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#include "postgres.h"
#include "fmgr.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;
}
}
PG_FUNCTION_INFO_V1(cds_accrued);
// postgresql represents dates as number of days since 2000-01-01
// TDate are integers since 1601-01-01
Datum cds_accrued(PG_FUNCTION_ARGS) {
const char default_cal[] = "NONE";
const char us_cal[] = "/usr/share/cds/US";
DateADT d = PG_GETARG_DATEADT(0);
float8 coupon = PG_GETARG_FLOAT8(1);
bool include_cashflow = PG_GETARG_BOOL(2);
const char* currency = text_to_cstring(PG_GETARG_TEXT_PP(3));
const char* cal;
if (strcmp(currency, "USD") == 0) {
cal = us_cal;
} else {
cal = default_cal;
}
TDate date = d + 145731 + 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);
}
PG_RETURN_FLOAT8((date - date_prev) / 360. * coupon);
}
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