1 files changed, 61 insertions, 0 deletions
diff --git a/R/creditIndex.R b/R/creditIndex.R
new file mode 100644
index 00000000..9748d6e4
--- /dev/null
+++ b/R/creditIndex.R
@@ -0,0 +1,61 @@
+if(.Platform$OS.type == "unix"){
+  root.dir <- "/home/share/CorpCDOs"
+}else{
+  root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+
+library(lossdistrib)
+n.int <- 250
+gh <- GHquad(n.int)
+Ngrid <- 201
+
+creditIndex <- function(name, tenor="5yr", Z=gh$Z, w=gh$w, N=Ngrid) {
+    ## constructor for the index object
+    ## FIXME: figure out what to do with the recovery
+    r <- list(name=name, tenor=tenor, Z=Z, w=w, N=N, recovery=0.4)
+    return( structure(r, class="creditIndex") )
+}
+
+`$<-.creditIndex` <- function(x, name, value){
+    unclass(x)
+    x[[name]] <- value
+    class(x) <- "creditIndex"
+    return(x)
+}
+
+c.creditIndex <- function(..., recursive = FALSE){
+    structure(c(unlist(lapply(list(...), unclass), recursive=FALSE)), class="creditIndex")
+}
+
+print.creditIndex <- function(index){
+    cat(index$name, index$tenor, as.character(index$tradedate), "\n\n")
+    if("maturity" %in% names(index)){
+        cat("maturity:", as.character(index$maturity), "\n")
+        cat("factor:", index$factor, "\n")
+        cat("losstodate:", index$loss, "\n\n")
+    }
+    if("quotes" %in% names(index)){
+        cat("Index ref:", index$quotes$price*100, "\n")
+        cat("Index basis:", index$basis, "\n\n")
+    }
+    row <- paste(index$K.orig[-length(index$K.orig)]*100, index$K.orig[-1]*100, sep="-")
+
+    ##mapping to some prettier names
+    colnames.toprint <- c("tranche.upf", "tranche.running", "thetas", "deltas",
+                          "forward.deltas", "gammas", "rho", "corr01")
+    short.names <- c("upfront", "running", "theta", "delta", "fw.delta","gamma", "rho", "corr01")
+    names(short.names) <- colnames.toprint
+    colnames.available <- names(index)[names(index) %in% colnames.toprint]
+    ##FIXME: need to check if it's bottom-up or top-down
+    index$rho <- index$rho[-1]
+    df <- data.frame(index[colnames.available], row.names=row)
+    names(df) <- short.names[colnames.available]
+    print(df, digits=4)
+}
+
+load.index <- function(name, tenor, date){
+    ## load a creditIndex which was previously saved
+    load(file.path(root.dir, "Tranche_data", "Objects",
+                   paste0(paste(name, tenor, date, sep="_"),".RData")))
+    return(index)
+}