diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/dawn.sql | 21 |
1 files changed, 11 insertions, 10 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index ca8fdfcd..529b2d73 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -3843,18 +3843,19 @@ AS SELECT tranche_risk.date, tranche_risk.index_refspread, tranche_risk.index_duration, tranche_risk.hy_equiv, - cds.initial_margin_percentage + cds.initial_margin_percentage, + tranche_risk.ir_dv01 FROM tranche_risk LEFT JOIN cds ON tranche_risk.tranche_id = cds.id - FULL JOIN ( SELECT - COALESCE(init_trader_notes, init_fix_id) AS fix_id, - init_order_id AS admin_id, - period_end_date, - sum(total_acc_int) AS admin_accrued, - sum(end_mkt_value) AS admin_clean_nav, - sum(-position) AS admin_notional - FROM isosel_accrued WHERE liqd_date IS NULL - GROUP BY COALESCE(init_trader_notes, init_fix_id), init_order_id , period_end_date) a ON a.fix_id= concat('SCCDS', tranche_risk.tranche_id) AND a.period_end_date = tranche_risk.date + FULL JOIN ( SELECT COALESCE(isosel_accrued.init_trader_notes, isosel_accrued.init_fix_id) AS fix_id, + isosel_accrued.init_order_id AS admin_id, + isosel_accrued.period_end_date, + sum(isosel_accrued.total_acc_int) AS admin_accrued, + sum(isosel_accrued.end_mkt_value) AS admin_clean_nav, + sum(- isosel_accrued."position") AS admin_notional + FROM isosel_accrued + WHERE isosel_accrued.liqd_date IS NULL + GROUP BY (COALESCE(isosel_accrued.init_trader_notes, isosel_accrued.init_fix_id)), isosel_accrued.init_order_id, isosel_accrued.period_end_date) a ON a.fix_id = concat('SCCDS', tranche_risk.tranche_id) AND a.period_end_date = tranche_risk.date LEFT JOIN index_version ON cds.security_id::text = index_version.redindexcode LEFT JOIN external_marks_deriv ON cds.cpty_id = external_marks_deriv.identifier AND external_marks_deriv.date = tranche_risk.date WHERE cds.fund = 'ISOSEL'::fund |