diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/VaR.R | 34 |
1 files changed, 34 insertions, 0 deletions
diff --git a/R/VaR.R b/R/VaR.R new file mode 100644 index 00000000..a329abd7 --- /dev/null +++ b/R/VaR.R @@ -0,0 +1,34 @@ +## parse command line arguments +root.dir <- if(.Platform$OS.type == "unix"){ + "/home/share/CorpCDOs" +}else{ + "//WDSENTINEL/share/CorpCDOs" +} + +library(logging) +basicConfig() + +options(stringsAsFactors = FALSE) +source(file.path(root.dir, "code", "R", "yieldcurve.R")) +source(file.path(root.dir, "code", "R", "optimization.R")) +source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE) +source(file.path(root.dir, "code", "R", "serenitasdb.R")) +source(file.path(root.dir, "code", "R", "creditIndex.R")) +source(file.path(root.dir, "code", "R", "tranche_functions.R")) + +#we load the index we want to shock +tradedate <- addBusDays(Sys.Date(), -1) +index <- load.index("hy19", "5yr", tradedate) + +rho <- get.skews('HY', 23, '5yr') +colnames(rho) <- c("15 Corr", "25 Corr", "35 Corr") +skew.shocks <- apply(log(-log(rho)), 2, diff) +pvshocks1 <- BCtranche.VaR(index, skew.shocks) + +shock.spreads <- diff(log(get.indexquotes('HY', 21, '5yr')$closespread)) +before <- BCtranche.pv(index) +pv.shocks2 <- t(vapply(shock.spreads, function(eps){ + index$portfolio <- tweakportfolio(index$portfolio, eps) + index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates)) + return( BCtranche.pv(index)$bp-before$bp ) +}, before$bp)) |