1 files changed, 28 insertions, 3 deletions
diff --git a/R/load_cf.R b/R/load_cf.R
index 383d7649..3c62e75e 100644
--- a/R/load_cf.R
+++ b/R/load_cf.R
@@ -12,7 +12,7 @@ source(file.path(root.dir, "code", "R", "cds_utils.R"))
 source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
 source(file.path(root.dir, "code", "R", "optimization.R"))
 
-workdate <- as.Date("2013-02-14")
+workdate <- as.Date("2013-02-11")
 
 MarkitData <- getMarkitIRData(workdate)
 L1m <- buildMarkitYC(MarkitData, dt = 1/12)
@@ -142,7 +142,7 @@ getdealcf <- function(dealnames, workdate=Sys.Date()){
     return( cfdata )
 }
 
-getcusipcf <- function(cusips, cfdata, workdate=Sys.Date()){
+getcusipcf <- function(cusips, cfdata, dist, workdate=Sys.Date()){
     flag <- FALSE
     cusipdata <- list()
     dealnames <- dealnamefromcusip(cusips)
@@ -235,6 +235,11 @@ getcusipcf <- function(cusips, cfdata, workdate=Sys.Date()){
                                                 cusipdata[[cusip]]$fields[,"wal"])
             cusipdata[[cusip]]$duration <- crossprod(cfdata[[dealnames[i]]]$weight,
                                                      cusipdata[[cusip]]$fields[,"duration"])
+            cusipdata[[cusip]]$delta <-
+                compute.delta(dist, cfdata[[dealnames[i]]]$weight,
+                              cusipdata[[cusip]]$fields[,"Cashflow"]/cusipdata[[cusip]]$currbal,
+                              workdate)
+
         }
     }
     return(cusipdata)
@@ -242,7 +247,8 @@ getcusipcf <- function(cusips, cfdata, workdate=Sys.Date()){
 
 cfdata <- getdealcf(dealnames, workdate)
 availablecusips <- cusips[dealnamefromcusip(cusips) %in% names(cfdata)]
-cusipdata <- getcusipcf(availablecusips, cfdata, workdate)
+load(file.path(root.dir, "Scenarios", "Calibration", sprintf("marketdata-%s.RData", workdate)))
+cusipdata <- getcusipcf(availablecusips[1:3], cfdata, dist, workdate)
 ## upload wapbasis
 for(dealname in names(cfdata)){
     sqlstring <- sprintf(paste0("UPDATE et_deal_model_numbers SET ",
@@ -286,3 +292,22 @@ for(cusip in names(cusipdata)){
     dbSendQuery(dbCon, sqlstring)
 }
 
+compute.delta <- function(indexdist, dealweight, cusip.pv, workdate=Sys.Date()){
+    indexpv <- c()
+    cs <- couponSchedule(nextIMMDate(workdate), as.Date("2017-12-20"), "Q", "FLOAT", 0, 0.05)
+    nT <- dim(indexdist$L)[2]
+    Ngrid <- dim(indexdist$L)[1]
+    scenariosl <- matrix(0, length(dealweight), nT)
+    scenariosr <- matrix(0, length(dealweight), nT)
+    for(t in 1:nT){
+        scenariosl[,t] <- interpvalues(indexdist$L[,t], seq(0, 1, length=Ngrid), dealweight)
+        scenariosr[,t] <- interpvalues(indexdist$R[,t], seq(0, 1, length=Ngrid), dealweight)
+    }
+
+    indexpv <- c()
+    for(i in 1:length(dealweight)){
+        indexpv <- c(indexpv, funded.tranche.pv(scenariosl[i,], scenariosr[i,], cs, 0, 1))
+    }
+    model <- lm(cusip.pv~0+indexpv, weights=dealweight)
+    return(model$coef)
+}