/serenitas.c b/sql/serenitas.c new file mode 100644 index 00000000..a85894ce --- /dev/null +++ b/sql/serenitas.c @@ -0,0 +1,238 @@ +#include "postgres.h" +#include "fmgr.h" +#include "executor/spi.h" +#include "lz4.h" +#include "utils/date.h" +#include "utils/builtins.h" +#include "utils/numeric.h" +#include "utils/rel.h" + +#include "isda/bastypes.h" +#include "isda/dateconv.h" +#include "isda/busday.h" +#include "isda/ldate.h" +#include "isda/cdsone.h" +#include <stdbool.h> + +PG_MODULE_MAGIC; + +static inline TDate next_business_day(TDate date, long method, const char* cal) { + TDate r; + if (JpmcdsBusinessDay(date, method, cal, &r) != SUCCESS) { + return -1; + } else { + return r; + } +} + +TDate _previous_twentieth(TDate d, bool roll, const char* cal) { + TMonthDayYear mdy; + if (JpmcdsDateToMDY(d, &mdy) != SUCCESS) { + return -1; + } + if (mdy.day < 20) { + if(mdy.month == 1) { + mdy.month = 12; + mdy.year -= 1; + } else { + mdy.month -= 1; + } + } + mdy.day = 20; + int mod = mdy.month % 3; + if (mod != 0) { + mdy.month -= mod; + if (mdy.month <= 0) { + mdy.month += 12; + mdy.year -= 1; + } + } + TDate r; + if (JpmcdsMDYToDate(&mdy, &r) != SUCCESS) { + return -1; + } + if (roll) { + return next_business_day(r, JPMCDS_BAD_DAY_FOLLOW, cal); + } else { + return r; + } +} + +// postgresql represents dates as number of days since 2000-01-01 +// TDate are integers since 1601-01-01 +static inline TDate TDate_from_DateADT(DateADT d) { + return d + 145731; +} + +static inline const char* cal_from_currency(const char* curr) { + static const char default_cal[] = "NONE"; + static const char us_cal[] = "/usr/share/cds/US"; + if (strcmp(curr, "USD") == 0) { + return us_cal; + } else { + return default_cal; + } +} +PG_FUNCTION_INFO_V1(cds_accrued); + +Datum cds_accrued(PG_FUNCTION_ARGS) { + DateADT d = PG_GETARG_DATEADT(0); + float8 coupon = PG_GETARG_FLOAT8(1); + bool include_cashflow = PG_GETARG_BOOL(2); + char* currency = text_to_cstring(PG_GETARG_TEXT_PP(3)); + const char* cal = cal_from_currency(currency); + TDate date = TDate_from_DateADT(d) + 1; + TDate date1 = next_business_day(date, JPMCDS_BAD_DAY_PREVIOUS, cal); + if (date1 == -1) + elog(ERROR, "Please set up the US calendar in /usr/share/cds/US"); + + TDate date_prev = _previous_twentieth(date1, true, cal); + + if ((date_prev == date) && include_cashflow) { + date_prev = _previous_twentieth(date - 1, true, cal); + } + pfree(currency); + PG_RETURN_FLOAT8((date - date_prev) / 360. * coupon); +} + +static inline void get_TCurve(const char* buf, uint32_t length, TCurve* curve) { + if (LZ4_decompress_safe(buf, (char*)curve, length, 512) < 0) { + elog(ERROR, "error during decompression"); + } +} + +double calc(TDate today, TDate start_date, TDate end_date, double recovery, double fixed_rate, const char* calendar, const TCurve* yc, double val, bool calc_upfront) { + TDate cash_settle_date; + JpmcdsDateFromBusDaysOffset(today, 3, calendar, &cash_settle_date); + TDate step_in_date = today + 1; + TStubMethod stub_type = {0, 0}; //f/s + TDateInterval ivl = {.prd = 3, .prd_typ='M', .flag=0}; // 3 months + double result; + if (calc_upfront) { + JpmcdsCdsoneUpfrontCharge(today, + cash_settle_date, + today, // benchmark_start_date + step_in_date, + start_date, + end_date, + fixed_rate, + true, // pay accrued on default + &ivl, + &stub_type, + JPMCDS_ACT_360, + JPMCDS_BAD_DAY_FOLLOW, + calendar, + yc, + val, + recovery, + true, // pay accrued at start + &result); + } else { + JpmcdsCdsoneSpread(today, + cash_settle_date, + today, // benchmark_start_date + step_in_date, + start_date, + end_date, + fixed_rate, + true, // pay accrued on default + &ivl, + &stub_type, + JPMCDS_ACT_360, + JPMCDS_BAD_DAY_FOLLOW, + calendar, + yc, + val, + recovery, + true, // pay accrued at start + &result); + } + return result; +} + + +PG_FUNCTION_INFO_V1(upfront_from_level); + +Datum upfront_from_level(PG_FUNCTION_ARGS) { + if (SPI_connect() == SPI_ERROR_CONNECT) { + elog(ERROR, "something wrong happened"); + } + const text* redindexcode = PG_GETARG_TEXT_PP(0); + DateADT maturity = PG_GETARG_DATEADT(1); + float8 traded_level = PG_GETARG_FLOAT8(2); + DateADT trade_date = PG_GETARG_DATEADT(3); + const char* currency = text_to_cstring(PG_GETARG_TEXT_PP(4)); + char* sql_query = "SELECT index, coupon, issue_date, indexfactor/100, cumulativeloss " + "FROM index_desc " + "WHERE redindexcode=$1 AND maturity=$2"; + uint64 proc; + int nargs = 2; + Oid argtypes[2] = {TEXTOID, DATEOID}; + char nulls[2] = " "; + Datum values[2]; + int ret; + values[0] = PointerGetDatum(redindexcode); + values[1] = DateADTGetDatum(maturity); + ret = SPI_execute_with_args(sql_query, nargs, argtypes, values, nulls, true, 1); + proc = SPI_processed; + + int coupon; + char *index; + TDate issue_date; + double factor, cumulativeloss; + if (ret == SPI_OK_SELECT && SPI_tuptable != NULL) { + SPITupleTable *tuptable = SPI_tuptable; + TupleDesc tupdesc = tuptable->tupdesc; + bool isnull; + HeapTuple tuple = tuptable->vals[0]; + index = text_to_cstring(DatumGetTextPP(SPI_getbinval(tuple, tupdesc, 1, &isnull))); + coupon = DatumGetInt32(SPI_getbinval(tuple, tupdesc, 4, &isnull)); + issue_date = TDate_from_DateADT(DatumGetDateADT(SPI_getbinval(tuple, tupdesc, 5, &isnull))); + factor = DatumGetFloat8(SPI_getbinval(tuple, tupdesc, 6, &isnull)); + cumulativeloss = DatumGetFloat8(SPI_getbinval(tuple, tupdesc, 8, &isnull)); + } else { + SPI_finish(); + elog(ERROR, "something wrong happened"); + } + int16 curve_type = 532; + sql_query = "SELECT curve FROM rate_curves WHERE effective_date=$1 AND curve_type=$2"; + argtypes[0] = DATEOID; + argtypes[1] = INT2OID; + values[0] = DateADTGetDatum(trade_date); + values[1] = Int16GetDatum(curve_type); + ret = SPI_execute_with_args(sql_query, nargs, argtypes, values, nulls, true, 1); + proc = SPI_processed; + bytea* buf; + Datum tmp; + TCurve* curve; + if (ret == SPI_OK_SELECT && SPI_tuptable != NULL) { + SPITupleTable *tuptable = SPI_tuptable; + TupleDesc tupdesc = tuptable->tupdesc; + bool isnull; + HeapTuple tuple = tuptable->vals[0]; + tmp = SPI_getbinval(tuple, tupdesc, 1, &isnull); + if (isnull) { + pfree(index); + SPI_finish(); + elog(ERROR, "no curve for that date"); + } else { + buf = DatumGetByteaPP(tmp); + uint32 data_length = VARSIZE_ANY(curve); + char *raw_data = VARDATA_ANY(curve); + curve = (TCurve*)malloc(512); + get_TCurve(raw_data, data_length, curve); + } + } else { + pfree(index); + SPI_finish(); + elog(ERROR, "no curve for that date"); + } + SPI_finish(); + double recovery = 0.4; + double upfront; + upfront = calc(TDate_from_DateADT(trade_date), issue_date, TDate_from_DateADT(maturity), recovery, coupon / 10000, cal_from_currency(currency), curve, traded_level, true); + + pfree(index); + pfree(curve); + PG_RETURN_FLOAT8(upfront); +} |