diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 36 |
1 files changed, 22 insertions, 14 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index ac25f3d0..0172bca5 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -11,22 +11,30 @@ sanitize.column <- function(vec){ }
fields <- c("Cashflow", "Principal", "Interest")
-dealnames <- c("abcl071", "ammccl05")
+dealnames <- c("abcl071")
+tranches <- c("", "COLLAT_REINVEST", "COLLAT_INITIAL")
for(dealname in dealnames){
r <- matrix(0, n.scenarios, 3)
- for(i in 1:n.scenarios){
- filename <- paste0(paste(toupper(dealname), "CF", paste0("Scen", i), sep="-"), ".txt")
- data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename), sep="\t", header=T)
- data <- data[-(1:2),1:4]
- data$Date <- as.Date(data$Date, "%b %d, %Y")
- data <- data[data$Date>=today(),]
- DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, data$Date))
- pv <- c()
- for(field in fields){
- data[,field] <- sanitize.column(data[,field])
- pv <- c(pv, crossprod(DC$discounts, data[,field]))
+ for(tranche in tranches){
+ for(i in 1:n.scenarios){
+ if(tranche == ""){
+ filename <- paste0(paste(toupper(dealname), "CF", paste0("Scen", i), sep="-"), ".txt")
+ }else{
+ filename <- paste0(paste(toupper(dealname), tranche, "CF", paste0("Scen", i), sep="-"), ".txt")
+ }
+
+ data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename), sep="\t", header=T)
+ data <- data[-(1:2),1:4]
+ data$Date <- as.Date(data$Date, "%b %d, %Y")
+ data <- data[data$Date>=today(),]
+ DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, data$Date))
+ pv <- c()
+ for(field in fields){
+ data[,field] <- sanitize.column(data[,field])
+ pv <- c(pv, crossprod(DC$discounts, data[,field]))
+ }
+ r[i,] <- pv
}
- r[i,] <- pv
}
+ colnames(r) <- fields
}
-colnames(r) <- fields
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