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-rw-r--r--sql/dawn.sql322
-rw-r--r--sql/quantifi.sql320
2 files changed, 320 insertions, 322 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql
index 37898e64..fc4e695f 100644
--- a/sql/dawn.sql
+++ b/sql/dawn.sql
@@ -3276,325 +3276,3 @@ CREATE TABLE citco_mapping (
"mapping" text NOT NULL,
CONSTRAINT citco_mapping_un UNIQUE (enum, mapping)
);
-
-
-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")
-);
-
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")
+);
+
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-26 17:59:03 +0000