1 files changed, 48 insertions, 0 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R
index 306eb345..42d9f452 100644
--- a/R/intex_deal_functions.R
+++ b/R/intex_deal_functions.R
@@ -347,3 +347,51 @@ get.reinvassets <- function(dealname, tradedate){
   }
   return( r )
 }
+
+forwardportfolioprice2 <- function(cdrmonthly, recoverymonthly, startdate, maturity,
+                                   coupontype, margin, liborfloor){
+    if(missing(liborfloor)||is.na(liborfloor)){
+        currentcoupon <- margin
+    }else{
+        currentcoupon <- margin + liborfloor
+    }
+    forwardcs <- data.table(couponSchedule(nextpaydate=startdate+45, maturity,
+                                           frequency="Q", coupontype, margin,
+                                           currentcoupon, startdate=startdate), key="dates")
+    notionals <-  cdrmonthly[date>=startdate, lapply(.SD,function(x)cumprod(1-x/100*1/12)),
+                             .SDcols=paste0("V",1:100)]
+    recovery <- as.matrix(recoverymonthly[date>=startdate, .SD, .SDcols=paste0("V",1:100)])*
+        -apply(rbind(1,as.matrix(notionals)), 2, diff)
+    if(nrow(recovery)==1){
+        recovery <- recovery*last(forwardcs[,df])
+    }else{
+        recovery <- data.table(dates=cdrmonthly[date>=startdate,date],apply(recovery, 2, cumsum),key="dates")
+        recovery <- recovery[forwardcs, roll=TRUE]
+        df <- recovery[,df]
+        recovery <- t(df)%*%as.matrix(recovery[,lapply(.SD,function(x)diff(c(0,x))),.SDcols=paste0("V",1:100)])
+    }
+    notionals <- data.table(dates=cdrmonthly[date>=startdate,date], notionals, key="dates")
+    outstanding <- notionals[forwardcs, roll=TRUE]
+    mat.outstanding <- as.matrix(outstanding[,.SD,.SDcols=paste0("V",1:100)])
+    po <- mat.outstanding[nrow(mat.outstanding),]*last(outstanding)[,df]
+    io <- outstanding[, df*coupons]%*%mat.outstanding
+    mean(recovery+po+io)
+}
+
+compute.reinvprices <- function(dealname, cdrmonthly, recoverymonthly, params, rollingmaturity, tradedate){
+    reinvassets <- get.reinvassets(dealname, tradedate)
+    reinvprices <- list()
+    if(length(reinvassets)>0){
+        maturity <- cdrmonthly$date[nrow(cdrmonthly)]
+        for(assetname in names(reinvassets)){
+            asset <- reinvassets[[assetname]]
+            coupon <- if(asset$coupontype=="FLOAT") params$reinvfloat else params$reinvfixed
+            reinvprices[[assetname]] <- foreach(date = iter(cdrmonthly$date), .combine=c) %dopar% {
+                100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
+                                             min(date+rollingmaturity, maturity),
+                                             asset$coupontype, coupon, asset$liborfloor/100)
+            }
+        }
+    }
+    return(reinvprices)
+}