library(RPostgreSQL) drv <- dbDriver("PostgreSQL") dbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1", host="debian") nameToBasketID <- function(name){ index <- substr(name, 1, 2) series <- substr(name, 3, nchar(name)) sqlstr <- "SELECT max(basketid) from index_desc where Index='%s' and Series=%s" r <- dbGetQuery(dbCon, sprintf(sqlstr, index, series)) return(as.integer(r)) } cdslist <- function(indexname){ basketid <- nameToBasketID(indexname) sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'" return( dbGetQuery(dbCon, sprintf(sqlstr, basketid))) } arr.convert <- function(arr){ return(as.numeric(unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE))))) } get.indexquotes <- function(indexname, date){ r <- dbGetQuery(dbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date)) r <- data.frame(r[,1], matrix(arr.convert(r[,2]), nrow(r), 8, byrow=T)) colnames(r) <- c("ticker", "6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y") return( r ) }