diff options
| -rw-r--r-- | R/backtest.R | 69 |
1 files changed, 47 insertions, 22 deletions
diff --git a/R/backtest.R b/R/backtest.R index cef602cf..493ffbc5 100644 --- a/R/backtest.R +++ b/R/backtest.R @@ -5,6 +5,10 @@ if(.Platform$OS.type == "unix"){ root.dir <- "//WDSENTINEL/share/CorpCDOs" } library(ggplot2) +library(lubridate) +library(doParallel) + +registerDoParallel(8) source(file.path(root.dir, "code", "R", "serenitasdb.R")) source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) @@ -31,43 +35,58 @@ get.indexmaturity <- function(index, series){ } fastduration <- function(sc, cs, tradedate, maturities){ + r <- rep(NA, length(maturities)) + if(is.null(sc)){ + return( r ) + } startdate <- tradedate+1 acc <- cdsAccrued(tradedate, 1) - r <- numeric(length(maturities)) for(i in seq_along(maturities)){ if(startdate>maturities[i]){ r[i] <- NA }else{ r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc, - startdate, accruedondefault=TRUE) + startdate, accruedondefault=TRUE)-acc } } - r <- r-acc return( r ) } fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){ + r <- rep(NA, length(maturities)) + if(is.null(sc)){ + return(r) + } startdate <- tradedate+1 acc <- cdsAccrued(tradedate, 1) - r <- numeric(length(maturities)) + newmaturities <- maturities+years(-1) for(i in seq_along(newmaturities)){ - if(startdate>newmaturities[i]){ - r[i] <- NA + ## never extrapolate, and do not attempt to compute theta if within 1 year + if(startdate>newmaturities[i] || is.na(quotes[i])){ + next }else{ newcs <- cs[cs$unadj.dates<=newmaturities[i],] - upfront <- (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*0.05- - defaultleg(newcs, sc, recov, startdate) - r[i] <- upfront+quotes[i]+0.05 + upfront <- defaultleg(newcs, sc, recov, startdate) - + (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*0.05 + r[i] <- quotes[i]-upfront+0.05 } } return( r ) } +convertNA <- function(x){ + if(is.na(x)){ + return( "Null" ) + }else{ + return( x ) + } +} + + index <- 'HY' tenors <- c("3yr", "5yr", "7yr") recov <- 0.3 -colnames(df) <- c("date", tenors) sqlstr <- paste("UPDATE index_quotes set duration=%s, theta=%s where date='%s' and index='%s'", "and series=%s and tenor='%s'") @@ -77,33 +96,39 @@ for(series in c(10, 11, 13, 15, 17, 19, 21, 23)){ maturities <- maturities[maturities$tenor %in% tenors,] durations <- matrix(0, nrow(indexquotes), length(tenors)) thetas <- matrix(0, nrow(indexquotes), length(tenors)) - for (i in 1:nrow(indexquotes)){ + maturity <- maturities[nrow(maturities), "maturity"] + durandthetas <- foreach(i = 1:nrow(indexquotes), .combine='rbind') %dopar% { tradedate <- indexquotes[i, "date"] exportYC(tradedate) - maturity <- maturities[nrow(maturities), "maturity"] cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,"Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")) quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) sc <- cdshazardrate(quotes, recov, tradedate, cs) - durations[i,] <- fastduration(sc, cs, tradedate, maturities$maturity) - thetas[i,] <- fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront) + c(fastduration(sc, cs, tradedate, maturities$maturity), + fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront)) } - df.durations <- data.frame(date=indexquotes$date, durations) - df.thetas <- data.frame(date=indexquotes$date, thetas) + df.durations <- data.frame(date=indexquotes$date, durandthetas[,1:3]) + df.thetas <- data.frame(date=indexquotes$date, durandthetas[,4:6]) colnames(df.durations) <- c("date", tenors) colnames(df.thetas) <- c("date", tenors) for(i in 1:nrow(df.durations)){ for(tenor in tenors){ - if(!is.na(df[i,tenor])){ - stmt <- sprintf(sqlstr, df.durations[i,tenor], df.thetas[i, tenor], - df[i,"date"], index, series, tenor) - dbSendQuery(serenitasdb, stmt) - } + stmt <- sprintf(sqlstr, convertNA(df.durations[i,tenor]), convertNA(df.thetas[i, tenor]), + df.durations[i,"date"], index, series, tenor) + dbSendQuery(serenitasdb, stmt) } } ## nice plot, now I'm just showing off - ggplot(df, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ + ggplot(df.durations, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ geom_line(aes(y=`5yr`, colour="5yr"))+ geom_line(aes(y=`7yr`, colour="7yr"))+ylab("duration")+labs(colour="tenor") ggsave(filename=paste0("HY", series, " durations.png")) + ## plot thetas + ggplot(df.thetas, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ + geom_line(aes(y=`5yr`, colour="5yr"))+ + geom_line(aes(y=`7yr`, colour="7yr"))+ylab("theta")+labs(colour="tenor") + ggsave(filename=paste0("HY", series, " thetas.png")) } + +alldates <- seq(begin.date, as.Date(Sys.Date()), by="1 day") +bus.dates <- alldates[isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates)] |