diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_scenarios.R | 123 |
1 files changed, 123 insertions, 0 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R new file mode 100644 index 00000000..266b03de --- /dev/null +++ b/R/build_scenarios.R @@ -0,0 +1,123 @@ +library("RQuantLib")
+library("parallel")
+
+if(.Platform$OS.type == "unix"){
+ root.dir <- "/home/share/CorpCDOs"
+}else{
+ root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+
+source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
+source(file.path(root.dir, "code", "R", "index_definitions.R"))
+
+workdate <- '2013-01-24'
+calibration.date <- '2013-01-24'
+MarkitData <- getMarkitIRData(calibration.date)
+
+L1m <- buildMarkitYC(MarkitData, dt = 1/12)
+L2m <- buildMarkitYC(MarkitData, dt = 1/6)
+L3m <- buildMarkitYC(MarkitData)
+L6m <- buildMarkitYC(MarkitData, dt = 1/2)
+L12m <- buildMarkitYC(MarkitData, dt = 1)
+setEvaluationDate(as.Date(MarkitData$effectiveasof))
+
+today <- function(){
+ return(as.Date(MarkitData$effectiveasof))
+}
+
+calibration <- read.table(file.path(root.dir, "Scenarios", "Calibration",
+ paste0("calibration-", calibration.date,".csv")), sep=",", header=T)
+Z <- calibration$Z
+w <- calibration$w
+
+rho <- 0.45
+Ngrid <- 201
+dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Portfolios_", calibration.date)),
+ pattern="*.RData")
+dealnames <- sapply(strsplit(dealnames, "\\."), function(x)x[1])
+for(deal.name in dealnames){
+ load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"),
+ paste(deal.name, "RData", sep=".")))
+
+ dp <- A$DP
+ pp <- A$PP
+ dpmod <- MFupdate.probC(Z, w, rho, dp)
+ ppmod <- MFupdate.probC(-Z, w, rho, pp)
+ dist.joint <- MFlossdist.prepay.joint2(w, Z, rho, dp, dpmod, pp, ppmod,
+ deal.weights, 1-S, Ngrid)
+
+ distDR <- dist.transform(dist.joint)
+
+ ## compute E(R|D)
+ R <- matrix(0, Ngrid, ncol(dp))
+ for(t in 1:ncol(dp)){
+ R[,t] <- (sweep(distDR[t,,], 1, rowSums(distDR[t,,]), "/") %*% support)/support
+ }
+ R[1,] <- 0
+ n.scenarios <- 100
+ percentiles <- (seq(0, 1, length=n.scenarios+1)[-1]+
+ seq(0, 1, length=n.scenarios+1)[-(n.scenarios+1)])/2
+
+ ## compute scenariosd
+ scenariosd <- matrix(0, n.scenarios, ncol(dp))
+ for(t in 1:ncol(dp)){
+ D <- rowSums(distDR[t,,])
+ D <- D/sum(D)
+ Dfun <- splinefun(c(0, cumsum(D)), c(0, support), "monoH.FC")
+ ## dvallow <- floor(Dfun(percentiles)*(Ngrid-1))
+ ## dvalup <- ceil(Dfun(percentiles)*(Ngrid-1))
+ scenariosd[,t] <- Dfun(percentiles)
+ }
+
+ ## compute scenariosr
+ scenariosr <- matrix(0, n.scenarios, ncol(dp))
+ for(t in 1:ncol(dp)){
+ Rfun <- approxfun(support, R[,t], rule=2)
+ scenariosr[,t] <- Rfun(scenariosd[,t])
+ }
+
+ cdr <- cdrfromscenarios(scenariosd, deal.dates)
+ intexrecov <- recoveryfromscenarios(scenariosd, scenariosr)
+ ## linear approximation for monthly scenarios
+ deal.data <- getdealdata(deal.name)
+ deal.datesmonthly <- getdealschedule(deal.data, "1 month")
+ ## compute reinvestment price
+ ## reinvloanprice <- rep(0, length(deal.datesmonthly))
+ ## reinvbondprice <- rep(0, length(deal.datesmonthly))
+ ## for(i in 1:length(deal.datesmonthly)){
+ ## reinvmaturity <- min(deal.datesmonthly[i]+global.params$rollingmaturity, deal.dates[length(deal.dates)])
+ ## if(deal.datesmonthly[i]>reinvmaturity-45){
+ ## reinvloanprice <- 1
+ ## reinvbondprice <- 1
+ ## }else{
+ ## reinvloanprice[i] <- forwardportfolioprice(deal.portfolio, deal.datesmonthly[i], reinvmaturity, "FLOAT", 0.025)
+ ## reinvbondprice[i] <- forwardportfolioprice(deal.portfolio, deal.datesmonthly[i], reinvmaturity, "FIXED", 0.07)
+ ## }
+
+ ## }
+ reinvloanprice <- 0.965
+ reinvbondprice <- 0.965
+ cdrmonthly <- matrix(0, n.scenarios, length(deal.datesmonthly))
+ recoverymonthly <- matrix(0, n.scenarios, length(deal.datesmonthly))
+ for(i in 1:n.scenarios){
+ cdrmonthly[i,] <- approx(deal.dates, cdr[i,], deal.datesmonthly, rule=2)$y
+ recoverymonthly[i,] <- approx(deal.dates, intexrecov[i,], deal.datesmonthly, rule=2)$y
+ }
+
+ save.dir <- file.path(root.dir, "Scenarios", paste("Intex curves", calibration.date, sep="_"), "csv")
+ if(!file.exists(save.dir)){
+ dir.create(save.dir, recursive = T)
+ }
+ recoverymonthly <- pmin(recoverymonthly,1)
+ write.table(cdrmonthly,
+ file= file.path(save.dir, paste0(deal.name,"-cdr.csv")),
+ row.names=F, col.names=F, sep=",")
+ write.table(100 * recoverymonthly,
+ file=file.path(save.dir, paste0(deal.name,"-recovery.csv")),
+ row.names=F, col.names=F, sep=",")
+ write.table(rbind(100*reinvloanprice, 100*reinvbondprice),
+ file = file.path(save.dir, paste0(deal.name,"-reinvprices.csv")),
+ row.names=F, col.names=F, sep=",")
+ save(scenariosd, scenariosr, file=file.path(save.dir, paste0(deal.name, ".RData")))
+ cat("generated scenarios for:", deal.name, "\n")
+}
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