diff options
Diffstat (limited to 'sql')
| -rw-r--r-- | sql/dawn.sql | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/sql/dawn.sql b/sql/dawn.sql index 4a863ed6..19fac0e1 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -498,10 +498,10 @@ $$ LANGUAGE plpgsql; CREATE OR REPLACE function list_swaption_positions_and_risks (p_date date) RETURNS TABLE(deal_id varchar(28), security_id varchar(12), maturity date, notional float, swaption_type swaption_type, strike float, - expiration_date date, latest_model_date date, delta float, gamma float, vega float) AS $$ + expiration_date date, initial_margin_percentage float, latest_model_date date, delta float, gamma float, vega float) AS $$ BEGIN RETURN QUERY -select c.dealid, c.security_id, c.maturity, (CASE WHEN buysell = 't' THEN 1 ELSE -1 END) * c.notional as notional, c.swaption_type, c.strike, c.expiration_date, d.date as latest_model_date, d.delta, d.gamma, d.vega +select c.dealid, c.security_id, c.maturity, (CASE WHEN buysell = 't' THEN 1 ELSE -1 END) * c.notional as notional, c.swaption_type, c.strike, c.expiration_date, c.initial_margin_percentage, d.date as latest_model_date, d.delta, d.gamma, d.vega from swaptions c inner join( select a.dealid, a.date, a.market_value, a.delta, a.gamma, a.vega from swaption_marks as a |