diff options
| -rw-r--r-- | R/backtest.R | 50 |
1 files changed, 37 insertions, 13 deletions
diff --git a/R/backtest.R b/R/backtest.R index 2723be4d..cef602cf 100644 --- a/R/backtest.R +++ b/R/backtest.R @@ -22,7 +22,8 @@ get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr")){ } get.indexmaturity <- function(index, series){ - sqlstr <- paste("select maturity, coupon/10000 as running from index_maturity where index='%s'", + sqlstr <- paste("select maturity, coupon/cast(10000 as float)as running, tenor", + "from index_maturity where index='%s'", "and series=%s order by maturity") stmt <- sprintf(sqlstr, index, series) df <- dbGetQuery(serenitasdb, stmt) @@ -45,17 +46,37 @@ fastduration <- function(sc, cs, tradedate, maturities){ return( r ) } +fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){ + startdate <- tradedate+1 + acc <- cdsAccrued(tradedate, 1) + r <- numeric(length(maturities)) + newmaturities <- maturities+years(-1) + for(i in seq_along(newmaturities)){ + if(startdate>newmaturities[i]){ + r[i] <- NA + }else{ + newcs <- cs[cs$unadj.dates<=newmaturities[i],] + upfront <- (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*0.05- + defaultleg(newcs, sc, recov, startdate) + r[i] <- upfront+quotes[i]+0.05 + } + } + return( r ) +} + index <- 'HY' tenors <- c("3yr", "5yr", "7yr") recov <- 0.3 colnames(df) <- c("date", tenors) -sqlstr <- paste("UPDATE index_quotes set duration=%s where date='%s' and index='%s'", +sqlstr <- paste("UPDATE index_quotes set duration=%s, theta=%s where date='%s' and index='%s'", "and series=%s and tenor='%s'") -for(series in c(11, 13, 15, 17, 19, 21, 23){ +for(series in c(10, 11, 13, 15, 17, 19, 21, 23)){ indexquotes <- get.indexquotes(index, series) maturities <- get.indexmaturity(index, series) + maturities <- maturities[maturities$tenor %in% tenors,] durations <- matrix(0, nrow(indexquotes), length(tenors)) + thetas <- matrix(0, nrow(indexquotes), length(tenors)) for (i in 1:nrow(indexquotes)){ tradedate <- indexquotes[i, "date"] exportYC(tradedate) @@ -65,21 +86,24 @@ for(series in c(11, 13, 15, 17, 19, 21, 23){ 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$maturity) + thetas[i,] <- fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront) } - - df <- data.frame(date=indexquotes$date, durations) - colnames(df) <- c("date", tenors) - for(i in 1:nrow(df)){ + df.durations <- data.frame(date=indexquotes$date, durations) + df.thetas <- data.frame(date=indexquotes$date, thetas) + colnames(df.durations) <- c("date", tenors) + colnames(df.thetas) <- c("date", tenors) + for(i in 1:nrow(df.durations)){ for(tenor in tenors){ if(!is.na(df[i,tenor])){ - stmt <- sprintf(sqlstr, df[i,tenor], df[i,"date"], index, series, tenor) + stmt <- sprintf(sqlstr, df.durations[i,tenor], df.thetas[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") + ggsave(filename=paste0("HY", series, " durations.png")) } - -## 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") |