diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 293 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 94 |
2 files changed, 189 insertions, 198 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 7652a90f..f65a1a49 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -1,148 +1,145 @@ -## parse command line arguments
-root.dir <- if(.Platform$OS.type == "unix"){
- "/home/share/CorpCDOs"
-}else{
- "//WDSENTINEL/share/CorpCDOs"
-}
-library(logging)
-basicConfig()
-removeHandler('basic.stdout')
-addHandler(writeToFile, file=file.path(root.dir, "logs", "calibrate_tranches_BC.log"))
-if(!interactive()){
- library(optparse)
- option_list <- list(
- make_option(c("-u", "--update"), action="store_true", default=FALSE,
- help="Update from the last run date [default %default]"),
- make_option(c("-c", "--config"), metavar="config_file",
- help="Runs the list of indices provided in CONFIG_FILE"),
- make_option(c("-i", "--index"), help="Index name we want to run"),
- make_option("--tenor", default="5yr", help="Tenor we want to run [default %default]"),
- make_option("--until", default=Sys.Date()-1, type="character",
- help="last date to run [default %default]"))
- args <- parse_args(OptionParser(option_list=option_list))
- ## default values
- if(is.null(args$config)){
- if(is.null(args$index)){
- stop("Please provide an index name")
- }
- config <- list(runs=list(c(args$index, args$tenor)))
- }else{
- config <- yaml::yaml.load_file(file.path(root.dir,"code", "etc", args$config))
- }
-} else {
- ## args <- list(config=yaml::yaml.load_file(file.path(root.dir,"code", "etc", "runs.yml")),
- ## until = Sys.Date()-1,
- ## update = TRUE)
- args <- list(update=TRUE, until = Sys.Date()-1)
- config <- list(runs=list(c("hy21", "3yr")))
- options(error=recover)
-}
-
-options(stringsAsFactors = FALSE)
-source(file.path(root.dir, "code", "R", "yieldcurve.R"))
-source(file.path(root.dir, "code", "R", "optimization.R"))
-source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE)
-source(file.path(root.dir, "code", "R", "serenitasdb.R"))
-source(file.path(root.dir, "code", "R", "creditIndex.R"))
-source(file.path(root.dir, "code", "R", "tranche_functions.R"))
-
-for(run in config$runs){
- index.name <- run[1]
- tenor <- run[2]
- filename <- file.path(root.dir, "Tranche_data", "Runs",
- paste(tolower(index.name), tenor, "csv",sep="."))
- ## if(!file.exists(filename)){
- ## args$update <- FALSE
- ## }
- if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))){
- }else{
- begin.date <- switch(index.name,
- hy10 = as.Date("2014-08-11"),
- hy15 = as.Date("2014-06-10"),
- hy17 = as.Date("2013-01-01"),
- hy19 = as.Date("2013-02-01"),
- hy21 = as.Date("2013-10-04"),
- hy23 = as.Date("2014-10-16"),
- hy25 = as.Date("2015-10-01"),
- hy27 = as.Date("2016-10-04"),
- ig9 = as.Date("2013-01-01"),
- ig19 = as.Date("2013-05-01"),
- ig21 = as.Date("2013-09-26"),
- ig23 = as.Date("2014-10-14"),
- ig25 = as.Date("2015-09-22"),
- ig27 = as.Date("2016-09-27"),
- xo22 = as.Date("2014-10-20"),
- xo24 = as.Date("2015-09-28"),
- xo26 = as.Date("2016-09-27"),
- eu9 = as.Date("2014-09-15"),
- eu19 = as.Date("2013-04-03"),
- eu21 = as.Date("2014-03-27"),
- eu22 = as.Date("2014-10-22"),
- eu24 = as.Date("2015-09-23"),
- eu26 = as.Date("2016-09-27"))
- }
- if(begin.date > as.Date(args$until)){
- next
- }
- alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
- if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){
- curr <- "EUR"
- cal <- Calendar$new("TARGET")
- }else{
- curr <- "USD"
- cal <- Calendar$new("UnitedStates/GovernmentBond")
- }
- bus.dates <- alldates[cal$isBusinessDay(alldates)]
-
- for(j in seq_along(bus.dates)){
- tradedate <- bus.dates[j]
- loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
- exportYC(tradedate, curr)
- index <- creditIndex(index.name, tenor)
- index <- set.index.desc(index, tradedate)
- ## calibrate the single names curves
- index <- set.singlenamesdata(index, tradedate)
- index <- tryCatch(set.tranchedata(index, tradedate),
- error = function(e) logerror(e$message))
- if(is.null(index)) {
- loginfo(paste("skipping", index.name, tenor))
- next
- }
- temp <- BCindex.pv(index)
- index$EL <- -temp$pl
- index$duration <- temp$cl-cdsAccrued(tradedate, 1)
- index$theta <- indextheta(index, tradedate)
-
- ## calibrate the tranches using base correlation
- index$rho <- build.skew(index)
-
- ## compute various risk numbers
- index$tranches <- cbind(index$tranches, BCtranche.delta(index))
- index$tranches <- cbind(index$tranches, tryCatch(BCtranche.theta(index, method="TLP"),
- error = function(e) {
- logerror(e$message)
- n <- nrow(index$tranches)
- data.frame(theta=rep(NA, n),
- fw.delta=rep(NA, n)) }))
- index$tranches$corr01 <- BCtranche.corr01(index)
- temp <- BCtranche.pv(index, protection=TRUE)
- index$tranches$duration <-
- (temp$cl-cdsAccrued(tradedate, index$tranches$running))/index$tranches$running
- index$tranches$EL <- -temp$pl*diff(index$K)
-
- ## save the index object
- save(index, file=file.path(root.dir, "Tranche_data", "Objects",
- paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
-
- ## save risk numbers into the csv file
- if(!args$update && j==1){
- cat(csvheaders(index), sep="\n", file=filename)
- }
- cat(tocsv(index), sep="\n", file=filename, append=TRUE)
- r <- with(tosql(index),
- tryCatch(dbGetQuery(serenitasdb, stmt, params),
- error = function(e) logerror(e$message)))
- loginfo("done")
- }
-}
-try(dbDisconnect(serenitasdb), TRUE)
+## parse command line arguments +code.dir <- Sys.getenv("CODE_DIR") +tranchedata.dir <- fole.path(Sys.getenv("DATA_DIR"), "..", "Tranche_data") +library(logging) +basicConfig() +removeHandler('basic.stdout') +addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_BC.log")) +if(!interactive()){ + library(optparse) + option_list <- list( + make_option(c("-u", "--update"), action="store_true", default=FALSE, + help="Update from the last run date [default %default]"), + make_option(c("-c", "--config"), metavar="config_file", + help="Runs the list of indices provided in CONFIG_FILE"), + make_option(c("-i", "--index"), help="Index name we want to run"), + make_option("--tenor", default="5yr", help="Tenor we want to run [default %default]"), + make_option("--until", default=Sys.Date()-1, type="character", + help="last date to run [default %default]")) + args <- parse_args(OptionParser(option_list=option_list)) + ## default values + if(is.null(args$config)){ + if(is.null(args$index)){ + stop("Please provide an index name") + } + config <- list(runs=list(c(args$index, args$tenor))) + }else{ + config <- yaml::yaml.load_file(file.path(code.dir, "etc", args$config)) + } +} else { + ## args <- list(config=yaml::yaml.load_file(file.path(root.dir,"code", "etc", "runs.yml")), + ## until = Sys.Date()-1, + ## update = TRUE) + args <- list(update=TRUE, until = Sys.Date()-1) + config <- list(runs=list(c("hy21", "3yr"))) + options(error=recover) +} + +options(stringsAsFactors = FALSE) +source(file.path(code.dir, "R", "yieldcurve.R")) +source(file.path(code.dir, "R", "optimization.R")) +source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE) +source(file.path(code.dir, "R", "serenitasdb.R")) +source(file.path(code.dir, "R", "creditIndex.R")) +source(file.path(code.dir, "R", "tranche_functions.R")) + +for(run in config$runs){ + index.name <- run[1] + tenor <- run[2] + filename <- file.path(thranchedata.dir, "Runs", + paste(tolower(index.name), tenor, "csv",sep=".")) + ## if(!file.exists(filename)){ + ## args$update <- FALSE + ## } + if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))){ + }else{ + begin.date <- switch(index.name, + hy10 = as.Date("2014-08-11"), + hy15 = as.Date("2014-06-10"), + hy17 = as.Date("2013-01-01"), + hy19 = as.Date("2013-02-01"), + hy21 = as.Date("2013-10-04"), + hy23 = as.Date("2014-10-16"), + hy25 = as.Date("2015-10-01"), + hy27 = as.Date("2016-10-04"), + ig9 = as.Date("2013-01-01"), + ig19 = as.Date("2013-05-01"), + ig21 = as.Date("2013-09-26"), + ig23 = as.Date("2014-10-14"), + ig25 = as.Date("2015-09-22"), + ig27 = as.Date("2016-09-27"), + xo22 = as.Date("2014-10-20"), + xo24 = as.Date("2015-09-28"), + xo26 = as.Date("2016-09-27"), + eu9 = as.Date("2014-09-15"), + eu19 = as.Date("2013-04-03"), + eu21 = as.Date("2014-03-27"), + eu22 = as.Date("2014-10-22"), + eu24 = as.Date("2015-09-23"), + eu26 = as.Date("2016-09-27")) + } + if(begin.date > as.Date(args$until)){ + next + } + alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day") + if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){ + curr <- "EUR" + cal <- Calendar$new("TARGET") + }else{ + curr <- "USD" + cal <- Calendar$new("UnitedStates/GovernmentBond") + } + bus.dates <- alldates[cal$isBusinessDay(alldates)] + + for(j in seq_along(bus.dates)){ + tradedate <- bus.dates[j] + loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate))) + exportYC(tradedate, curr) + index <- creditIndex(index.name, tenor) + index <- set.index.desc(index, tradedate) + ## calibrate the single names curves + index <- set.singlenamesdata(index, tradedate) + index <- tryCatch(set.tranchedata(index, tradedate), + error = function(e) logerror(e$message)) + if(is.null(index)) { + loginfo(paste("skipping", index.name, tenor)) + next + } + temp <- BCindex.pv(index) + index$EL <- -temp$pl + index$duration <- temp$cl-cdsAccrued(tradedate, 1) + index$theta <- indextheta(index, tradedate) + + ## calibrate the tranches using base correlation + index$rho <- build.skew(index) + + ## compute various risk numbers + index$tranches <- cbind(index$tranches, BCtranche.delta(index)) + index$tranches <- cbind(index$tranches, tryCatch(BCtranche.theta(index, method="TLP"), + error = function(e) { + logerror(e$message) + n <- nrow(index$tranches) + data.frame(theta=rep(NA, n), + fw.delta=rep(NA, n)) })) + index$tranches$corr01 <- BCtranche.corr01(index) + temp <- BCtranche.pv(index, protection=TRUE) + index$tranches$duration <- + (temp$cl-cdsAccrued(tradedate, index$tranches$running))/index$tranches$running + index$tranches$EL <- -temp$pl*diff(index$K) + + ## save the index object + save(index, file=file.path(tranchedata.dir, "Objects", + paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData"))) + + ## save risk numbers into the csv file + if(!args$update && j==1){ + cat(csvheaders(index), sep="\n", file=filename) + } + cat(tocsv(index), sep="\n", file=filename, append=TRUE) + r <- with(tosql(index), + tryCatch(dbGetQuery(serenitasdb, stmt, params), + error = function(e) logerror(e$message))) + loginfo("done") + } +} +try(dbDisconnect(serenitasdb), TRUE) diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index badfba76..aa2c49bf 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -1,50 +1,44 @@ -#!/usr/bin/Rscript
-require(methods)
-library(logging)
-
-args <- commandArgs(trailingOnly=TRUE)
-
-if(.Platform$OS.type == "unix"){
- root.dir <- "/home/share/CorpCDOs"
-}else{
- root.dir <- "//WDSENTINEL/share/CorpCDOs"
-}
-
-basicConfig()
-removeHandler('basic.stdout')
-addHandler(writeToFile, file=file.path(root.dir, "logs", "calibrate_tranches_MF.log"))
-##options(warn=2)
-code.dir <- if(Sys.getenv("CODE_DIR")!="") Sys.getenv("CODE_DIR") else root.dir
-
-source(file.path(code.dir, "code", "R", "yieldcurve.R"))
-source(file.path(code.dir, "code", "R", "optimization.R"))
-source(file.path(code.dir, "code", "R", "calibration.R"), chdir=TRUE)
-source(file.path(code.dir, "code", "R", "serenitasdb.R"))
-source(file.path(code.dir, "code", "R", "creditIndex.R"))
-source(file.path(code.dir, "code", "R", "tranche_functions.R"))
-
-##figure out the tradedate
-if(length(args) >= 1){
- tradedate <- as.Date(args[1])
-}else{
- tradedate <- addBusDay(Sys.Date(), -1)
-}
-
-exportYC(tradedate)
-## calibrate HY25
-## calibrate the single names curves
-index <- creditIndex("hy27", "5yr")
-index <- set.index.desc(index, tradedate)
-index <- set.singlenamesdata(index, tradedate)
-## load tranche data
-index <- set.tranchedata(index, tradedate)
-##calibrate by modifying the factor distribution
-index$w.mod <- build.MFdist(index)
-dist <- MFlossdist(index)
-write.table(data.frame(Z=index$Z, w=index$w.mod),
- file=file.path(root.dir, "Scenarios", "Calibration",
- paste0("calibration-", tradedate, ".csv")),
- col.names=T, row.names=F, sep=",")
-
-save(index, dist, file = file.path(root.dir, "Scenarios", "Calibration",
- paste0("marketdata-", tradedate, ".RData")), compress="xz")
+#!/usr/bin/Rscript +require(methods) +library(logging) + +args <- commandArgs(trailingOnly=TRUE) + +basicConfig() +removeHandler('basic.stdout') +addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_MF.log")) +##options(warn=2) +code.dir <- Sys.getenv("CODE_DIR") +data.dir <- file.path(Sys.getenv("DATA_DIR"), "..", "Scenarios", "Calibration") +source(file.path(code.dir, "R", "yieldcurve.R")) +source(file.path(code.dir, "R", "optimization.R")) +source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE) +source(file.path(code.dir, "R", "serenitasdb.R")) +source(file.path(code.dir, "R", "creditIndex.R")) +source(file.path(code.dir, "R", "tranche_functions.R")) + +##figure out the tradedate +if(length(args) >= 1){ + tradedate <- as.Date(args[1]) +}else{ + tradedate <- addBusDay(Sys.Date(), -1) +} + +exportYC(tradedate) +## calibrate HY25 +## calibrate the single names curves +index <- creditIndex("hy27", "5yr") +index <- set.index.desc(index, tradedate) +index <- set.singlenamesdata(index, tradedate) +## load tranche data +index <- set.tranchedata(index, tradedate) +##calibrate by modifying the factor distribution +index$w.mod <- build.MFdist(index) +dist <- MFlossdist(index) +write.table(data.frame(Z=index$Z, w=index$w.mod), + file=file.path(data.dir, + paste0("calibration-", tradedate, ".csv")), + col.names=T, row.names=F, sep=",") + +save(index, dist, file = file.path(data.dir, + paste0("marketdata-", tradedate, ".RData")), compress="xz") |