diff options
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/build_scenarios.R | 2 | ||||
| -rw-r--r-- | R/cds_utils.R | 7 | ||||
| -rw-r--r-- | R/index_definitions.R | 42 | ||||
| -rw-r--r-- | R/index_definitions.yml | 47 | ||||
| -rw-r--r-- | R/load_cf.R | 2 | ||||
| -rw-r--r-- | R/script_calibrate_tranches.R | 2 |
7 files changed, 58 insertions, 46 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 34587f4d..3f062eb4 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -10,9 +10,9 @@ if(.Platform$OS.type == "unix"){ }
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
+hy21 <- load.index("hy21")
if(length(args) >=2){
argslist <- strsplit(args[-1], ",")
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 48082cee..4735a4a8 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -34,10 +34,10 @@ if(length(args) >=2){ }
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "etdb.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
+load.index("hy21")
calibration.date <- addBusDay(tradedate, -1)
settledate <- addBusDay(tradedate, 3)
diff --git a/R/cds_utils.R b/R/cds_utils.R index 2a93c52f..63487e22 100644 --- a/R/cds_utils.R +++ b/R/cds_utils.R @@ -165,3 +165,10 @@ yearFrac <- function(date1, date2, daycount="act/365") { "act/365"=as.numeric( (as.Date(date2) - as.Date(date1)) / 365),
"act/360"=as.numeric( (as.Date(date2) - as.Date(date1)) / 360) )
}
+
+load.index <- function(index.name){
+ ## load index.name into the parent environment
+ indices <- yaml.load_file(file.path(root.dir, "code", "R", "index_definitions.yml"))
+ indices[[index.name]]$maturity <- as.Date(indices[[index.name]]$maturity, as.Date("1970-01-01"))
+ assign(index.name, indices[[index.name]], env = parent.env(environment()))
+}
diff --git a/R/index_definitions.R b/R/index_definitions.R deleted file mode 100644 index 2ed8a505..00000000 --- a/R/index_definitions.R +++ /dev/null @@ -1,42 +0,0 @@ -hy21 <- list(maturity=as.Date("2018-12-20"),
- coupon=0.05,
- factor=1,
- loss=0,
- recovery=0.4)
-
-hy20 <- list(maturity=as.Date("2018-06-20"),
- coupon=0.05,
- factor=1,
- loss=0,
- recovery=0.4)
-
-hy19 <- list(maturity=as.Date("2017-12-20"),
- coupon=0.05,
- factor=1,
- loss=0,
- recovery=0.3)
-
-hy18 <- list(maturity=as.Date("2017-06-20"),
- coupon=0.05,
- factor=0.99,
- loss=0.0082375,
- recovery=0.3)
-
-hy17 <- list(maturity=as.Date("2016-12-20"),
- coupon=0.05,
- factor=0.96,
- loss=0.027075,
- recovery=0.3,
- defaulted=c("DYNHLD", "EK", "GM-ResCLLC", "PMI"))
-
-hy15 <- list(maturity=as.Date("2015-12-20"),
- coupon=0.05,
- factor=0.96,
- loss=0.026375,
- recovery=0.3)
-
-hy10 <- list(maturity=as.Date("2015-06-20"),
- coupon=0.05,
- factor=0.83,
- loss=0.1414,
- recovery=0.3)
diff --git a/R/index_definitions.yml b/R/index_definitions.yml new file mode 100644 index 00000000..0274bdf2 --- /dev/null +++ b/R/index_definitions.yml @@ -0,0 +1,47 @@ +hy21: + maturity: 17885.0 + coupon: 0.05 + factor: 1.0 + loss: 0.0e+00 + recovery: 0.4 +hy20: + maturity: 17702.0 + coupon: 0.05 + factor: 1.0 + loss: 0.0e+00 + recovery: 0.4 +hy19: + maturity: 17520.0 + coupon: 0.05 + factor: 1.0 + loss: 0.0e+00 + recovery: 0.3 +hy18: + maturity: 17337.0 + coupon: 0.05 + factor: 0.99 + loss: 0.0082375 + recovery: 0.3 +hy17: + maturity: 17155.0 + coupon: 0.05 + factor: 0.96 + loss: 0.027075 + recovery: 0.3 + defaulted: + - DYNHLD + - EK + - GM-ResCLLC + - PMI +hy15: + maturity: 16789.0 + coupon: 0.05 + factor: 0.96 + loss: 0.026375 + recovery: 0.3 +hy10: + maturity: 16606.0 + coupon: 0.05 + factor: 0.83 + loss: 0.1414 + recovery: 0.3 diff --git a/R/load_cf.R b/R/load_cf.R index b51d08d6..b61c21bd 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -24,7 +24,7 @@ source(file.path(root.dir, "code", "R", "cds_utils.R")) source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "interpweights.R"))
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
+load.index("hy21")
calibration.date <- addBusDay(tradedate, -1)
MarkitData <- getMarkitIRData(calibration.date)
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 3f82052e..ab29feca 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -11,10 +11,10 @@ if(.Platform$OS.type == "unix"){ source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
+load.index("hy21")
##figure out the tradedate
if(length(args) >= 1){
|