1 files changed, 64 insertions, 0 deletions
diff --git a/R/thetas-correct.R b/R/thetas-correct.R
new file mode 100644
index 00000000..dbc738d3
--- /dev/null
+++ b/R/thetas-correct.R
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+library(dplyr)
+
+code.dir <- "~/projects/code/"
+source(file.path(code.dir, "R", "yieldcurve.R"))
+source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE)
+source(file.path(code.dir, "R", "serenitasdb.R"))
+source(file.path(code.dir, "R", "creditIndex.R"))
+
+data.src <- src_postgres("serenitasdb", "debian", 5432, "serenitas_user")
+
+index.closeprice <- function(index=c("IG", "HY", "EU", "XO"), series) {
+    require(lazyeval, quietly=T)
+    index <- match.arg(index)
+    index.quotes <- tbl(data.src, "index_quotes")
+    df <- index.quotes %>% filter_(lazyeval::interp(~series == s, s=series)) %>%
+        filter_(interp(~index == i, i=index)) %>%
+        arrange(date)
+    df <- df %>% select(date, tenor, closeprice) %>%
+        rename(price=closeprice) %>%
+        mutate(price=price/100) %>% collect()
+    return( df )
+}
+
+get.maturities <- function(index=c("IG", "HY", "EU", "XO"), series) {
+    index <- match.arg(index)
+    df <- tbl(data.src, "index_maturity")
+    df <- df %>% filter_(lazyeval::interp(~series == s, s=series)) %>%
+        filter_(interp(~index == i, i=index)) %>%
+        select(tenor, maturity, coupon) %>%
+        rename(spread=coupon) %>% mutate(spread=spread*1e-4) %>%
+        arrange(maturity) %>% collect()
+    return( df )
+}
+
+maturities <- get.maturities("IG", 26)
+quotes <- index.closeprice("IG", 26)
+index <- creditIndex("IG27", "10yr")
+sqlstr <- paste("UPDATE index_quotes SET duration2=$1, theta2=$2",
+                "WHERE date=$3 AND index=$4 AND series=$5 AND tenor=$6")
+
+for(i in seq_along(quotes$date)) {
+    tradedate <- quotes$date[i]
+    exportYC(tradedate, "USD")
+    index <- set.index.desc(index, tradedate)
+    index <- set.singlenamesdata(index, tradedate)
+    index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE),
+                               index$maturity, "Q", "FIXED", 1,
+                               0, tradedate, IMMDate(tradedate, "prev"))
+    index$quotes <- quotes %>% filter(date == tradedate) %>%
+        left_join(maturities) %>% arrange(maturity)
+    tweak <- tweakcurves(index, tradedate)
+    index$portfolio <- NULL
+    index <- c(index, tweak)
+    theta <- numeric(length(index$maturities))
+    duration <- numeric(length(index$maturities))
+    for(j in seq_along(maturities$maturity)) {
+        maturity <- maturities$maturity[j]
+        theta <- index %>% indextheta(tradedate=tradedate, maturity=maturity)
+        duration <- index %>% indexduration(tradedate=tradedate, maturity=maturity)
+        dbSendQuery(serenitasdb, sqlstr,
+                    params = list(duration, theta, tradedate,
+                                  "IG", 26, maturities$tenor[j]))
+    }
+}