1 files changed, 54 insertions, 0 deletions
diff --git a/R/cds_tester.R b/R/cds_tester.R
new file mode 100644
index 00000000..4b65ab4b
--- /dev/null
+++ b/R/cds_tester.R
@@ -0,0 +1,54 @@
+library(XML)
+source("cds_utils.R")
+source("yieldcurve.R")
+source("cds_functions_generic.R")
+
+currency <- "USD"
+basedir <- "/home/share/CorpCDOs/grids"
+download.grids <- function(currency=currency, basedir=basedir){
+    address <- "http://www.cdsmodel.com/cdsmodel/assets/cds-model/test-grids/"
+    grids <- as.character(readHTMLTable(paste0(address, currency), skip.rows=c(1,2,23))[[1]]$V2)
+    for(f in grids){
+        download.file(paste0(address, currency, "/", f),
+                      quiet = TRUE,
+                      destfile=file.path(basedir, f))
+    }
+}
+grids <- dir(basedir)
+f <- grids[1]
+filename <- sub("\\.[^.]*$", ".csv", f)
+con <- unz(file.path(basedir, f), filename)
+data <- read.csv(con)
+data[,"Trade.Date"] <- as.Date(strptime(data[,"Trade.Date"], format="%Y%m%d"))
+data[,"Maturity.Date"] <- as.Date(strptime(data[,"Maturity.Date"], format="%Y%m%d"))
+for(i in 1:nrow(data)){
+    tradedate <- data[i, "Trade.Date"]
+    exportYC(tradedate)
+    coupon <- data[i, "Coupon"]*1e-4
+    spread <- data[i, "Quoted.Spread"]*1e-4
+    R <- data[i, "Recovery"]
+    maturity <- data[i, "Maturity.Date"]
+    cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,
+                         "Q", "FIXED", coupon, 0, tradedate, IMMDate(tradedate, "prev"))
+    h <- spread/(1-R)
+    sc <- new("flatcurve", h = h)
+    startdate <- tradedate + 1
+    cds.pv <- couponleg(cs, sc, startdate) - defaultleg(cs, sc, R, startdate)
+}
+
+couponleg2 <- function(h, cs){
+    T <- yearFrac(startdate, cs$unadj.dates)
+    PD <- exp(-h*T)
+    PDshift <- c(1, PD)
+    DT <- diff(c(0, T))
+    crossprod(cs$df*DT, PD)-crossprod(DFmid*DT/2, diff(PDshift))
+}
+
+protectionleg2 <- function(cs, h, R, startdate){
+    T <- yearFrac(startdate, cs$dates)
+    B <- exp(-h*T) * cs$df
+    f <- -diff(c(0, log(cs$df)))/diff(c(0, T))
+    return( -(1-R)*crossprod(diff(c(1, B)), h/(f+h)) )
+}
+
+defaultleg(cs, sc, R, startdate)