diff options
| -rw-r--r-- | R/thetas-durations.R | 66 |
1 files changed, 33 insertions, 33 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index e4ea3110..ec95d2de 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -7,47 +7,47 @@ library(tidyr) hostname <- system("hostname", intern=TRUE) registerDoParallel(if(hostname=="debian") 4 else 8) -source("serenitasdb.R") +source("db.R") source("cds_functions_generic.R") source("yieldcurve.R") +serenitasdb <- dbConn("serenitasdb") + get.indexquotes.table <- function(indextype, series, tenors=c("3yr", "5yr", "7yr"), onlymissing=TRUE) { - stmt <- str_c("SELECT date, tenor, closeprice FROM index_quotes ", - "WHERE index=$1 AND series=$2", - if(onlymissing) " AND duration is NULL" else NULL, - " ORDER BY date") - df <- dbGetQuery(serenitasdb, stmt, params = list(indextype, series)) - df <- df %>% - filter(tenor %in% tenors) %>% - mutate(tenor = factor(tenor, levels=tenors)) + df <- serenitasdb %>% + tbl("index_quotes") %>% + filter(index == !!indextype, series == !!series, tenor %in% !!tenors) %>% + {if(onlymissing) filter(., is.null(duration)) else .} %>% + arrange(date) %>% select(date, tenor, closeprice) %>% collect() if(nrow(df) == 0) { return( df ) } else { - return( df %>% spread(tenor, closeprice)) + return( df %>% spread(tenor, closeprice) ) } } get.indexmaturity <- function(index, series){ - sqlstr <- paste("select maturity, coupon/cast(10000 as float)as running, tenor", - "from index_maturity where index=$1", - "and series=$2 order by maturity") - df <- dbGetQuery(serenitasdb, sqlstr, params=list(index, series)) - df$maturity <- as.Date(df$maturity) + index.maturity <- tbl(serenitasdb, "index_maturity") + df <- index.maturity %>% + filter(index == !!index, series == !!series) %>% + mutate(running = coupon/1000) %>% + select(maturity, running, tenor) %>% + collect() return( df ) } fastduration <- function(sc, cs, tradedate, maturities){ r <- rep(NA, length(maturities)) - if(is.null(sc)){ + if(is.null(sc)) { return( r ) } - startdate <- tradedate+1 + startdate <- tradedate + 1 acc <- cdsAccrued(tradedate, 1) - for(i in seq_along(maturities)){ - if(startdate <= maturities[i]){ + for(i in seq_along(maturities)) { + if(startdate <= maturities[i]) { r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc, - startdate, accruedondefault=TRUE)-acc + startdate, accruedondefault=TRUE) - acc } } return( r ) @@ -55,22 +55,22 @@ fastduration <- function(sc, cs, tradedate, maturities){ fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes, fixedrate=0.05){ r <- rep(NA, length(maturities)) - if(is.null(sc)){ + if(is.null(sc)) { return(r) } - startdate <- tradedate+1 + startdate <- tradedate + 1 acc <- cdsAccrued(tradedate, 1) - newmaturities <- maturities+years(-1) + newmaturities <- maturities + years(-1) for(i in seq_along(newmaturities)){ ## never extrapolate, and do not attempt to compute theta if within 1 year - if(startdate>newmaturities[i] || is.na(quotes[i])){ + if(startdate > newmaturities[i] || is.na(quotes[i])) { next - }else{ + } else { newcs <- cs[cs$unadj.dates<=newmaturities[i],] upfront <- defaultleg(newcs, sc, recov, startdate) - (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*fixedrate - r[i] <- quotes[i]-upfront+fixedrate + r[i] <- quotes[i] - upfront + fixedrate } } return( r ) @@ -86,19 +86,19 @@ for(index in c('IG', 'HY')) { tenors <- if(index=='IG') c("3yr", "5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr") for(series in 18:28) { indexquotes <- get.indexquotes.table(index, series, tenors) - if(nrow(indexquotes)==0) { + if(nrow(indexquotes) == 0) { next } maturities <- get.indexmaturity(index, series) maturities <- maturities[maturities$tenor %in% colnames(indexquotes)[-1],] durations <- matrix(0, nrow(indexquotes), nrow(maturities)) thetas <- matrix(0, nrow(indexquotes), nrow(maturities)) - last_maturity <- maturities[nrow(maturities), "maturity"] + last_maturity <- maturities %>% slice(n()) %>% pull(maturity) durandthetas <- foreach(i = 1:nrow(indexquotes), .combine='rbind') %dopar% { - tradedate <- indexquotes[i, "date"] + tradedate <- indexquotes %>% slice(i) %>% pull(date) exportYC(tradedate) - cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1, - 0, tradedate, IMMDate(tradedate, "prev")) + cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_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) c(fastduration(sc, cs, tradedate, maturities$maturity), @@ -107,7 +107,7 @@ for(index in c('IG', 'HY')) { ## ## non parallel version for easier debugging ## durandthetas <- c() ## for(i in 1:nrow(indexquotes)) { - ## tradedate <- indexquotes[i, "date"] + ## tradedate <- indexquotes %>% slice(i) %>% pull(date) ## exportYC(tradedate) ## cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1, ## 0, tradedate, IMMDate(tradedate, "prev")) @@ -125,7 +125,7 @@ for(index in c('IG', 'HY')) { colnames(df.durations) <- c("date", maturities$tenor) colnames(df.thetas) <- c("date", maturities$tenor) for(i in 1:nrow(df.durations)) { - for(tenor in maturities$tenor){ + for(tenor in maturities$tenor) { if(!is.na(df.durations[i, tenor])) { r <- dbSendQuery(serenitasdb, sqlstr.duration, params = list(df.durations[i, tenor], |