diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/serenitas.c | 15 |
1 files changed, 4 insertions, 11 deletions
diff --git a/sql/serenitas.c b/sql/serenitas.c index f7fe4ee5..022d45d9 100644 --- a/sql/serenitas.c +++ b/sql/serenitas.c @@ -104,7 +104,6 @@ static inline void get_TCurve(const char* buf, uint32_t length, TCurve* curve) { } 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) { - elog(INFO, "pomme"); TDate cash_settle_date; JpmcdsDateFromBusDaysOffset(today, 3, calendar, &cash_settle_date); TDate step_in_date = today + 1; @@ -112,9 +111,6 @@ double calc(TDate today, TDate start_date, TDate end_date, double recovery, doub TDateInterval ivl = {.prd = 3, .prd_typ='M', .flag=0}; // 3 months double result; int success; - elog(INFO, "%d %d\n", yc->fBaseDate, yc->fNumItems); - elog(INFO, "%f\n", val); - JpmcdsErrMsgOn(); if (calc_upfront) { success = JpmcdsCdsoneUpfrontCharge(today, cash_settle_date, @@ -132,9 +128,8 @@ double calc(TDate today, TDate start_date, TDate end_date, double recovery, doub yc, val, recovery, - true, // pay accrued at start + false, // pay accrued at start &result); - elog(INFO, "poupou %d", success); } else { success = JpmcdsCdsoneSpread(today, cash_settle_date, @@ -152,7 +147,7 @@ double calc(TDate today, TDate start_date, TDate end_date, double recovery, doub yc, val, recovery, - true, // pay accrued at start + false, // pay accrued at start &result); } return result; @@ -237,10 +232,8 @@ Datum upfront_from_level(PG_FUNCTION_ARGS) { 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); - elog(INFO, "yahoo"); + upfront = calc(TDate_from_DateADT(trade_date), issue_date, TDate_from_DateADT(maturity), recovery, coupon / 10000.0, cal_from_currency(currency), curve, traded_level, true); pfree(index); - pfree(curve); - elog(INFO, "test"); + free(curve); PG_RETURN_FLOAT8(upfront); } |