diff options
Diffstat (limited to 'R/cds_utils.R')
| -rw-r--r-- | R/cds_utils.R | 146 |
1 files changed, 146 insertions, 0 deletions
diff --git a/R/cds_utils.R b/R/cds_utils.R new file mode 100644 index 00000000..afb8f400 --- /dev/null +++ b/R/cds_utils.R @@ -0,0 +1,146 @@ +library("RQuantLib")
+
+today <- function() {
+ Sys.Date()
+}
+
+convertTenor <- function(tenor) {
+ ## convert tenors of the form '1y', '2y', etc...
+ ## and '1m', '2m'... into yearfrac
+ month <- regexpr("([0-9]+)m", tenor, perl = T)
+ year <- regexpr("([0-9]+)y", tenor, perl = T)
+ if ( month != -1 ) {
+ a <- attr(month, "capture.start")
+ b <- a + attr(month, "capture.length") - 1
+ l <- as.numeric(substr(tenor, a, b))
+ return ( 30 * l )
+ }else if ( year != -1) {
+ a <- as.numeric(attr(year, "capture.start"))
+ b <- a + attr(year, "capture.length") - 1
+ l <- as.numeric(substr(tenor, a,b))
+ return ( 365 * l )
+ }else{
+ stop("format not recognized")
+ }
+}
+
+addTenor <- function(date, tenor) {
+ month <- regexpr("([0-9]+)m", tenor, perl = T)
+ year <- regexpr("([0-9]+)y", tenor, perl = T)
+ if ( month != -1 ) {
+ a <- attr(month, "capture.start")
+ b <- a + attr(month, "capture.length") - 1
+ l <- as.numeric(substr(tenor, a, b))
+ return ( seq(date, length=2, by=paste(l,"month"))[2])
+ }else if ( year != -1) {
+ a <- as.numeric(attr(year, "capture.start"))
+ b <- a + attr(year, "capture.length") - 1
+ l <- as.numeric(substr(tenor, a,b))
+ return ( seq(date, length=2, by=paste(l,"year"))[2] )
+ }else{
+ stop("format not recognized")
+ }
+}
+
+creditSchedule <- function(startdate, enddate) {
+ ## generate a credit coupon payment schedule from startdate
+ ## to enddate based on the IMM dates
+ month <- c(3, 6, 9, 12)
+ day <- 20
+ startmonth <- as.numeric(format(startdate, "%m"))
+ startday <- as.numeric(format(startdate, "%d"))
+ startyear <- as.numeric(format(startdate, "%Y"))
+ if (startday > day){
+ followingmonth <- which(month>startmonth)
+ if (length(followingmonth)==0){
+ startyear <- startyear+1
+ startmonth <- 3
+ }else{
+ startmonth <- followingmonth[1]
+ }
+ }else{
+ startmonth <- which(month>=startmonth)[1]
+ }
+ newdate <- as.Date(paste(startyear, month[startmonth], day, sep="-"))
+ seq(newdate, enddate, by="3 months")
+}
+
+couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, currentcoupon,
+ margin, startdate=today()){
+ ## computes the coupon schedule
+ ## inputs:
+ ## nextpaydate: first payment date of the coupon schedule
+ ## maturity: last payment date of the schedule
+ ## frequency: letter specifying the frequency amon "Q", "M", "B", or "S"
+ ## if startdate is provided, this generates the forward coupon schedule starting from that date.
+ bystring <- switch(frequency,
+ Q = "3 months",
+ M = "1 month",
+ B = "2 months",
+ S = "6 months",
+ A = "12 months")
+ if(is.null(bystring)){
+ stop("unknown frequency")
+ }
+ if(is.null(nextpaydate)){
+ dates <- rev(seq(maturity, today(), by =paste0("-", bystring)))
+ }else{
+ dates <- seq(nextpaydate, maturity, by = bystring)
+ }
+ if(dates[length(dates)]<maturity){
+ dates <- c(dates, maturity)
+ }
+ dates <- dates[ dates >= today()]
+ DC <- switch(frequency,
+ S = DiscountCurve(L6m$params, L6m$tsQuotes, yearFrac(L6m$params$tradeDate, dates)),
+ Q = DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, dates)),
+ M = DiscountCurve(L1m$params, L1m$tsQuotes, yearFrac(L1m$params$tradeDate, dates)),
+ B = DiscountCurve(L2m$params, L2m$tsQuotes, yearFrac(L2m$params$tradeDate, dates)),
+ A = DiscountCurve(L12m$params, L12m$tsQuotes, yearFrac(L12m$params$tradeDate, dates)))
+
+ if(coupontype=="FLOAT" && !is.na(margin)){ #if is.na(margin) probably letter of credit
+ coupons <- pmax(currentcoupon, DC$forwards + margin)
+ }else{
+ coupons <- rep(currentcoupon, length(dates))
+ }
+ coupons <- diff(c(0, yearFrac(startdate, dates, "act/360"))) * coupons
+ if(startdate!=DC$params$tradeDate){
+ df <- cumprod(exp(-DC$forwards * diff(c(0, yearFrac(startdate, dates)))))
+ }else{
+ df <- DC$discounts
+ }
+ return( data.frame(dates=dates, coupons=coupons, df = df) )
+}
+
+nextIMMDate <- function(date) {
+ startyear <- as.numeric(format(date, "%Y"))
+ nextimmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=5, by="3 months")
+ return( nextimmdates[nextimmdates >= date][1] )
+}
+
+cdsMaturity <- function(tenor, date=today()){
+ enddate <- addTenor(date, tenor)
+ month <- c(3, 6, 9, 12)
+ day <- 20
+ startmonth <- as.numeric(format(enddate, "%m"))
+ startday <- as.numeric(format(enddate, "%d"))
+ startyear <- as.numeric(format(enddate, "%Y"))
+ if (startday > day) {
+ followingmonth <- which(month>startmonth)
+ if (length(followingmonth)==0){
+ startyear <- startyear+1
+ startmonth <- 3
+ }else{
+ startmonth <- followingmonth[1]
+ }
+ }else{
+ startmonth <- which(month >= startmonth)[1]
+ }
+ return( as.Date(paste(startyear, month[startmonth], day, sep="-")))
+}
+
+yearFrac <- function(date1, date2, daycount="act/365") {
+ switch(daycount,
+ "act/365"=as.numeric( (as.Date(date2) - as.Date(date1)) / 365),
+ "act/360"=as.numeric( (as.Date(date2) - as.Date(date1)) / 360) )
+}
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