1 files changed, 62 insertions, 0 deletions
diff --git a/R/bloomberg_cds.R b/R/bloomberg_cds.R
new file mode 100644
index 00000000..79717a36
--- /dev/null
+++ b/R/bloomberg_cds.R
@@ -0,0 +1,62 @@
+bbgConn <- blpConnect(host='192.168.1.108', port='8194')
+
+nameToBasketID <- function(name){
+    index <- substr(name, 1, 2)
+    series <- substr(name, 3, nchar(name))
+    sqlstr <- "SELECT max(basketid) from index_desc where Index='%s' and Series=%s"
+    r <- dbGetQuery(dbCon, sprintf(sqlstr, index, series))
+    return(as.integer(r))
+}
+
+newbasketID <- function(series, offset){
+    maturities <- c("2017-06-20", "2019-06-20", "2021-06-20", "2024-06-20")
+    tenors <- c("Y3", "Y5", "Y7", "Y10")
+    sqlstr <- "INSERT INTO index_desc VALUES(%s, '%s', %s, '%s', '%s', 100, 0)"
+    indices <- c("HY", "IG")
+    for(i in seq_along(indices)){
+        for(j in seq_along(tenors)){
+            stmt <- sprintf(sqlstr, offset + 10*i, indices[i], series,
+                            maturities[j], tenors[j])
+            dbSendQuery(dbCon, stmt)
+        }
+
+    }
+}
+
+cdslist <- function(indexname){
+    basketid <- nameToBasketID(indexname)
+    sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
+    return( dbGetQuery(dbCon, sprintf(sqlstr, basketid)))
+}
+
+download.cdscurves <- function(date=Sys.Date()){
+    tickers <- dbGetQuery(dbCon, "select cds_curve[6] from CDS_Issuers")$cds_curve
+    bbg.data <- bds(bbgConn, paste(tickers, "Curncy"), "cds_curve_info")
+    stmt <- "INSERT INTO cds_quotes VALUES('%s', '%s', 0, 0, %s, %s, %s, %s)"
+    for(i in 1:nrow(bbg.data)){
+        Source <- bbg.data[i,7]
+        if(Source==""){
+            Source <- "Null"
+        }else{
+            Source <- paste0("'", Source, "'")
+        }
+        dbSendQuery(dbCon, sprintf(stmt, format(date,"%m/%d/%y"),
+                                    bbg.data[i,2], bbg.data[i,4], bbg.data[i,5],
+                                    Source, bbg.data[i,6]))
+    }
+}
+
+write.tranchedata <- function(){
+    data <- c()
+    for(index in c("ig21", "ig19", "hy21", "hy19")){
+        df <- read.csv(paste0(index, "_tranches_bbgid.csv"), check.names=FALSE)
+        for(tenor in c("3Y", "5Y", "7Y")){
+            if(tenor %in% names(df)){
+                data <- rbind(data, bdp(bbgConn, paste(df[[tenor]], "Corp"), c("px_last", "tranche_delta", "underlying_reference_px_rt")))
+            }
+        }
+    }
+    write.csv(data, file=paste0("tranche_data_", Sys.Date(), ".csv"), row.names=TRUE)
+}
+
+blpDisconnect(bbgConn)