diff options
| -rw-r--r-- | R/calibration.R | 2 | ||||
| -rw-r--r-- | R/cds_functions_generic.R | 6 | ||||
| -rw-r--r-- | R/thetas-durations.R | 7 | ||||
| -rw-r--r-- | sql/dawn.sql | 2 |
4 files changed, 10 insertions, 7 deletions
diff --git a/R/calibration.R b/R/calibration.R index 3b1755bb..936e2a2c 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -38,7 +38,7 @@ set.singlenamesdata <- function(index, tradedate, recov=NULL) { quotes$recovery[i,] <- rep(0.4, 8) } quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2, cds.cs$cdsdates)* - quotes$spread_curve[i, tenor]*1e-2, + quotes$spread_curve[i, tenor] * 1e-2, quotes$upfront_curve[i, tenor]) quote <- list(ticker = quotes$ticker[i], running = quotes$spread_curve[i, tenor] * 1e-4, diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index e8fd569d..2cb53efc 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -545,14 +545,14 @@ cdshazardrate <- function(quotes, R=0.4, tradedate=Sys.Date(), cs.all){ while(abs(cdspv(cs, sc, R, tradedate) + quotes$upfront[i] - acc) > eps && count < 500) { dh <- - (quotes$upfront[i] + cdspv(cs, sc, R, tradedate) - acc)/ dcdspv(cs, sc, R, tradedate, index) - while( (new.h + dh) < 0 ) { - dh <- dh * 0.8 - } new.h <- new.h + dh hvec <- c(previous.hvec, rep(new.h, flength)) sc@hazardrates <- hvec count <- count + 1 } + if (count == 500) { + cat(sprintf("could not compute hazard rate for %s\n", quotes$maturity[i])) + } previous.hvec <- hvec previous.maturity <- maturity previous.cs <- cs diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 90646b06..a9a74b83 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -112,6 +112,9 @@ for(index in c('IG', 'HY', 'EU', 'XO')) { 0, tradedate, IMMDate(tradedate, "prev")) quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,maturities$tenor]))/100, maturities) + ## prevent negative hazardrates + quotes$upfront <- pmax(yearFrac(tradedate + 1, quotes$maturity, "act/360") * + quotes$running + 1e-6, quotes$upfront) sc <- cdshazardrate(quotes, recov, tradedate, cs) c(fastduration(sc, cs, tradedate, maturities$maturity), fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon)) @@ -125,8 +128,8 @@ for(index in c('IG', 'HY', 'EU', 'XO')) { ## 0, tradedate, IMMDate(tradedate, "prev")) ## quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,maturities$tenor]))/100, ## maturities) - ## quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) %>% - ## arrange(maturity) + ## quotes$upfront <- pmax(yearFrac(tradedate + 1, quotes$maturity, "act/360") * + ## quotes$running + 1e-6, quotes$upfront) ## sc <- cdshazardrate(quotes, recov, tradedate, cs) ## durandthetas <- rbind(durandthetas, c(fastduration(sc, cs, tradedate, maturities$maturity), ## fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon))) diff --git a/sql/dawn.sql b/sql/dawn.sql index 597f37a7..1450956e 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1037,7 +1037,7 @@ CREATE TYPE strategy AS ENUM('CLOCDSCSH', 'CLO_AAA', 'CLO_BB20', 'CLO_BBB', 'CSH 'MTG_IO', 'MTG_LMG', 'MTG_PR', 'MTG_RW', 'MTG_SD', 'MTG_THRU', 'SERCGLLC__SERCGLLC', 'SERCGLTD__SERCGLTD', 'SERCGLTD__SERLTD_EXP', 'SER_TEST__SER_TEST', 'STR_MAV', 'STR_MEZZ', 'HYOPTDEL', 'HYPAYER', 'HYCDSCSH', - 'ITRXCURVE') + 'ITRXCURVE', 'ITRXCVCSH') CREATE TABLE valuation_reports( custacctname text, |