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#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();
}
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