1 files changed, 87 insertions, 0 deletions
diff --git a/R/clopricer.R b/R/clopricer.R
new file mode 100644
index 00000000..d428c2e8
--- /dev/null
+++ b/R/clopricer.R
@@ -0,0 +1,87 @@
+rootdir <- "T:/Analytics/CLO/"
+setwd(rootdir)
+options(stringsAsFactors=F)
+
+stripext <- function(name,ext){
+  sub(paste(".",ext,sep=""),"",name)
+}
+
+today <- function(){
+  as.Date(Sys.time())
+}
+
+listcusips <- function(date, flag=""){
+  clodir <- paste(format(date, "%Y%m%d"), flag, sep="")
+  cusips <- dir(path=paste(".",clodir,sep="/"), pattern=".report$")
+  return(stripext(cusips,"report"))
+}
+
+readcusip <- function(cusip,date,flag=""){
+  clodir <- paste(format(date,"%Y%m%d"),flag,sep="")
+  temp <- read.table(paste(".",clodir,paste(cusip,"report",sep="."),sep="/"),sep="\t",header=T,fill=T)
+  temp <- temp[temp$Scenario!="Scenario",1:25]
+  a <-as.matrix(temp$Scenario)
+  a <- sub("SCENARIO","",as.character(a))
+  temp <- data.frame(a,temp[,2:25])
+  tempnames <- colnames(temp)
+  colnames(temp) <- c("Scenario",tempnames[2:25])
+  return(temp[order(as.numeric(temp$Scenario)),])
+}
+
+readcusip2 <- function(cusip,date){
+  clodir <- format(date,"%Y%m%d")
+  temp <- read.table(paste(".",clodir,paste(cusip,"report",sep="."),sep="/"),sep="\t",header=T,fill=T)
+  temp <- temp[temp$Scenario!="Scenario",1:25]
+  a <- t(matrix(unlist(strsplit(as.character(temp$Scenario),"_")),2,nrow(temp)))
+  a[,1] <- sub("SCENARIO","",as.character(a[,1]))
+  colnames(a) <- c("Scenario","ScenarioType")
+  temp <- data.frame(a,temp[,2:25])
+  return(temp[order(as.numeric(temp$Scenario)),])
+}
+getcusip <- function(cusip,date,colname,scenariotype){
+  cusipdata <- readcusip2(cusip,date)
+  as.numeric(cusipdata[cusipdata$ScenarioType==scenariotype,][[colname]])
+}
+
+getcusipinfo <- function(cusip,date,scenariotype,infotype,indextype,indextenor){
+  clodir <- paste(format(date,"%Y%m%d"),"Info",sep="/")
+  cusipscen <- paste(cusip,scenariotype,sep="_")
+  temp <- read.table(paste(".",clodir,paste(cusipscen,infotype,sep="."),sep="/"),sep="\t",header=T,fill=T)
+  return(temp[(temp$IndexType==indextype)&(temp$IndexTenor==indextenor),])
+}
+
+A <- c()
+for(cusip in cusipsBB){
+  A <- cbind(A,as.numeric(readcusip(cusip,today())$Price))
+}
+colnames(A) <- cusipsBB
+
+pricesAAA <- c()
+for(cusip in cusipsAAA){
+  pricesAAA <- rbind(pricesAAA,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}
+
+pricesAA <- c()
+for(cusip in cusipsAA){
+  pricesAA <- rbind(pricesAA,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}
+
+pricesA <- c()
+for(cusip in cusipsA){
+  pricesA <- rbind(pricesA,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}
+
+pricesBBB <- c()
+for(cusip in cusipsBBB){
+  pricesBBB <- rbind(pricesBBB,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}
+
+pricesBB <- c()
+for(cusip in cusipsBB){
+  pricesBB <- rbind(pricesBB,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}
+
+pricesNA <- c()
+for(cusip in cusipsNA){
+  pricesNA <- rbind(pricesNA,readcusip(cusip,today())[,c("Price","Duration","Yield","WAL")])
+}