diff options
| -rw-r--r-- | R/test_options.R | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/R/test_options.R b/R/test_options.R index ef90c1f0..babc8bf4 100644 --- a/R/test_options.R +++ b/R/test_options.R @@ -7,12 +7,13 @@ source(file.path(code.dir, "code", "R", "serenitasdb.R")) source(file.path(code.dir, "code", "R", "creditIndex.R")) source(file.path(code.dir, "code", "R", "tranche_functions.R")) -tradedate <- as.Date("2015-05-28") +tradedate <- as.Date("2016-08-02") exportYC(tradedate) -index <- creditIndex("hy24", "5yr") +index <- creditIndex("ig26", "5yr") 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")) tweakindex <- function(index, refprice){ fixedRate <- couponfromindex(index$name, index$tenor)*1e-4 index$quotes <- data.frame(maturity=index$maturity, refspread=fixedRate, refprice=refprice) @@ -28,22 +29,21 @@ tweakindex <- function(index, refprice){ ref <- 107 newindex <- tweakindex(index, ref) h <- cdshazardrate.flat(1-ref/100, 0.05, index$maturity, 0.3, tradedate) -exerciseDates <- c(as.Date("2015-06-17"), as.Date("2015-07-15"), as.Date("2015-08-19"), - as.Date("2015-09-16"), as.Date("2015-10-21"), - as.Date("2015-11-18"), as.Date("2015-12-16"), as.Date("2016-01-20")) +exerciseDates <- c(as.Date("2016-08-17"), as.Date("2016-09-21"), as.Date("2016-10-19")) fp <- c() fp2 <- c() for(i in seq_along(exerciseDates)){ fp <- c(fp, defaultAdjustedForwardIndexPrice(newindex, exerciseDates[i])) - fp2 <- c(fp2, forwardflatcds(h, index$cs, tradedate, exerciseDates[i], fixedRate=0.05, R=0.3)) + fp2 <- c(fp2, forwardflatcds(h, index$cs, tradedate, exerciseDates[i], fixedRate=0.01, R=0.4)) } calib <- function(S0, index, fp, exerciseDate, sigma, quad){ T <- yearFrac(index$tradedate, exerciseDate) S <- S0 * exp(-sigma^2/2*T+sigma*quad$Z*sqrt(T)) - guess <- crossprod(quad$w, unlist(lapply(S, function(S){ - snacpv(index$cs, S, index$quotes$refspread, index$recovery, exerciseDate)}))) + values <- unlist(lapply(S, function(s){ + snacpv(index$cs, s, index$quotes$refspread, index$recovery, exerciseDate)})) + guess <- crossprod(quad$w, values) return( guess - fp ) } |