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| -rw-r--r-- | R/calibration.R | 81 |
1 files changed, 81 insertions, 0 deletions
diff --git a/R/calibration.R b/R/calibration.R new file mode 100644 index 00000000..ea3c6d14 --- /dev/null +++ b/R/calibration.R @@ -0,0 +1,81 @@ +source("cds_functions_generic.R") + +buildSC <- function(quote, cs, cdsdates){ + SC <- new("creditcurve", + recovery=quote$recovery, + startdate=tradedate, + issuer=quote$ticker) + quotes <- data.frame(maturity=cdsdates, upfront = quote$upfront, + running=quote$running) + SC@curve <- cdshazardrate(quotes, SC@recovery, tradedate, cs) + return( SC ) +} + +get.cdsSchedule <- function(tradedate, indexmaturity){ + cdsdates <- as.Date(character(0)) + for(tenor in paste0(c(1:5, 7,10), "y")){ + newdate <- cdsMaturity(tenor, date=tradedate) + cdsdates <- c(cdsdates, newdate) + if(newdate>=indexmaturity){ + break + } + } + return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], "Q", "FIXED", + 1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) ) +} + +set.singlenamesdata <- function(index, tradedate){ + cds.cs <- get.cdsSchedule(tradedate, index$maturity) + quotes <- get.indexquotes(index$name, tradedate) + tenor <- names(cds.cs$cdsdates) + index$portfolio <- list() + for(i in seq_along(quotes$tickers)){ + sane.quotes <- which(yearFrac(tradedate+2,cds.cs$cdsdates)*quotes$spread_curve[i, tenor]*1e-4+ + quotes$upfront_curve[i, tenor] * 0.01>0) + quote <- list(ticker = quotes$ticker[i], + running = quotes$spread_curve[i, tenor[sane.quotes]] * 1e-4, + upfront = quotes$upfront_curve[i, tenor[sane.quotes]] * 0.01, + recovery = as.double(quotes$recovery[i,tenor[sane.quotes]][1])) + index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates[sane.quotes])) + } + index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) + index$recov <- sapply(index$portfolio, attr, "recovery") + return( index ) +} + +set.tranchedata <- function(index, tradedate){ + temp <- get.tranchequotes(index$name, index$tenor, tradedate) + index$quotes <- data.frame(spread=temp$indexrefspread[1]*1e-4, maturity=index$maturity) + if(index$name=="ig19" || index$name=="ig21"){ + index$quotes$spread <- 0.01 + } + index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1, + 0, tradedate, IMMDate(tradedate, "prev")) + if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){ + index$quotes$price <- temp$indexrefprice[1]/100 + }else{ + ##rewrite as a snac function + sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery)) + startdate <- tradedate + 1 + cds.pv <- couponleg(index$cs, sc, startdate)*index$quotes$spread - + defaultleg(index$cs, sc, index$recovery, startdate) + index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1]) + } + index$portfolio <- tweakcurves(index, tradedate)$portfolio + index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates)) + negprob <- which(index$defaultprob<0, arr.ind=T) + if(nrow(negprob)>0){ + stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data")) + } + K <- c(0, temp$detach/100) + index$K <- adjust.attachments(K, index$loss, index$factor) + index$tranche.upf <- temp$trancheupfront + index$tranche.running <- temp$trancherunning*1e-4 + ## compute dirty protection price + if(length(grep("hy", index$name, ignore.case=TRUE))>0){ + index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) + }else{ + index$tranche.quotes <- index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) + } + return( index ) +} |