diff options
| -rw-r--r-- | R/calibration.R | 19 |
1 files changed, 13 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index ea3c6d14..762c3a53 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -30,13 +30,19 @@ set.singlenamesdata <- function(index, tradedate){ tenor <- names(cds.cs$cdsdates) index$portfolio <- list() for(i in seq_along(quotes$tickers)){ - sane.quotes <- which(yearFrac(tradedate+2,cds.cs$cdsdates)*quotes$spread_curve[i, tenor]*1e-4+ - quotes$upfront_curve[i, tenor] * 0.01>0) + if(quotes$ticker[i] %in% c("IACI", "TITANC")){ + quotes$spread_curve[i,] <- rep(0.001,8) + quotes$upfront_curve[i,] <- rep(0,8) + quotes$recovery[i,] <- rep(0.4,8) + } + quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2,cds.cs$cdsdates)* + quotes$spread_curve[i, tenor]*1e-2, + quotes$upfront_curve[i, tenor]) quote <- list(ticker = quotes$ticker[i], - running = quotes$spread_curve[i, tenor[sane.quotes]] * 1e-4, - upfront = quotes$upfront_curve[i, tenor[sane.quotes]] * 0.01, - recovery = as.double(quotes$recovery[i,tenor[sane.quotes]][1])) - index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates[sane.quotes])) + running = quotes$spread_curve[i, tenor] * 1e-4, + upfront = quotes$upfront_curve[i, tenor] * 0.01, + recovery = as.double(quotes$recovery[i,tenor][1])) + index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates)) } index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) index$recov <- sapply(index$portfolio, attr, "recovery") @@ -68,6 +74,7 @@ set.tranchedata <- function(index, tradedate){ stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data")) } K <- c(0, temp$detach/100) + index$K.orig <- K index$K <- adjust.attachments(K, index$loss, index$factor) index$tranche.upf <- temp$trancheupfront index$tranche.running <- temp$trancherunning*1e-4 |