1 files changed, 0 insertions, 108 deletions
diff --git a/R/tranche_mapping.R b/R/tranche_mapping.R
deleted file mode 100644
index b1e059d2..00000000
--- a/R/tranche_mapping.R
+++ /dev/null
@@ -1,108 +0,0 @@
-if(.Platform$OS.type == "unix"){
-  root.dir <- "/home/share/CorpCDOs"
-}else{
-  root.dir <- "//WDSENTINEL/share/CorpCDOs"
-}
-options(stringsAsFactors=FALSE)
-source(file.path(root.dir, "code", "R", "cds_utils.R"))
-source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
-source(file.path(root.dir, "code", "R", "yieldcurve.R"))
-source(file.path(root.dir, "code", "R", "optimization.R"))
-library(lossdistrib)
-load.index("hy21")
-load.index("hy19")
-n.int <- 250
-bps <- 1e-4
-attach(GHquad(n.int))
-
-tradedate <- as.Date("2014-05-05")
-exportYC(tradedate)
-cdsdates <- as.Date(character(0))
-for(tenor in paste0(1:5, "y")){
-    cdsdates <- c(cdsdates, cdsMaturity(tenor, date=tradedate))
-}
-cds.cs <- couponSchedule(IMMDate(tradedate), cdsdates[length(cdsdates)], "Q", "FIXED",
-                         1, tradedate, IMMDate(tradedate, "prev"))
-
-
-##build portfolio
-buildSC <- function(quote, cs){
-    SC <- new("creditcurve",
-              recovery=quote$recovery/100,
-              startdate=tradedate,
-              issuer=as.character(quote$ticker))
-    quotes <- data.frame(maturity=cdsdates, upfront = as.numeric(quote[4:8]) * 0.01,
-                         running=rep(quote$running*1e-4, 5))
-    SC@curve <- cdshazardrate(quotes, SC@recovery, tradedate, cs)
-    return( SC )
-}
-
-set.singlenamesdata <- function(index, tradedate){
-    index.name <- deparse(substitute(index))
-    singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
-                                           paste0(index.name, "_singlenames_", tradedate, ".csv")))
-    nondefaulted <- singlenames.data[!singlenames.data$ticker %in% index$defaulted,]
-    index$portfolio <- c()
-    for(i in 1:nrow(nondefaulted)){
-        index$portfolio <- c(index$portfolio, buildSC(nondefaulted[i,], cds.cs))
-    }
-    index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio))
-    index$recov <- sapply(index$portfolio, attr, "recovery")
-    assign(index.name, index, envir=parent.env(environment()))
-}
-
-## load all the single names data
-## calibrate the single names curves
-set.singlenamesdata(hy21, tradedate)
-set.singlenamesdata(hy19, tradedate)
-
-## load tranche data
-set.tranchedata <- function(index, tradedate){
-    index.name <- deparse(substitute(index))
-    index$tranche.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
-                                             paste0(index.name, "_tranches_", tradedate, ".csv")), header=TRUE)
-    index$indexref <- index$tranche.data$bidRefPrice[1]/100
-    index$portfolio.tweaked <- tweakcurves(index$portfolio, index, tradedate)$portfolio
-    index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", 0.05, 0, tradedate,
-                               IMMDate(tradedate, "prev"))
-    index$defaultprob <- 1-SPmatrix(index$portfolio.tweaked, length(index$cs$dates))
-    K <- c(0, 0.15, 0.25, 0.35, 1)
-    index$K <- adjust.attachments(K, index$loss, index$factor)
-    index$tranche.upf <- index$tranche.data$Mid
-    index$tranche.running <- index$tranche.data$Coupon
-    ##convert the quotes
-    ## - we convert to protection terms x->1-x/100
-    ## - we remove accrued x->x-acc
-    ## - we weight it by the size of the tranche
-    ## - we take the cumsum to convert to 0-5, 0-10, 0-15 quotes, etc...
-    ## calibrate the tranches using base correlation
-    index$quotes <- cumsum(diff(index$K) *
-                           (1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)))
-    assign(index.name, index, envir=parent.env(environment()))
-}
-
-set.tranchedata(hy19, tradedate)
-set.tranchedata(hy21, tradedate)
-
-## load common parameters
-Ngrid <- 201
-f <- function(rho, index, N, i){
-    temp <- with(index,
-                 BClossdistC(defaultprob, issuerweights, recov, rho, Z, w, N))
-    return(abs(tranche.pv(temp$L, temp$R, index$cs, 0, index$K[i+1]) + index$quotes[i]))
-}
-
-rhovec <- c()
-for(i in 1:3){
-    rho <- optimize(f, interval=c(0,1), index=hy21, N=Ngrid, i=i)$minimum
-    rhovec <- c(rhovec, rho)
-}
-
-rhovec <- c(0, rhovec)
-K <- c(0, 0.15, 0.25, 0.35, 1)
-rhofun <- approxfun(K[-5], rhovec, rule=2)
-
-Kmapped <- rep(0, 3)
-for(i in 2:4){
-    Kmapped[i-1] <- skewmapping(hy21, rhofun, hy19, K[i], Z, w, 201)$minimum
-}