diff options
| -rw-r--r-- | R/calibration.R | 36 |
1 files changed, 31 insertions, 5 deletions
diff --git a/R/calibration.R b/R/calibration.R index 7e3aafa7..51ab4fce 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -27,7 +27,7 @@ set.singlenamesdata <- function(index, tradedate){ tenor <- names(cds.cs$cdsdates) index$portfolio <- list() for(i in seq_along(quotes$tickers)){ - if(quotes$ticker[i] %in% c("IACI", "TITANC")){ + if(quotes$ticker[i] %in% c("IACI", "TITANC", "ESPSAN", "CBRY")){ quotes$spread_curve[i,] <- rep(0.001,8) quotes$upfront_curve[i,] <- rep(0,8) quotes$recovery[i,] <- rep(0.4,8) @@ -47,6 +47,10 @@ set.singlenamesdata <- function(index, tradedate){ } index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates)) } + if(index$name == "EU9"){ + index$issuerweights <- rep(0.08, 124) + index$issuerweights[quotes$ticker=="GDFS"] <- 0.08*2 + } index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) index$recov <- sapply(index$portfolio, attr, "recovery") return( index ) @@ -89,14 +93,36 @@ set.tranchedata <- function(index, tradedate){ index$K <- adjust.attachments(K, index$loss, index$factor) ## convert snac prices to proper upfront - if(substr(index$name,1, 2) %in% c("xo")){ + if(index$type == "XO"){ + coupon <- 500 temp$trancheupfrontmid[4] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[4]*1e-4, - 0.05, 0.4, tradedate)) - temp$trancherunningmid[4] <- 500 + coupon*1e-4, 0.4, tradedate)) + temp$trancherunningmid[4] <- coupon + } + if(index$type =="EU"){ + if(index$series>=21){ + coupon <- 100 + temp$trancheupfrontmid[3] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[3]*1e-4, + coupon*1e-4, 0, tradedate)) + temp$trancheupfrontmid[4] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[4]*1e-4, + coupon*1e-4, 0.4, tradedate)) + temp$trancherunningmid[3:4] <- coupon + }else if(index$series == 9){ + for(i in 4:5){ + coupon <- 100 + temp$trancheupfrontmid[i] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[i]*1e-4, + coupon*1e-4, 0, tradedate)) + temp$trancherunningmid[i] <- coupon + } + coupon <- 25 + temp$trancheupfrontmid[6] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[6]*1e-4, + coupon*1e-4, 0.4, tradedate)) + temp$trancherunningmid[6] <- coupon + } } ## compute dirty protection price accrued <- cdsAccrued(tradedate, temp$trancherunningmid*1e-4) - if(substr(index$name, 1, 2) %in% c("hy")){ + if(index$type == "HY"){ dirtyquotes <- 1 - temp$trancheupfrontmid/100 - accrued }else{ dirtyquotes <- temp$trancheupfrontmid/100 - accrued |