diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/dawn.sql | 55 |
1 files changed, 55 insertions, 0 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 5de27fdf..a33fc96a 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -277,6 +277,60 @@ RETURN QUERY EXECUTE query_positions('abs') USING p_date; END; $$ LANGUAGE plpgsql; +CREATE OR REPLACE function list_cds_marks(p_date date) +RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date, + notional float, factor float, coupon integer, duration float, clean_nav float, accrued float) AS $$ +DECLARE + days integer; +BEGIN +days:=days_accrued(p_date); +RETURN QUERY +WITH temp AS (SELECT a.*, c.index, c.series, c.version, d,tenor, c.indexfactor/100. AS fact, d.coupon + FROM list_cds_positions(p_date) a + LEFT JOIN index_version c ON a.security_id=c.redindexcode + LEFT JOIN index_desc d USING (redindexcode, maturity)), +index_price AS (SELECT index, series, version, tenor, closeprice, index_quotes.duration + FROM index_quotes WHERE date=p_date) +SELECT temp.security_id, temp.security_desc, temp.maturity, temp.notional, temp.fact, temp.coupon, +index_price.duration, (index_price.closeprice/100.-1)*temp.notional*temp.fact, +temp.notional*temp.coupon/10000.*temp.fact*days/360 +FROM temp +LEFT JOIN index_price ON temp.index::text=index_price.index + AND temp.series=index_price.series + AND temp.version=index_price.version + AND temp.tenor=index_price.tenor; +END +$$ LANGUAGE plpgsql; + +CREATE OR REPLACE function list_tranche_marks(p_date date) +RETURNS TABLE(security_id varchar(12), security_desc varchar(32), maturity date, + notional float, factor float, coupon integer, clean_nav float, accrued float) AS $$ +DECLARE + days integer; +BEGIN +days:=days_accrued(p_date); +RETURN QUERY +WITH temp AS (SELECT a.*, c.index, c.series, c.version, d.basketid, d.tenor, + tranche_factor(a.attach, a.detach, c.indexfactor, c.cumulativeloss) AS fact + FROM list_tranche_positions(p_date) a + LEFT JOIN index_version c ON a.security_id=c.redindexcode + LEFT JOIN index_desc d USING (redindexcode, maturity)), +tranche_price AS (SELECT DISTINCT ON (basketid, tenor, attach, detach) basketid, tenor, attach, detach, upfront_mid, tranche_spread FROM + markit_tranche_quotes WHERE quotedate<=p_date ORDER by basketid, tenor, attach, detach, quotedate desc) +SELECT temp.security_id, temp.security_desc, temp.maturity, temp.notional, temp.fact, tranche_spread::integer, +-upfront_mid*temp.notional*temp.fact, +temp.notional*tranche_spread/10000.*temp.fact*days/360 +FROM temp +LEFT JOIN tranche_price USING (basketid, attach, detach, tenor); +END +$$ LANGUAGE plpgsql; + +CREATE OR REPLACE function days_accrued(p_date date) +RETURNS integer AS $$ +from dates import days_accrued +return days_accrued(p_date) +$$ LANGUAGE plpython2u; + CREATE MATERIALIZED VIEW factors_history AS WITH temp AS ( SELECT c.date, @@ -415,6 +469,7 @@ BEGIN END; $$ LANGUAGE plpgsql; + -- Not sure how to map enums so use text for now CREATE FOREIGN TABLE priced( cusip varchar(9), |