diff options
Diffstat (limited to 'cds_utils.R')
| -rw-r--r-- | cds_utils.R | 146 |
1 files changed, 0 insertions, 146 deletions
diff --git a/cds_utils.R b/cds_utils.R deleted file mode 100644 index afb8f400..00000000 --- a/cds_utils.R +++ /dev/null @@ -1,146 +0,0 @@ -library("RQuantLib")
-
-today <- function() {
- Sys.Date()
-}
-
-convertTenor <- function(tenor) {
- ## convert tenors of the form '1y', '2y', etc...
- ## and '1m', '2m'... into yearfrac
- month <- regexpr("([0-9]+)m", tenor, perl = T)
- year <- regexpr("([0-9]+)y", tenor, perl = T)
- if ( month != -1 ) {
- a <- attr(month, "capture.start")
- b <- a + attr(month, "capture.length") - 1
- l <- as.numeric(substr(tenor, a, b))
- return ( 30 * l )
- }else if ( year != -1) {
- a <- as.numeric(attr(year, "capture.start"))
- b <- a + attr(year, "capture.length") - 1
- l <- as.numeric(substr(tenor, a,b))
- return ( 365 * l )
- }else{
- stop("format not recognized")
- }
-}
-
-addTenor <- function(date, tenor) {
- month <- regexpr("([0-9]+)m", tenor, perl = T)
- year <- regexpr("([0-9]+)y", tenor, perl = T)
- if ( month != -1 ) {
- a <- attr(month, "capture.start")
- b <- a + attr(month, "capture.length") - 1
- l <- as.numeric(substr(tenor, a, b))
- return ( seq(date, length=2, by=paste(l,"month"))[2])
- }else if ( year != -1) {
- a <- as.numeric(attr(year, "capture.start"))
- b <- a + attr(year, "capture.length") - 1
- l <- as.numeric(substr(tenor, a,b))
- return ( seq(date, length=2, by=paste(l,"year"))[2] )
- }else{
- stop("format not recognized")
- }
-}
-
-creditSchedule <- function(startdate, enddate) {
- ## generate a credit coupon payment schedule from startdate
- ## to enddate based on the IMM dates
- month <- c(3, 6, 9, 12)
- day <- 20
- startmonth <- as.numeric(format(startdate, "%m"))
- startday <- as.numeric(format(startdate, "%d"))
- startyear <- as.numeric(format(startdate, "%Y"))
- if (startday > day){
- followingmonth <- which(month>startmonth)
- if (length(followingmonth)==0){
- startyear <- startyear+1
- startmonth <- 3
- }else{
- startmonth <- followingmonth[1]
- }
- }else{
- startmonth <- which(month>=startmonth)[1]
- }
- newdate <- as.Date(paste(startyear, month[startmonth], day, sep="-"))
- seq(newdate, enddate, by="3 months")
-}
-
-couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, currentcoupon,
- margin, startdate=today()){
- ## computes the coupon schedule
- ## inputs:
- ## nextpaydate: first payment date of the coupon schedule
- ## maturity: last payment date of the schedule
- ## frequency: letter specifying the frequency amon "Q", "M", "B", or "S"
- ## if startdate is provided, this generates the forward coupon schedule starting from that date.
- bystring <- switch(frequency,
- Q = "3 months",
- M = "1 month",
- B = "2 months",
- S = "6 months",
- A = "12 months")
- if(is.null(bystring)){
- stop("unknown frequency")
- }
- if(is.null(nextpaydate)){
- dates <- rev(seq(maturity, today(), by =paste0("-", bystring)))
- }else{
- dates <- seq(nextpaydate, maturity, by = bystring)
- }
- if(dates[length(dates)]<maturity){
- dates <- c(dates, maturity)
- }
- dates <- dates[ dates >= today()]
- DC <- switch(frequency,
- S = DiscountCurve(L6m$params, L6m$tsQuotes, yearFrac(L6m$params$tradeDate, dates)),
- Q = DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, dates)),
- M = DiscountCurve(L1m$params, L1m$tsQuotes, yearFrac(L1m$params$tradeDate, dates)),
- B = DiscountCurve(L2m$params, L2m$tsQuotes, yearFrac(L2m$params$tradeDate, dates)),
- A = DiscountCurve(L12m$params, L12m$tsQuotes, yearFrac(L12m$params$tradeDate, dates)))
-
- if(coupontype=="FLOAT" && !is.na(margin)){ #if is.na(margin) probably letter of credit
- coupons <- pmax(currentcoupon, DC$forwards + margin)
- }else{
- coupons <- rep(currentcoupon, length(dates))
- }
- coupons <- diff(c(0, yearFrac(startdate, dates, "act/360"))) * coupons
- if(startdate!=DC$params$tradeDate){
- df <- cumprod(exp(-DC$forwards * diff(c(0, yearFrac(startdate, dates)))))
- }else{
- df <- DC$discounts
- }
- return( data.frame(dates=dates, coupons=coupons, df = df) )
-}
-
-nextIMMDate <- function(date) {
- startyear <- as.numeric(format(date, "%Y"))
- nextimmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=5, by="3 months")
- return( nextimmdates[nextimmdates >= date][1] )
-}
-
-cdsMaturity <- function(tenor, date=today()){
- enddate <- addTenor(date, tenor)
- month <- c(3, 6, 9, 12)
- day <- 20
- startmonth <- as.numeric(format(enddate, "%m"))
- startday <- as.numeric(format(enddate, "%d"))
- startyear <- as.numeric(format(enddate, "%Y"))
- if (startday > day) {
- followingmonth <- which(month>startmonth)
- if (length(followingmonth)==0){
- startyear <- startyear+1
- startmonth <- 3
- }else{
- startmonth <- followingmonth[1]
- }
- }else{
- startmonth <- which(month >= startmonth)[1]
- }
- return( as.Date(paste(startyear, month[startmonth], day, sep="-")))
-}
-
-yearFrac <- function(date1, date2, daycount="act/365") {
- switch(daycount,
- "act/365"=as.numeric( (as.Date(date2) - as.Date(date1)) / 365),
- "act/360"=as.numeric( (as.Date(date2) - as.Date(date1)) / 360) )
-}
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