diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/dawn.sql | 15 |
1 files changed, 15 insertions, 0 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 292cd8ed..ba8c182d 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -676,6 +676,21 @@ ORDER BY dealid, date DESC; END $$ LANGUAGE plpgsql; +CREATE OR REPLACE FUNCTION list_ir_swaption_positions(IN p_date date) + RETURNS TABLE(deal_id character varying, strategy swaption_strat, notional double precision, + option_type option_type, strike double precision, expiration_date date, maturity date, + initial_margin_percentage double precision) AS $$ +BEGIN +RETURN QUERY +SELECT a.dealid, folder, (CASE WHEN buysell = 't' THEN 1 ELSE -1 END) * a.notional, +a.option_type, a.strike, a.expiration_date, a.maturity, a.initial_margin_percentage +FROM swaptions a WHERE termination_date IS NULL +AND a.expiration_date > p_date +AND a.trade_date <= p_date +AND a.swap_type = 'SWAPTION'; +END +$$ LANGUAGE plpgsql; + CREATE OR REPLACE function list_abscds_marks(p_date date) RETURNS TABLE(security_id varchar(12), cusip varchar(9), security_desc varchar(32), maturity date, notional float, factor float, fixed_rate float, clean_nav float, accrued float) AS $$ |