diff options
| -rw-r--r-- | R/thetas-durations.R (renamed from R/backtest.R) | 66 |
1 files changed, 45 insertions, 21 deletions
diff --git a/R/backtest.R b/R/thetas-durations.R index 8ef74b7c..02001187 100644 --- a/R/backtest.R +++ b/R/thetas-durations.R @@ -19,12 +19,15 @@ source(file.path(root.dir, "code", "R", "serenitasdb.R")) source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) source(file.path(root.dir, "code", "R", "yieldcurve.R")) -get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr")){ +get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr"), onlymissing=TRUE){ arraystring1 <- paste0("Array[''", paste(tenors, collapse = "'', ''"), "'']::tenor[]") arraystring2 <- paste0('"', paste(tenors, collapse='" float, "'), '" float') sqlstr <- paste("select * from crosstab('select date, tenor, closeprice from index_quotes", - "where index=''%s''", - "and series=%s order by date, tenor', 'select unnest(%s)')", + "where index=''%s''and series=%s") + if(onlymissing){ + sqlstr <- paste(sqlstr, "and duration is Null") + } + sqlstr <- paste(sqlstr, "order by date, tenor', 'select unnest(%s)')", "AS ct(date date, %s)") stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2) df <- dbGetQuery(serenitasdb, stmt) @@ -93,10 +96,12 @@ convertNA <- function(x){ index <- 'HY' tenors <- c("3yr", "5yr", "7yr") recov <- 0.3 -sqlstr <- paste("UPDATE index_quotes set duration=%s, theta=%s where date='%s' and index='%s'", - "and series=%s and tenor='%s'") +sqlstr.duration <- paste("UPDATE index_quotes set duration=%s where date='%s' and index='%s'", + "and series=%s and tenor='%s'") +sqlstr.theta <- paste("UPDATE index_quotes set theta=%s where date='%s' and index='%s'", + "and series=%s and tenor='%s'") -for(series in c(9, 10, 11, 13, 15, 17, 19, 21, 23)){ +for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ indexquotes <- get.indexquotes(index, series) maturities <- get.indexmaturity(index, series) maturities <- maturities[maturities$tenor %in% tenors,] @@ -114,25 +119,44 @@ for(series in c(9, 10, 11, 13, 15, 17, 19, 21, 23)){ c(fastduration(sc, cs, tradedate, maturities$maturity), fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront)) } - df.durations <- data.frame(date=indexquotes$date, durandthetas[,1:3]) - df.thetas <- data.frame(date=indexquotes$date, durandthetas[,4:6]) + r <- c() + for(i in 1:nrow(indexquotes)){ + tradedate <- indexquotes[i, "date"] + exportYC(tradedate) + cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,"Q", "FIXED", 1, + 0, tradedate, IMMDate(tradedate, "prev")) + quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) + sc <- cdshazardrate(quotes, recov, tradedate, cs) + r <- rbind(r, c(fastduration(sc, cs, tradedate, maturities$maturity), + fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront))) + } + df.durations <- data.frame(date=indexquotes$date, r[,1:3]) + df.thetas <- data.frame(date=indexquotes$date, r[,4:6]) colnames(df.durations) <- c("date", tenors) colnames(df.thetas) <- c("date", tenors) for(i in 1:nrow(df.durations)){ for(tenor in tenors){ - stmt <- sprintf(sqlstr, convertNA(df.durations[i,tenor]), convertNA(df.thetas[i, tenor]), - df.durations[i,"date"], index, series, tenor) - dbSendQuery(serenitasdb, stmt) + if(!is.na(df.durations[i,tenor])){ + stmt <- sprintf(sqlstr.duration, df.durations[i,tenor], + df.durations[i,"date"], index, series, tenor) + dbSendQuery(serenitasdb, stmt) + } + if(!is.na(df.thetas[i,tenor])){ + stmt <- sprintf(sqlstr.theta, df.thetas[i,tenor], + df.thetas[i,"date"], index, series, tenor) + dbSendQuery(serenitasdb, stmt) + } } } - ## nice plot, now I'm just showing off - ggplot(df.durations, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ - geom_line(aes(y=`5yr`, colour="5yr"))+ - geom_line(aes(y=`7yr`, colour="7yr"))+ylab("duration")+labs(colour="tenor") - ggsave(filename=paste0("HY", series, " durations.png")) - ## plot thetas - ggplot(df.thetas, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ - geom_line(aes(y=`5yr`, colour="5yr"))+ - geom_line(aes(y=`7yr`, colour="7yr"))+ylab("theta")+labs(colour="tenor") - ggsave(filename=paste0("HY", series, " thetas.png")) } + +## ## nice plot, now I'm just showing off +## ggplot(df.durations, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ +## geom_line(aes(y=`5yr`, colour="5yr"))+ +## geom_line(aes(y=`7yr`, colour="7yr"))+ylab("duration")+labs(colour="tenor") +## ggsave(filename=paste0("HY", series, " durations.png")) +## ## plot thetas +## ggplot(df.thetas, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+ +## geom_line(aes(y=`5yr`, colour="5yr"))+ +## geom_line(aes(y=`7yr`, colour="7yr"))+ylab("theta")+labs(colour="tenor") +## ggsave(filename=paste0("HY", series, " thetas.png")) |