diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/thetas-durations.R | 27 |
1 files changed, 14 insertions, 13 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 7175877d..ad4ee63c 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -110,20 +110,21 @@ for(index in c('IG', 'HY')){ c(fastduration(sc, cs, tradedate, maturities$maturity), fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon)) } - r <- c() - for(i in 1:nrow(indexquotes)){ - tradedate <- indexquotes[i, "date"] - exportYC(tradedate) - cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1, - 0, tradedate, IMMDate(tradedate, "prev")) - quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) - sc <- cdshazardrate(quotes, recov, tradedate, cs) - r <- rbind(r, c(fastduration(sc, cs, tradedate, maturities$maturity), - fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront))) - } + ## non parallel version for easier debugging + ## durandthetas <- c() + ## for(i in 1:nrow(indexquotes)){ + ## tradedate <- indexquotes[i, "date"] + ## exportYC(tradedate) + ## cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1, + ## 0, tradedate, IMMDate(tradedate, "prev")) + ## quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) + ## sc <- cdshazardrate(quotes, recov, tradedate, cs) + ## durandthetas <- rbind(r, c(fastduration(sc, cs, tradedate, maturities$maturity), + ## fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon))) + ## } n <- nrow(maturities) - df.durations <- data.frame(date=indexquotes$date, r[,1:n, drop=F]) - df.thetas <- data.frame(date=indexquotes$date, r[,(n+1):(2*n), drop=F]) + df.durations <- data.frame(date=indexquotes$date, durandthetas[,1:n, drop=F]) + df.thetas <- data.frame(date=indexquotes$date, durandthetas[,(n+1):(2*n), drop=F]) colnames(df.durations) <- c("date", maturities$tenor) colnames(df.thetas) <- c("date", maturities$tenor) for(i in 1:nrow(df.durations)){ |