diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/dawn.sql | 14 |
1 files changed, 14 insertions, 0 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index ba1b878b..9b9b7ce1 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -437,6 +437,20 @@ RETURN QUERY EXECUTE query_positions('cds') USING p_date; END; $$ LANGUAGE plpgsql; +CREATE OR REPLACE function list_cds_positions_by_strat(p_date date) +RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date, + fixed_rate float, folder cds_strat, notional float) AS $$ +BEGIN +RETURN QUERY + WITH tmp AS (SELECT cds.security_id, cds.security_desc, cds.maturity, cds.fixed_rate, cds.folder, + SUM(cds.notional * (CASE WHEN cds.protection='Buyer' THEN -1 ELSE 1 END)) + OVER (PARTITION BY cds.security_id, cds.maturity, cds.folder) AS notional + FROM cds WHERE (cds.termination_date is NULL OR cds.termination_date > p_date) AND + cds.trade_date <= p_date AND cds.attach is NULL AND cds.folder != 'MBSCDS') + SELECT DISTINCT ON (tmp.security_id, tmp.maturity, tmp.folder) * FROM tmp WHERE tmp.notional!=0; +END; +$$ LANGUAGE plpgsql; + CREATE OR REPLACE function list_tranche_positions(p_date date) RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date, fixed_rate float, attach smallint, detach smallint, notional float) AS $$ |