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| -rw-r--r-- | R/load_cds_data.R | 30 |
1 files changed, 30 insertions, 0 deletions
diff --git a/R/load_cds_data.R b/R/load_cds_data.R new file mode 100644 index 00000000..4a687cc5 --- /dev/null +++ b/R/load_cds_data.R @@ -0,0 +1,30 @@ +library(Rbbg) +setwd("/home/share/CorpCDOs/data/bloomberg/CDS") +bbgConn <- blpConnect(host='192.168.1.108', port='8194') +ig.indices <- c("21", "22", "19") +hy.indices <- c("21", "22", "19") +allnames <- c() +for(index in ig.indices){ + allnames <- rbind(allnames, bds(bbgConn, sprintf("CDXIG5%s Curncy", index), "INDX_MEMBERS")) +} +for(index in hy.indices){ + allnames <- rbind(allnames, bds(bbgConn, sprintf("CDXHY5%s Curncy", index), "INDX_MEMBERS")) +} +allnames <- unique(allnames) +rownames(allnames) <- NULL +cdscurves <- bds(bbgConn, paste(allnames[,5], "Curncy"), "CDS_CURVE_INFO") +cdscurves <- cdscurves[,-c(1,8)] +write.csv(cdscurves, file=paste0("single_names_", Sys.Date(), ".csv"), row.names=FALSE) + +data <- c() +for(index in c("ig21", "ig19", "hy21", "hy19")){ + df <- read.csv(paste0(index, "_tranches_bbgid.csv"), check.names=FALSE) + for(tenor in c("3Y", "5Y", "7Y")){ + if(tenor %in% names(df)){ + data <- rbind(data, bdp(bbgConn, paste(df[[tenor]], "Corp"), c("px_last", "tranche_delta", "underlying_reference_px_rt"))) + } + } +} + +write.csv(data, file=paste0("tranche_data_", Sys.Date(), ".csv"), row.names=TRUE) +blpDisconnect(bbgConn) |