diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/serenitasdb.sql | 11 |
1 files changed, 11 insertions, 0 deletions
diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index 01b9ad9b..ac509a9b 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -278,6 +278,7 @@ CREATE TYPE bbgSource AS ENUM('MSG1', 'CBIN', 'CBGN', 'MKIT', 'CMAN', 'SRNTAS'); CREATE TYPE DocClause AS ENUM('No Restructuring', 'Modified Modified Restructurin', 'Full Restructuring', 'Modified Restructuring');
CREATE TYPE ShortCode AS ENUM('CR14', 'XR14', 'MM14');
CREATE TYPE tenor AS ENUM('6mo', '1yr', '2yr', '3yr', '4yr', '5yr', '7yr', '10yr');
+CREATE TYPE TENOR AS ENUM('1M', '3M', '6M', '9M', '1Y', '2Y', '3Y', '4Y', '5Y', '6Y', '7Y', '8Y', '9Y', '10Y', '12Y', '15Y', '20Y', '25Y', '30Y');
CREATE TYPE index_type AS ENUM('IG', 'HY', 'EU', 'LCDX', 'XO', 'BS', 'HY.BB');
CREATE TYPE BBG_CC AS ENUM('OC');
@@ -999,6 +1000,7 @@ CREATE TABLE USD_swap_fixings( );
CREATE TYPE VOL_SOURCE AS ENUM('BVOL', 'CMPN', 'BBIR', 'GFIS');
+CREATE TYPE "VOL_TYPE" AS ENUM('Normal', 'LogNormal');
CREATE TABLE swaption_normal_vol(
date date,
@@ -1038,6 +1040,15 @@ CREATE TABLE swaption_lognormal_vol( source VOL_SOURCE,
PRIMARY KEY(date, source));
+CREATE TABLE swaption_vol(
+ date date,
+ expiry "TENOR",
+ tenor "TENOR",
+ vol_type "VOL_TYPE",
+ source vol_source,
+ vol double precision,
+PRIMARY KEY (date, expiry, tenor, vol_type, source));
+
CREATE TABLE swaption_quotes(
quote_id SERIAL PRIMARY KEY,
ref_id integer REFERENCES swaption_ref_quotes ON DELETE CASCADE,
|