diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/serenitasdb.sql | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index 45ddaa36..37f44135 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -475,19 +475,21 @@ CREATE OR REPLACE FUNCTION curve_quotes2( float[] DEFAULT '{0.5, 1, 2, 3, 4, 5, 7, 10}'::float[],
bbgsource DEFAULT 'MKIT'::bbgsource) RETURNS
TABLE(cds_ticker text, date date, spread_curve float[],
- upfront_curve float[], recovery_curve float[], event_date date) AS $$
+ upfront_curve float[], recovery_curve float[], currency curr,
+ event_date date) AS $$
BEGIN
RETURN QUERY SELECT max(markit_ticker) AS t, max(a.date),
array_agg((a.runningbid + a.runningask)/2 ORDER BY tenor),
array_agg((a.upfrontbid + a.upfrontask)/2 ORDER BY tenor),
array_agg(a.Recovery ORDER BY tenor),
- max(b.event_date) FROM historical_cds_quotes($2, $4) a
+ max(b.currency), max(b.event_date) FROM historical_cds_quotes($2, $4) a
RIGHT JOIN
- (SELECT curve_ticker, markit_ticker, company_id, c.event_date, tenor FROM
+ (SELECT curve_ticker, markit_ticker, company_id, c.event_date, c.currency, tenor FROM
(SELECT unnest('{0.5, 1, 2, 3, 4, 5, 7, 10}'::float[]) AS tenor,
unnest(cds_curve) AS curve_ticker,
markit_ticker,
company_id,
+ d.currency,
d.event_date
FROM index_members($1, $2) d) c
WHERE tenor=Any($3)) b
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