1 files changed, 66 insertions, 0 deletions
diff --git a/R/calibration.R b/R/calibration.R
new file mode 100644
index 00000000..96bf03f2
--- /dev/null
+++ b/R/calibration.R
@@ -0,0 +1,66 @@
+if(.Platform$OS.type == "unix"){
+  root.dir <- "/home/share/CorpCDOs"
+}else{
+  root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+source(file.path(root.dir, "code", "R", "cds_utils.R"))
+source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
+
+buildSC <- function(quote, cs, cdsdates){
+    SC <- new("creditcurve",
+              recovery=quote$recovery/100,
+              startdate=tradedate,
+              issuer=as.character(quote$ticker))
+    quotes <- data.frame(maturity=cdsdates, upfront = as.numeric(quote[4:8]) * 0.01,
+                         running=rep(quote$running*1e-4, 5))
+    SC@curve <- cdshazardrate(quotes, SC@recovery, tradedate, cs)
+    return( SC )
+}
+
+get.cdsSchedule <- function(tradedate){
+    cdsdates <- as.Date(character(0))
+    for(tenor in paste0(1:5, "y")){
+        cdsdates <- c(cdsdates, cdsMaturity(tenor, date=tradedate))
+    }
+    return( list(cs=couponSchedule(IMMDate(tradedate), cdsdates[length(cdsdates)], "Q", "FIXED",
+                     1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) )
+}
+
+set.singlenamesdata <- function(index, tradedate){
+    index.name <- deparse(substitute(index))
+    singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
+                                           paste0(index.name, "_singlenames_", tradedate, ".csv")))
+    nondefaulted <- singlenames.data[!singlenames.data$ticker %in% index$defaulted,]
+    cds.cs <- get.cdsSchedule(tradedate)
+    index$portfolio <- c()
+    for(i in 1:nrow(nondefaulted)){
+        index$portfolio <- c(index$portfolio, buildSC(nondefaulted[i,], cds.cs$cs, cds.cs$cdsdates))
+    }
+    index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio))
+    index$recov <- sapply(index$portfolio, attr, "recovery")
+    assign(index.name, index, envir=parent.env(environment()))
+}
+
+set.tranchedata <- function(index, tradedate){
+    index.name <- deparse(substitute(index))
+    index$tranche.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
+                                             paste0(index.name, "_tranches_", tradedate, ".csv")), header=TRUE)
+    index$indexref <- index$tranche.data$bidRefPrice[1]/100
+    index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", 0.05, 0, tradedate,
+                               IMMDate(tradedate, "prev"))
+    index$portfolio.tweaked <- tweakcurves(index, tradedate)$portfolio
+    index$defaultprob <- 1-SPmatrix(index$portfolio.tweaked, length(index$cs$dates))
+    K <- c(0, 0.15, 0.25, 0.35, 1)
+    index$K <- adjust.attachments(K, index$loss, index$factor)
+    index$tranche.upf <- index$tranche.data$Mid
+    index$tranche.running <- index$tranche.data$Coupon
+    ##convert the quotes
+    ## - we convert to protection terms x->1-x/100
+    ## - we remove accrued x->x-acc
+    ## - we weight it by the size of the tranche
+    ## - we take the cumsum to convert to 0-5, 0-10, 0-15 quotes, etc...
+    ## calibrate the tranches using base correlation
+    index$quotes <- cumsum(diff(index$K) *
+                           (1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)))
+    assign(index.name, index, envir=parent.env(environment()))
+}