diff options
| -rw-r--r-- | R/build_portfolios.R | 4 | ||||
| -rw-r--r-- | R/intex_deal_functions.R | 27 |
2 files changed, 15 insertions, 16 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index c19d475e..1309cb54 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -32,7 +32,7 @@ index <- set.index.desc(index, calibration.date) global.params <- yaml.load_file(file.path(config.dir, "params.yml"), handlers = list(expr = function(x) eval(parse(text = x)))) -cusipdata <- cusip.data(workdate) +tranchedata <- tranche.data(workdate) cashspread.discount <- 0 currdealnames <- etdb %>% tbl("et_deal_model_numbers") %>% filter(updatedate == !!workdate) %>% @@ -52,7 +52,7 @@ for(i in seq_along(dealnames)){ deal.data$maturity <= Sys.Date()+90){ next } - deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate) + deal.portfolio <- buildSC.portfolio(deal.name, deal.data, tranchedata, global.params, workdate) ##deal.portfolio$SC <- tweakportfolio(deal.portfolio$SC, -cashspread.discount, multiplicative=FALSE) mv <- crossprod(deal.portfolio$notional, deal.portfolio$price)/100 nullcurves <- unlist(lapply(deal.portfolio$SC, is.null)) diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index 17750244..824e0710 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -47,16 +47,16 @@ listdealnames <- function() { return( dbGetQuery(etdb, sqlstring)) } -cusip.data <- function(workdate = Sys.Date()) { - sqlstring <- "SELECT DISTINCT ON (cusip) cusip, maturity, coupon AS grosscoupon, +tranche.data <- function(workdate = Sys.Date()) { + sqlstring <- "SELECT DISTINCT ON (figi) figi, maturity, coupon AS grosscoupon, spread, CASE WHEN floater_index like 'LIBOR%' THEN 'FLOAT' ELSE 'FIXED' END - AS fixedorfloat, orig_moody FROM cusip_universe JOIN clo_universe - ON clo_universe.\"Latest Update\" = cusip_universe.updatedate - AND clo_universe.dealname = cusip_universe.dealname -WHERE updatedate<=$1 ORDER BY cusip, updatedate DESC" + AS fixedorfloat, orig_moody FROM tranche_universe JOIN clo_universe + ON clo_universe.\"Latest Update\" = tranche_universe.updatedate + AND clo_universe.dealname = tranche_universe.dealname +WHERE updatedate<=$1 ORDER BY figi, updatedate DESC" data <- dbGetQuery(etdb, sqlstring, workdate) data <- data.table(data) - setkey(data, "cusip") + setkey(data, "figi") return( data ) } @@ -80,10 +80,10 @@ recovery <- function(collateral) { return(recovery) } -dealnamefromcusip <- function(cusips){ +dealnamefromfigi <- function(figiss){ ## wrapper around the sql function - sqlstr <- sprintf("select * from dealname_from_cusip('%s')", - paste(cusips, collapse="','")) + sqlstr <- sprintf("select * from dealname_from_figi('%s')", + paste(figiss, collapse="','")) r <- dbGetQuery(etdb, sqlstr) return( r$p_dealname ) } @@ -248,15 +248,14 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate return( list(SC=SC, notional=line.item$currentbalance, price = line.item$price, beta = beta) ) } -buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, startdate = Sys.Date()) { +buildSC.portfolio <- function(dealname, dealdata, tranchedata, global.params, startdate = Sys.Date()) { collatdata <- data.table(getcollateral(dealname, startdate)) - setkey(collatdata, "cusip") + setkey(collatdata, "figi") ## replace the cdo fields by bloomberg data - collatdata[cusipdata, + collatdata[tranchedata, `:=`(maturity=i.maturity, fixedorfloat=i.fixedorfloat, spread=i.spread, grosscoupon=i.grosscoupon, orig_moody=i.orig_moody, iscdo=TRUE), allow.cartesian=TRUE] - portfolio <- foreach(line.item = iter(collatdata, by='row')) %:% { when( !is.na(line.item$maturity) && !is.na(line.item$currentbalance) && line.item$currentbalance > 1 && |