1 files changed, 33 insertions, 0 deletions
diff --git a/R/load_loanprices_data.R b/R/load_loanprices_data.R
new file mode 100644
index 00000000..99d4808d
--- /dev/null
+++ b/R/load_loanprices_data.R
@@ -0,0 +1,33 @@
+library(Rbbg)
+
+if(.Platform$OS.type == "unix"){
+    root.dir <- "/home/share/CorpCDOs"
+    bbgCon <- blpConnect(host='192.168.1.108', port=8194, throw.ticker.errors=FALSE)
+}else{
+    root.dir <- "//WDSENTINEL/share/CorpCDOs"
+    bbgCon <- blpConnect(throw.ticker.errors=FALSE)
+}
+
+load(file.path(root.dir, "data", "bloomberg_data.RData"))
+
+fields.corp <- c("PX_LAST","LAST_UPDATE_DT","ISSUER","MATURITY","CPN","CPN_TYP",
+                 "CPN_FREQ","FLT_SPREAD","LIBOR_FLOOR","LN_CURRENT_MARGIN",
+                 "LN_COVENANT_LITE","SECOND_LIEN_INDICATOR","DEFAULTED", "PRICING_SOURCE")
+
+corpcusips <- scan(file = file.path(root.dir, "data", "bbgcusips.txt"), what="char")
+corpcusips <- unique(corpcusips)
+secCorp <- paste(corpcusips, "Corp")
+dataCorp <-  bdp(bbgCon, secCorp, fields.corp)
+corpcusips <- substr(rownames(dataCorp[which(!is.na(dataCorp$ISSUER)),]),1,9)
+
+dataCorp <- dataCorp[which(!is.na(dataCorp$ISSUER)),]
+rownames(dataCorp) <- substr(rownames(dataCorp), 1, 9)
+dataCorp <- data.frame(CUSIP=rownames(dataCorp), dataCorp, stringsAsFactors=FALSE)
+fh <- file(file.path(root.dir, "data", "bloomberg",
+                     paste0("bloomberg_datacorp_", Sys.Date(), ".csv")),"wb")
+write.csv(dataCorp, file=fh, row.names=F)
+close(fh)
+blpDisconnect(bbgCon)
+
+## save(corpcusips, mtgecusips, dataCorp, dataMtge, file="bloomberg_data.RData")
+save(corpcusips, dataCorp, file=file.path(root.dir, "data", "bloomberg_data.RData"))