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#include "postgres.h"
#include "fmgr.h"
#include "executor/spi.h"
#include "lz4.h"
#include "utils/date.h"
#include "utils/builtins.h"
#include "utils/numeric.h"
#include "utils/rel.h"
#include "isda/bastypes.h"
#include "isda/dateconv.h"
#include "isda/busday.h"
#include "isda/ldate.h"
#include "isda/cdsone.h"
#include <stdbool.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);
}
static inline void get_TCurve(const char* buf, uint32_t length, TCurve* curve) {
if (LZ4_decompress_safe(buf, (char*)curve, length, 512) < 0) {
elog(ERROR, "error during decompression");
}
}
double calc(TDate today, TDate start_date, TDate end_date, double recovery, double fixed_rate, const char* calendar, const TCurve* yc, double val, bool calc_upfront) {
TDate cash_settle_date;
JpmcdsDateFromBusDaysOffset(today, 3, calendar, &cash_settle_date);
TDate step_in_date = today + 1;
TStubMethod stub_type = {0, 0}; //f/s
TDateInterval ivl = {.prd = 3, .prd_typ='M', .flag=0}; // 3 months
double result;
if (calc_upfront) {
JpmcdsCdsoneUpfrontCharge(today,
cash_settle_date,
today, // benchmark_start_date
step_in_date,
start_date,
end_date,
fixed_rate,
true, // pay accrued on default
&ivl,
&stub_type,
JPMCDS_ACT_360,
JPMCDS_BAD_DAY_FOLLOW,
calendar,
yc,
val,
recovery,
true, // pay accrued at start
&result);
} else {
JpmcdsCdsoneSpread(today,
cash_settle_date,
today, // benchmark_start_date
step_in_date,
start_date,
end_date,
fixed_rate,
true, // pay accrued on default
&ivl,
&stub_type,
JPMCDS_ACT_360,
JPMCDS_BAD_DAY_FOLLOW,
calendar,
yc,
val,
recovery,
true, // pay accrued at start
&result);
}
return result;
}
PG_FUNCTION_INFO_V1(upfront_from_level);
Datum upfront_from_level(PG_FUNCTION_ARGS) {
if (SPI_connect() == SPI_ERROR_CONNECT) {
elog(ERROR, "something wrong happened");
}
const text* redindexcode = PG_GETARG_TEXT_PP(0);
DateADT maturity = PG_GETARG_DATEADT(1);
float8 traded_level = PG_GETARG_FLOAT8(2);
DateADT trade_date = PG_GETARG_DATEADT(3);
const char* currency = text_to_cstring(PG_GETARG_TEXT_PP(4));
char* sql_query = "SELECT index, coupon, issue_date, indexfactor/100, cumulativeloss "
"FROM index_desc "
"WHERE redindexcode=$1 AND maturity=$2";
uint64 proc;
int nargs = 2;
Oid argtypes[2] = {TEXTOID, DATEOID};
char nulls[2] = " ";
Datum values[2];
int ret;
values[0] = PointerGetDatum(redindexcode);
values[1] = DateADTGetDatum(maturity);
ret = SPI_execute_with_args(sql_query, nargs, argtypes, values, nulls, true, 1);
proc = SPI_processed;
int coupon;
char *index;
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)));
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));
cumulativeloss = DatumGetFloat8(SPI_getbinval(tuple, tupdesc, 8, &isnull));
} else {
SPI_finish();
elog(ERROR, "something wrong happened");
}
int16 curve_type = 532;
sql_query = "SELECT curve FROM rate_curves WHERE effective_date=$1 AND curve_type=$2";
argtypes[0] = DATEOID;
argtypes[1] = INT2OID;
values[0] = DateADTGetDatum(trade_date);
values[1] = Int16GetDatum(curve_type);
ret = SPI_execute_with_args(sql_query, nargs, argtypes, values, nulls, true, 1);
proc = SPI_processed;
bytea* buf;
Datum tmp;
TCurve* curve;
if (ret == SPI_OK_SELECT && SPI_tuptable != NULL) {
SPITupleTable *tuptable = SPI_tuptable;
TupleDesc tupdesc = tuptable->tupdesc;
bool isnull;
HeapTuple tuple = tuptable->vals[0];
tmp = SPI_getbinval(tuple, tupdesc, 1, &isnull);
if (isnull) {
pfree(index);
SPI_finish();
elog(ERROR, "no curve for that date");
} else {
buf = DatumGetByteaPP(tmp);
uint32 data_length = VARSIZE_ANY(curve);
char *raw_data = VARDATA_ANY(curve);
curve = (TCurve*)malloc(512);
get_TCurve(raw_data, data_length, curve);
}
} else {
pfree(index);
SPI_finish();
elog(ERROR, "no curve for that date");
}
SPI_finish();
double recovery = 0.4;
double upfront;
upfront = calc(TDate_from_DateADT(trade_date), issue_date, TDate_from_DateADT(maturity), recovery, coupon / 10000, cal_from_currency(currency), curve, traded_level, true);
pfree(index);
pfree(curve);
PG_RETURN_FLOAT8(upfront);
}
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