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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(tenor=tenor, 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 )
}
indexsplit <- function(indexname){
r <- regexpr("(\\D*)(\\d*)", indexname, perl=T)
cs <- attr(r, "capture.start")
cl <- attr(r, "capture.length")
index <- substr(indexname, cs[1], cs[1]+cl[1]-1)
series <- substr(indexname, cs[2], cs[2]+cl[2]-1)
return(list(index=toupper(index), series=series))
}
get.tranchequotes <- function(indexname, tenor='5yr', date=Sys.Date()){
sqlstr <- paste("select * from tranche_quotes where index='%s'",
"and series=%s and quotedate::date='%s' and tenor = '%s'",
"and quotesource='MKIT' order by attach asc")
temp <- indexsplit(indexname)
r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor))
if(nrow(r)==0){
sqlstr <- paste("select * from tranche_quotes where index='%s'",
"and series=%s and quotedate::date='%s' and tenor = '%s'",
"order by attach asc")
r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, temp$index, temp$series, date, tenor))
}
return( r )
}
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