#include "postgres.h" #include "fmgr.h" #include "executor/spi.h" #include "utils/date.h" #include "utils/builtins.h" #include "isda/dateconv.h" #include "isda/busday.h" PG_MODULE_MAGIC; static inline TDate next_business_day(TDate date, long method, const char* cal) { TDate r; if (JpmcdsBusinessDay(date, method, cal, &r) != SUCCESS) { return -1; } else { return r; } } TDate _previous_twentieth(TDate d, bool roll, const char* cal) { TMonthDayYear mdy; if (JpmcdsDateToMDY(d, &mdy) != SUCCESS) { return -1; } if (mdy.day < 20) { if(mdy.month == 1) { mdy.month = 12; mdy.year -= 1; } else { mdy.month -= 1; } } mdy.day = 20; int mod = mdy.month % 3; if (mod != 0) { mdy.month -= mod; if (mdy.month <= 0) { mdy.month += 12; mdy.year -= 1; } } TDate r; if (JpmcdsMDYToDate(&mdy, &r) != SUCCESS) { return -1; } if (roll) { return next_business_day(r, JPMCDS_BAD_DAY_FOLLOW, cal); } else { return r; } } // postgresql represents dates as number of days since 2000-01-01 // TDate are integers since 1601-01-01 static inline TDate TDate_from_DateADT(DateADT d) { return d + 145731; } static inline const char* cal_from_currency(const char* curr) { static const char default_cal[] = "NONE"; static const char us_cal[] = "/usr/share/cds/US"; if (strcmp(curr, "USD") == 0) { return us_cal; } else { return default_cal; } } PG_FUNCTION_INFO_V1(cds_accrued); Datum cds_accrued(PG_FUNCTION_ARGS) { DateADT d = PG_GETARG_DATEADT(0); float8 coupon = PG_GETARG_FLOAT8(1); bool include_cashflow = PG_GETARG_BOOL(2); char* currency = text_to_cstring(PG_GETARG_TEXT_PP(3)); const char* cal = cal_from_currency(currency); TDate date = TDate_from_DateADT(d) + 1; TDate date1 = next_business_day(date, JPMCDS_BAD_DAY_PREVIOUS, cal); if (date1 == -1) elog(ERROR, "Please set up the US calendar in /usr/share/cds/US"); TDate date_prev = _previous_twentieth(date1, true, cal); if ((date_prev == date) && include_cashflow) { date_prev = _previous_twentieth(date - 1, true, cal); } pfree(currency); PG_RETURN_FLOAT8((date - date_prev) / 360. * coupon); } PG_FUNCTION_INFO_V1(test); Datum cds_enrich(PG_FUNCTION_ARGS) { if (SPI_connect() == SPI_ERROR_CONNECT) { elog(ERROR, "pomme"); } const text* redindexcode = PG_GETARG_TEXT_PP(0); DateADT maturity = PG_GETARG_DATEADT(1); float8 traded_level = PG_GETARG_FLOAT8(2); DateADT trade_datge = PG_GETARG_DATEADT(3); char* sql_query = "SELECT index, series, tenor::text, coupon, issue_date, indexfactor/100, " "version, cumulativeloss " "FROM index_desc " "WHERE redindexcode=$1 AND maturity=$2"; int ret; uint64 proc; int nargs = 2; Oid argtypes[2] = {TEXTOID, DATEOID}; char nulls[2] = " "; Datum values[2]; values[0] = PointerGetDatum(redindexcode); values[1] = DateADTGetDatum(maturity); ret = SPI_execute_with_args(sql_query, nargs, argtypes, values, nulls, true, 1); proc = SPI_processed; short series, version; int coupon; char *index, *tenor; TDate issue_date; double factor, cumulativeloss; if (ret == SPI_OK_SELECT && SPI_tuptable != NULL) { SPITupleTable *tuptable = SPI_tuptable; TupleDesc tupdesc = tuptable->tupdesc; bool isnull; HeapTuple tuple = tuptable->vals[0]; index = text_to_cstring(DatumGetTextPP(SPI_getbinval(tuple, tupdesc, 1, &isnull))); series = DatumGetInt16(SPI_getbinval(tuple, tupdesc, 2, &isnull)); tenor = text_to_cstring(DatumGetTextPP(SPI_getbinval(tuple, tupdesc, 3, &isnull))); coupon = DatumGetInt32(SPI_getbinval(tuple, tupdesc, 4, &isnull)); issue_date = TDate_from_DateADT(DatumGetDateADT(SPI_getbinval(tuple, tupdesc, 5, &isnull))); factor = DatumGetFloat8(SPI_getbinval(tuple, tupdesc, 6, &isnull)); version = DatumGetInt16(SPI_getbinval(tuple, tupdesc, 7, &isnull)); cumulativeloss = DatumGetFloat8(SPI_getbinval(tuple, tupdesc, 8, &isnull)); } char* yc_query SPI_finish(); pfree(index); pfree(tenor); PG_RETURN_NULL(); }