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| -rw-r--r-- | R/backtest.R | 85 |
1 files changed, 85 insertions, 0 deletions
diff --git a/R/backtest.R b/R/backtest.R new file mode 100644 index 00000000..2723be4d --- /dev/null +++ b/R/backtest.R @@ -0,0 +1,85 @@ +## parse command line arguments +if(.Platform$OS.type == "unix"){ + root.dir <- "/home/share/CorpCDOs" +}else{ + root.dir <- "//WDSENTINEL/share/CorpCDOs" +} +library(ggplot2) + +source(file.path(root.dir, "code", "R", "serenitasdb.R")) +source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) +source(file.path(root.dir, "code", "R", "yieldcurve.R")) + +get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr")){ + arraystring1 <- paste0("Array[''", paste(tenors, collapse = "'', ''"), "'']::tenor[]") + arraystring2 <- paste0('"', paste(tenors, collapse='" float, "'), '" float') + sqlstr <- paste("select * from crosstab('select date, tenor, closeprice from index_quotes where index=''%s''", + "and series=%s order by date, tenor', 'select unnest(%s)')", + "AS ct(date date, %s)") + stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2) + df <- dbGetQuery(serenitasdb, stmt) + return( df ) +} + +get.indexmaturity <- function(index, series){ + sqlstr <- paste("select maturity, coupon/10000 as running from index_maturity where index='%s'", + "and series=%s order by maturity") + stmt <- sprintf(sqlstr, index, series) + df <- dbGetQuery(serenitasdb, stmt) + return( df ) +} + +fastduration <- function(sc, cs, tradedate, maturities){ + startdate <- tradedate+1 + acc <- cdsAccrued(tradedate, 1) + r <- numeric(length(maturities)) + for(i in seq_along(maturities)){ + if(startdate>maturities[i]){ + r[i] <- NA + }else{ + r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc, + startdate, accruedondefault=TRUE) + } + } + r <- r-acc + return( r ) +} + +index <- 'HY' +tenors <- c("3yr", "5yr", "7yr") +recov <- 0.3 +colnames(df) <- c("date", tenors) +sqlstr <- paste("UPDATE index_quotes set duration=%s where date='%s' and index='%s'", + "and series=%s and tenor='%s'") + +for(series in c(11, 13, 15, 17, 19, 21, 23){ + indexquotes <- get.indexquotes(index, series) + maturities <- get.indexmaturity(index, series) + durations <- matrix(0, nrow(indexquotes), length(tenors)) + for (i in 1:nrow(indexquotes)){ + tradedate <- indexquotes[i, "date"] + exportYC(tradedate) + maturity <- maturities[nrow(maturities), "maturity"] + 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) + durations[i,] <- fastduration(sc, cs, tradedate, maturities$maturity) + } + + df <- data.frame(date=indexquotes$date, durations) + colnames(df) <- c("date", tenors) + for(i in 1:nrow(df)){ + for(tenor in tenors){ + if(!is.na(df[i,tenor])){ + stmt <- sprintf(sqlstr, df[i,tenor], df[i,"date"], index, series, tenor) + dbSendQuery(serenitasdb, stmt) + } + } + } +} + +## nice plot, now I'm just showing off +ggplot(df, 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") |