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library(RPostgreSQL)
drv <- dbDriver("PostgreSQL")
mlpdbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
host="debian")
nameToBasketID <- function(name, date=Sys.Date()){
sqlstr <- "SELECT * from nametobasketid('%s', '%s')"
r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, name, date))
return(as.integer(r))
}
load.index <- function(name, date=Sys.Date(), tenor="5yr"){
id <- nameToBasketID(name, date)
sqlstr <- "SELECT indexfactor, cumulativeloss, maturity from index_desc where basketid=%s and tenor='%s'"
r <- as.list(dbGetQuery(mlpdbCon, sprintf(sqlstr, id, tenor)))
return(list(coupon=0.05, factor=r$indexfactor/100, maturity=r$maturity,
loss=r$cumulativeloss/100, recovery=0.4, name=name))
}
cdslist <- function(indexname, date=Sys.Date()){
basketid <- nameToBasketID(indexname, date)
sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
return( dbGetQuery(mlpdbCon, sprintf(sqlstr, basketid)))
}
arr.convert <- function(arr){
arr <- unlist(lapply(arr, function(x)strsplit(substr(x,2,nchar(x)-1),",",fixed=TRUE)))
arr[arr=="NULL"] <- NA
arr <- matrix(as.numeric(arr), nrow=length(arr)/8, ncol=8, byrow=T)
colnames(arr) <- c("6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y")
return(arr)
}
get.indexquotes <- function(indexname, date=Sys.Date()){
r <- dbGetQuery(mlpdbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date))
quotes <- list(tickers=r[,1],
spread_curve = arr.convert(r$spread_curve),
upfront_curve =arr.convert(r$upfront_curve),
recovery_curve = arr.convert(r$recovery_curve))
return( quotes )
}
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