diff options
| -rw-r--r-- | R/load_cf.R | 187 |
1 files changed, 107 insertions, 80 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 1d17c9a6..723a53aa 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -33,9 +33,6 @@ fields <- c("Cashflow", "Principal", "Interest") tranches <- c("COLLAT_REINVEST", "COLLAT_INITIAL")
n.scenarios <- 100
-dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Prices_", workdate)), "*COLLAT_INITIAL-CF-Scen1*")
-dealnames <- sapply(strsplit(dealnames, "-"), function(x) x[1])
-dealnames <- tolower(unique(dealnames))
flag <- FALSE
dealnames <- c("ares11", "cifc071", "cifc122", "comst", "duanst1", "empf2",
"galax8", "gulf052", "halcli1", "hals071", "hewett3", "hewett6",
@@ -44,73 +41,85 @@ dealnames <- c("ares11", "cifc071", "cifc122", "comst", "duanst1", "empf2", "oakcp3", "oceant1", "pacific3", "primus2", "sappv1", "saratg_1",
"shack1", "standay", "sumlk", "t2if1", "vent12", "vent7", "vent9",
"wthrs3")
+allfiles <- list.files(file.path(root.dir, "Scenarios", paste0("Prices_", workdate)), "*.txt")
+allfiles <- unique(sapply(strsplit(allfiles, "-"), function(x) x[1]))
+allfiles <- allfiles[!(allfiles=="Total")]
+dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Prices_", workdate)), "*COLLAT_INITIAL-CF-Scen1*")
+dealnames <- unique(sapply(strsplit(dealnames, "-"), function(x) x[1]))
+cusips <- setdiff(allfiles, dealnames)
+dealnames <- tolower(dealnames)
+
cfdata <- list()
-for(dealname in dealnames[11:38]){
- cfdata[[dealname]] <- list()
- r <- matrix(0, n.scenarios, 3)
- colnames(r) <- fields
- sqlstring <- sprintf("select marketvalue from latest_deal_model_numbers where dealname='%s'", dealname)
- mv <- dbGetQuery(dbCon, sqlstring)$marketvalue
- sqlstring <- sprintf("select \"Curr Collat Bal\" from latest_clo_universe where dealname='%s'", dealname)
- currbal <- dbGetQuery(dbCon, sqlstring)$"Curr Collat Bal"
- cfdata[[dealname]]$mv <- mv
- cfdata[[dealname]]$currbal <- currbal
- for(tranche in tranches){
- for(i in 1:n.scenarios){
- filename <- paste0(paste(toupper(dealname), tranche, "CF", paste0("Scen", i), sep="-"), ".txt")
- data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename),
- sep="\t", header=F, skip =3, colClasses="character", comment.char="")
- data <- data[,1:4]
- colnames(data) <- c("Date", "Cashflow", "Principal", "Interest")
- data$Date <- as.Date(data$Date, "%b %d, %Y")
- if(any(is.na(data$Date))){
- cat(sprintf("file: %s is messed up", filename), "\n")
- flag <- TRUE
- break
- }
- futuredates <- data$Date[data$Date>=workdate]
- pastdates <- data$Date[data$Date<workdate]
- if(i==1||length(futuredates)>length(DC$times)){
- DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, futuredates))
- }
- pv <- c()
- for(field in fields){
- data[,field] <- tryCatch(sanitize.column(data[,field]),
- warning = function(w){cat("garbled", dealname, i)})
- if(length(futuredates) == 0){
- df <- rep(1, length(pastdates))
- }else{
- df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
+for(dealname in dealnames){
+ cfdata[[dealname]] <- list()
+ r <- matrix(0, n.scenarios, 3)
+ colnames(r) <- fields
+ sqlstring <- sprintf("select marketvalue from latest_deal_model_numbers where dealname='%s'", dealname)
+ mv <- dbGetQuery(dbCon, sqlstring)$marketvalue
+ sqlstring <- sprintf("select \"Curr Collat Bal\" from latest_clo_universe where dealname='%s'", dealname)
+ currbal <- dbGetQuery(dbCon, sqlstring)$"Curr Collat Bal"
+ cfdata[[dealname]]$mv <- mv
+ cfdata[[dealname]]$currbal <- currbal
+ for(tranche in tranches){
+ for(i in 1:n.scenarios){
+ filename <- paste0(paste(toupper(dealname), tranche, "CF", paste0("Scen", i), sep="-"), ".txt")
+ data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename),
+ sep="\t", header=F, skip=3, colClasses="character", comment.char="")
+ data <- data[,1:4]
+ colnames(data) <- c("Date", "Cashflow", "Principal", "Interest")
+ data$Date <- as.Date(data$Date, "%b %d, %Y")
+ if(any(is.na(data$Date))){
+ cat(sprintf("file: %s is messed up", filename), "\n")
+ flag <- TRUE
+ break
+ }
+ futuredates <- data$Date[data$Date>=workdate]
+ pastdates <- data$Date[data$Date<workdate]
+ if(i==1||length(futuredates)>length(DC$times)){
+ DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, futuredates))
+ }
+ pv <- c()
+ for(field in fields){
+ data[,field] <- tryCatch(sanitize.column(data[,field]),
+ warning = function(w){cat("garbled", dealname, i)})
+ if(length(futuredates) == 0){
+ df <- rep(1, length(pastdates))
+ }else{
+ df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
+ }
+ if(nrow(data)>0){
+ pv <- c(pv, crossprod(df, data[,field]))
+ }else{
+ pv <- c(pv, 0)
+ }
+ }
+ r[i,] <- pv
}
- if(nrow(data)>0){
- pv <- c(pv, crossprod(df, data[,field]))
+ if(flag){
+ cfdata[[dealname]] <- NULL
+ flag <- FALSE
+ break
}else{
- pv <- c(pv, 0)
+ cfdata[[dealname]][[tranche]]<- r
}
- }
- r[i,] <- pv
}
- if(flag){
- cfdata[[dealname]] <- NULL
- flag <- FALSE
- break
- }else{
- cfdata[[dealname]][[tranche]]<- r
- }
- }
}
-
r <- c()
for(dealname in dealnames){
- r <- rbind(r, c(cfdata[[dealname]]$mv, cfdata[[dealname]]$currbal, apply(cfdata[[dealname]]$COLLAT_REINVEST, 2, mean)[1], apply(cfdata[[dealname]]$COLLAT_INITIAL, 2, mean)[1]))
+ r <- rbind(r, c(cfdata[[dealname]]$mv, cfdata[[dealname]]$currbal, apply(cfdata[[dealname]]$COLLAT_REINVEST, 2, mean)[1], apply(cfdata[[dealname]]$COLLAT_INITIAL, 2, mean)[1]))
}
colnames(r) <- c("mv", "currbal", "Reinvest", "Initial")
rownames(r) <- dealnames
+intexfields <- c("Cashflow", "Principal", "Interest", "Balance")
+
flag <- FALSE
cusipdata <- list()
for(cusip in cusips){
+ dealname <- dealnamefromcusip(cusip)
+ dealdata <- getdealdata(dealname)
+ schedule <- getdealschedule(dealdata)
r <- matrix(0, n.scenarios, 3)
colnames(r) <- fields
sqlstring <- sprintf("select curr_balance, spread from cusip_universe where cusip = '%s'", cusip)
@@ -124,45 +133,63 @@ for(cusip in cusips){ }
data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename),
sep = "\t", header=T, colClasses="character", skip = 3, comment.char="")
- data <- data[, 1:4]
- colnames(data) <- c("Date", "Cashflow", "Principal", "Interest")
+ data <- data[, 1:5]
+ colnames(data) <- c("Date", "Cashflow", "Principal", "Interest", "Balance")
data$Date <- as.Date(data$Date, "%b %d, %Y")
if(any(is.na(data$Date))){
- sprintf("file: %s is messed up", filename)
+ cat(sprintf("file: %s is messed up", filename), "\n")
flag <- TRUE
break
}
- data <- data[data$Date >= Sys.Date(),]
- if(i==1){
- DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, data$Date))
+ ## cleanup the data
+ for(field in intexfields){
+ data[,field] <- tryCatch(sanitize.column(data[,field]),
+ warning = function(w){cat("garbled", dealname, i)})
}
- pv <- c()
- for(field in fields){
- data[,field] <- sanitize.column(data[,field])
- pv <- c(pv, crossprod(DC$discounts[1:length(data$Date), data[,field]))
+ futuredates <- data$Date[data$Date >= workdate]
+ pastdates <- data$Date[data$Date < workdate]
+ if(i==1||length(futuredates)>length(DC$times)){
+ DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, futuredates))
}
- r[i,] <- pv
- }
- if(flag){
- cusipsdata[[cusip]] <- NULL
- flag <- FALSE
- break
- }else{
- for(field in fields){
- cusipdata[[cusip]][[field]] <- r[,field]
+ if(length(futuredates) == 0){
+ df <- rep(1, length(pastdates))
+ }else{
+ df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
+ }
+ ## compute the pvs
+ for(field in c("Cashflow", "Principal", "Interest")){
+ if(nrow(data)>0){
+ cusipdata[[cusip]][[field]] <- c(pv, crossprod(df, data[,field]))
+ }else{
+ cusipdata[[cusip]][[field]] <- c(pv, crossprod(df, data[,field]))
+ }
+ }
+ ## compute the duration
+ data[,"Balance"]* DC$forwards[DC$times==
+ if(flag){
+ cusipsdata[[cusip]] <- NULL
+ flag <- FALSE
+ break
+ }else{
+ for(field in fields){
+ cusipdata[[cusip]][[field]] <- r[,field]
+ }
+ cusipdata[[cusip]][["duration"]] <- data[,"Interest"]/data
}
- }
}
prices <- c()
duration <- c()
-for(cusip in names(cusipdata)){
- prices <- c(prices, mean(cusipdata[[cusip]]$Cashflow)/cusipdata[[cusip]]$currbal)
- duration <- c(duration, mean(cusipdata[[cusip]]$Interest)/
- (cusipdata[[cusip]]$currbal*cusipdata[[cusip]]$spread))
+ for(cusip in names(cusipdata)){
+ prices <- c(prices, mean(cusipdata[[cusip]]$Cashflow)/cusipdata[[cusip]]$currbal)
+ duration <- c(duration, mean(cusipdata[[cusip]]$Interest)/
+ (cusipdata[[cusip]]$currbal*cusipdata[[cusip]]$spread))
+ }
}
-
-i <- 1
+cusupdata[[cusip]]$Interest-cusipdata[[cusip
+durations <- getdealschedule(getdealdata("marlst"))
+forwards <- DC$forwards
+cusipdata[[cusip]]$Balance * forwards[i]+spreadi <- 1
for(cusip in names(cusipdata)){
cat(cusip, prices[i], "\n")
i <- i+1
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