diff options
| -rw-r--r-- | R/calibration.R | 5 | ||||
| -rw-r--r-- | R/cds_functions_generic.R | 14 | ||||
| -rw-r--r-- | R/zerorecovery_index.R | 54 |
3 files changed, 68 insertions, 5 deletions
diff --git a/R/calibration.R b/R/calibration.R index 259ebde6..3cb7c54e 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -17,8 +17,9 @@ get.cdsSchedule <- function(tradedate){ newdate <- cdsMaturity(tenor, date=tradedate) cdsdates <- c(cdsdates, newdate) } - return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], "Q", "FIXED", - 1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) ) + return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], + "Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")), + cdsdates=cdsdates) ) } set.singlenamesdata <- function(index, tradedate){ diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 15b8a404..293eb4f5 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -234,16 +234,24 @@ setMethod("defaultleg", signature("data.frame", "flatcurve", "numeric"), setMethod("defaultleg", signature("data.frame", "defaultcurve", "numeric"),
## Computes the pv of the default leg of a cds based on a given
## coupon schedule, hazard rate curve, and recovery.
- function(cs, sc, recovery, startdate=Sys.Date()+1){
+ function(cs, sc, recovery, startdate=Sys.Date()+1, pay.at.end=FALSE){
cs <- cs[cs$dates>=startdate,]
T <- yearFrac(startdate, cs$dates)
x1T <- yearFrac(startdate, sc@dates)
hfun <- approxfun(x1T, sc@hazardrates, method="constant", rule=2)
dT <- diff(c(0, T))
- Q <- cumprod(exp(-hfun(T) * dT)) * cs$df
+ if(!pay.at.end) {
+ Q <- cumprod(exp(-hfun(T) * dT)) * cs$df
+ } else {
+ Q <- cumprod(exp(-hfun(T) * dT))
+ }
Qmid <- 1/2 * (c(1, Q[-length(Q)]) + Q)
r <- (1 - recovery) * crossprod(hfun(T) * Qmid, dT)
- return( as.numeric(r) )
+ if(!pay.at.end) {
+ return( as.numeric(r) )
+ } else {
+ return( as.numeric(r) * cs$df[length(cs$df)] )
+ }
})
setMethod("defaultleg", signature("data.frame", "defaultprepaycurve", "numeric"),
diff --git a/R/zerorecovery_index.R b/R/zerorecovery_index.R new file mode 100644 index 00000000..a7694d79 --- /dev/null +++ b/R/zerorecovery_index.R @@ -0,0 +1,54 @@ +code.dir <- Sys.getenv("CODE_DIR") +source(file.path(code.dir, "R", "yieldcurve.R")) +source(file.path(code.dir, "R", "optimization.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")) +source(file.path(code.dir, "R", "tranche_functions.R")) + +##HY +tradedate <- as.Date("2017-03-31") +exportYC(tradedate, "USD") +index <- creditIndex("HY28", "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")) +index$quotes <- data.frame(maturity=as.Date("2022-06-20"), spread=0.05, price=1.0716) +tweak <- tweakcurves(index) +zerorecov.portfolio <- lapply(tweak$portfolio, function(x){x@recovery=0;return(x)}) + +cs <- index$cs +startdate <- tradedate + 1 +pl.list <- vapply(zerorecov.portfolio, function(x) { + pl <- defaultleg(cs, x@curve, x@recovery, startdate, TRUE) + if(is.na(pl)) { + logerror(paste("couldn't compute single name protection leg for", x@issuer)) + return( NA ) + } + return( pl ) +}, numeric(1)) + + +##ITRX +tradedate <- as.Date("2017-03-31") +exportYC(tradedate, "EUR") +index <- creditIndex("XO27", "5yr") +index <- set.index.desc(index, tradedate) +index <- set.singlenamesdata(index, tradedate) +index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity, "Q", "FIXED", 1, + 0, tradedate, IMMDate(tradedate, "prev")) +index$quotes <- data.frame(maturity=as.Date("2022-06-20"), spread=0.05, price=1.0968) +tweak <- tweakcurves(index) +zerorecov.portfolio <- lapply(tweak$portfolio, function(x){x@recovery=0;return(x)}) + +cs <- index$cs +startdate <- tradedate + 1 +pl.list <- vapply(zerorecov.portfolio, function(x) { + pl <- defaultleg(cs, x@curve, x@recovery, startdate, TRUE) + if(is.na(pl)) { + logerror(paste("couldn't compute single name protection leg for", x@issuer)) + return( NA ) + } + return( pl ) +}, numeric(1)) |