1 files changed, 54 insertions, 0 deletions
diff --git a/R/zerorecovery_index.R b/R/zerorecovery_index.R
new file mode 100644
index 00000000..a7694d79
--- /dev/null
+++ b/R/zerorecovery_index.R
@@ -0,0 +1,54 @@
+code.dir <- Sys.getenv("CODE_DIR")
+source(file.path(code.dir, "R", "yieldcurve.R"))
+source(file.path(code.dir, "R", "optimization.R"))
+source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE)
+source(file.path(code.dir, "R", "serenitasdb.R"))
+source(file.path(code.dir, "R", "creditIndex.R"))
+source(file.path(code.dir, "R", "tranche_functions.R"))
+
+##HY
+tradedate <- as.Date("2017-03-31")
+exportYC(tradedate, "USD")
+index <- creditIndex("HY28", "5yr")
+index <- set.index.desc(index, tradedate)
+index <- set.singlenamesdata(index, tradedate)
+index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity, "Q", "FIXED", 1,
+                           0, tradedate, IMMDate(tradedate, "prev"))
+index$quotes <- data.frame(maturity=as.Date("2022-06-20"), spread=0.05, price=1.0716)
+tweak <- tweakcurves(index)
+zerorecov.portfolio <- lapply(tweak$portfolio, function(x){x@recovery=0;return(x)})
+
+cs <- index$cs
+startdate <- tradedate + 1
+pl.list <- vapply(zerorecov.portfolio, function(x) {
+    pl <- defaultleg(cs, x@curve, x@recovery, startdate, TRUE)
+    if(is.na(pl)) {
+        logerror(paste("couldn't compute single name protection leg for", x@issuer))
+        return( NA )
+    }
+    return( pl )
+}, numeric(1))
+
+
+##ITRX
+tradedate <- as.Date("2017-03-31")
+exportYC(tradedate, "EUR")
+index <- creditIndex("XO27", "5yr")
+index <- set.index.desc(index, tradedate)
+index <- set.singlenamesdata(index, tradedate)
+index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity, "Q", "FIXED", 1,
+                           0, tradedate, IMMDate(tradedate, "prev"))
+index$quotes <- data.frame(maturity=as.Date("2022-06-20"), spread=0.05, price=1.0968)
+tweak <- tweakcurves(index)
+zerorecov.portfolio <- lapply(tweak$portfolio, function(x){x@recovery=0;return(x)})
+
+cs <- index$cs
+startdate <- tradedate + 1
+pl.list <- vapply(zerorecov.portfolio, function(x) {
+    pl <- defaultleg(cs, x@curve, x@recovery, startdate, TRUE)
+    if(is.na(pl)) {
+        logerror(paste("couldn't compute single name protection leg for", x@issuer))
+        return( NA )
+    }
+    return( pl )
+}, numeric(1))