1 files changed, 92 insertions, 0 deletions
diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R
new file mode 100644
index 00000000..95a9082e
--- /dev/null
+++ b/R/calibrate_tranches_MF.R
@@ -0,0 +1,92 @@
+#!/usr/bin/Rscript
+require(methods)
+library(lossdistrib)
+
+options(warn=2)
+args <- commandArgs(trailingOnly=TRUE)
+
+if(.Platform$OS.type == "unix"){
+  root.dir <- "/home/share/CorpCDOs"
+}else{
+  root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+
+code.dir <- Sys.getenv("CODE_DIR")
+if(code.dir==""){
+    code.dir<-root.dir
+}
+source(file.path(code.dir, "code", "R", "yieldcurve.R"))
+source(file.path(code.dir, "code", "R", "optimization.R"))
+source(file.path(code.dir, "code", "R", "calibration.R"), chdir=TRUE)
+source(file.path(code.dir, "code", "R", "mlpdb.R"))
+
+##figure out the tradedate
+if(length(args) >= 1){
+  tradedate <- as.Date(args[1])
+}else{
+  tradedate <- addBusDay(Sys.Date(), -1)
+}
+
+exportYC(tradedate)
+## calibrate HY21
+## calibrate the single names curves
+n.int <- 250
+list2env(GHquad(n.int), envir=parent.frame())
+Ngrid <- 201
+index <- load.index("hy21", date=tradedate, "5yr", Z, w, Ngrid)
+index <- set.singlenamesdata(index, tradedate)
+index <- set.tranchedata(index, tradedate)
+
+## load tranche data
+n.credit <- length(index$portfolio)
+index$cs$coupons <- index$cs$coupons*0.05
+##calibrate by modifying the factor distribution
+bottomup <- 1:3
+topdown <- 2:4
+
+index$w.mod <- w
+p <- index$defaultprob
+rho <- rep(0.45, n.credit)
+result <- matrix(0, 4, n.int)
+err <- Inf
+errvec <- c()
+while(err >0.01){
+    Rstoch <- MFrecovery(index, p)
+    L <- array(0, dim=c(index$N, n.int, ncol(index$defaultprob)))
+    R <- array(0, dim=c(index$N, n.int, ncol(index$defaultprob)))
+    for(t in 1:ncol(index$defaultprob)){
+        S <- 1 - Rstoch[,,t]
+        L[,,t] <- lossdistCZ(p[,t], index$issuerweights, S, index$N, 0, rho, index$Z)
+        R[,,t] <- lossdistCZ(p[,t], index$issuerweights, 1-S, index$N, 0, rho, index$Z)
+    }
+    for(i in 1:n.int){
+        result[,i] <- tranche.pvvec(index$K, L[,i,], R[,i,], index$cs)
+    }
+    ## solve the optimization problem
+    program <- KLfit(-result[bottomup,], w, index$tranche.quotes[bottomup])
+
+    err <- 0
+    for(i in 1:n.credit){
+        for(j in 1:ncol(p)){
+            err <- err + abs(crossprod(shockprob(p[i,j], rho[i], Z), program$weight) - index$defaultprob[i,j])
+        }
+    }
+    errvec <- c(errvec, err)
+
+    ## update the new probabilities
+    p <- MFupdate.probC(Z, program$weight, rho, index$defaultprob)
+
+    errvec <- c(errvec, err)
+    index$w.mod <- program$weight
+    cat(err,"\n")
+}
+
+dist <- MFdist(index)
+
+write.table(data.frame(Z=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")