1 files changed, 0 insertions, 62 deletions
diff --git a/R/bloomberg_cds.R b/R/bloomberg_cds.R
deleted file mode 100644
index 79717a36..00000000
--- a/R/bloomberg_cds.R
+++ /dev/null
@@ -1,62 +0,0 @@
-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)