diff options
| -rw-r--r-- | R/thetas-durations.R | 16 |
1 files changed, 11 insertions, 5 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 9a7362be..a1cbaa4c 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -1,4 +1,3 @@ -library(ggplot2) library(lubridate) library(doParallel) library(dplyr) @@ -84,11 +83,17 @@ sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3", "and series=$4 and tenor=$5") -for(index in c('IG', 'HY')) { - recov <- if(index=='IG') 0.4 else 0.3 - coupon <- if(index=='IG') 0.01 else 0.05 - tenors <- if(index=='IG') c("3yr", "5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr") +for(index in c('IG', 'HY', 'EU')) { + recov <- if(index == 'IG' || index == 'EU') 0.4 else 0.3 + coupon <- if(index == 'IG'|| index == 'EU') 0.01 else 0.05 for(series in 18:29) { + tenors <- switch(index, + IG = c("3yr", "5yr", "7yr", "10yr"), + HY = c("3yr", "5yr", "7yr"), + EU = if (series < 22) c("5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr", "10yr")) + if( index == 'EU' && series == 29) { + next + } indexquotes <- get.indexquotes.table(index, series, tenors) if(nrow(indexquotes) == 0) { next @@ -155,6 +160,7 @@ for(index in c('IG', 'HY')) { } } ## ## nice plot, now I'm just showing off +## library(ggplot2) ## ggplot(df.durations, 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") |