diff options
Diffstat (limited to 'intex_deals_functions.R')
| -rw-r--r-- | intex_deals_functions.R | 253 |
1 files changed, 0 insertions, 253 deletions
diff --git a/intex_deals_functions.R b/intex_deals_functions.R deleted file mode 100644 index a85b9f24..00000000 --- a/intex_deals_functions.R +++ /dev/null @@ -1,253 +0,0 @@ -library(RQuantLib)
-library(statmod)
-root = "//WDSENTINEL/share/CorpCDOs/"
-source(file.path(root, "R", "yieldCurve.R"))
-source(file.path(root, "R", "cds_functions_generic.R"))
-source(file.path(root, "R", "etdb.R"))
-source(file.path(root, "R", "tranche_functions.R"))
-load(file.path(root, "R", "bloomberg_data.RData"))
-
-cdorating <- function(cusip){
- return( sub("[0-9]","", dataMtge[dataMtge$CUSIP %in% cusip,]$RTG_MDY_INITIAL ))
-}
-
-getcollateral <- function(dealname, date=Sys.Date()){
- sqlstring <- sprintf("select * from et_aggdealinfo_historical('%s', '%s')", dealname, date)
- collatdata <- dbGetQuery(dbCon, sqlstring)
- return(collatdata)
-}
-
-getdealdata <- function(dealnames){
- sqlstring <- sprintf("select * from latest_clo_universe where dealname in ('%s')",
- paste(dealnames, collapse="','"))
- return( dbGetQuery(dbCon, sqlstring) )
-}
-
-recovery <- function(collateral) {
- ## return assumed recovery based on assumptions from recovery.assumptions
- if(!is.na(collateral$secondlien) && collateral$secondlien){
- collateral$assettype <- "SecondLien"
- }
- recovery <- with(global.params,
- as.numeric(recovery.assumptions[collateral$assettype]))
- if( !is.na(collateral$covlite) && collateral$covlite) {
- recovery <- recovery - global.params$recovery.assumptions$Adj_Covlite
- }
- if( !is.na(collateral$iscdo) && collateral$iscdo ){
- recovery <- 0
- }
- ## price is too low need to lower the assumed recovery
- if(!is.na(collateral$price) && recovery > collateral$price/100 - 0.1){
- recovery <- max(collateral$price/100-0.2, 0)
- }
- return(recovery)
-}
-
-dealnamefromcusip <- function(cusips){
- ## wrapper around the sql procedure, not the fastest probably
- r <- NULL
- for(i in 1:length(cusips)){
- sqlstr <- sprintf("select * from dealname_from_cusip('%s')", cusips[i])
- r <- c(r, as.character(dbGetQuery(dbCon, sqlstr)))
- }
- return( r )
-}
-
-cusipsfromdealnames <- function(dealnames){
- unlist(strsplit(getdealdata(dealnames)$"Deal Cusip List", ","))
-}
-
-fithazardrate.fast <- function(collateral, eps=1e-6){
- lambda <- 0.05
- cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
- collateral$frequency, collateral$fixedorfloat,
- collateral$grosscoupon * 0.01, collateral$spread*0.01)
- R <- recovery(collateral)
- while(abs(bondprice(lambda, cs, R) * 100 - collateral$price) > eps){
- lambda <- lambda - (bondprice(lambda, cs, R) - 0.01*collateral$price)/dbondprice(lambda, cs, R)
- }
- return( lambda )
-}
-
-vanillabondprice <- function(h, collateral, prepay=TRUE) {
- R <- recovery(collateral)
- cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
- collateral$frequency, collateral$fixedorfloat,
- collateral$grosscoupon*0.01, collateral$spread*0.01)
- if(prepay){
- dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=rep(h,length(cs$dates)),
- prepayrates=rep(k(h), length(cs$dates)))
- }else{
- dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=rep(h,length(cs$dates)),
- prepayrates=numeric(0))
- }
- return( bondprice(cs, dpc, R) )
-}
-
-dvanillabondprice <- function(hazardrate, collateral) {
- R <- recovery(collateral)
- cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
- collateral$frequency, collateral$fixedorfloat,
- collateral$grosscoupon*0.01, collateral$spread*0.01)
- return( bondprice(hazardrate, cs, R) )
-}
-
-fithazardrate <- function(collateral){
- R <- recovery(collateral)
- cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
- collateral$frequency, collateral$fixedorfloat,
- collateral$grosscoupon*0.01, collateral$spread*0.01)
- f <- function(lambda){
- u <- bondprice(lambda, cs, R )
- return( (u * 100-collateral$price)^2 )
- }
- return( optimize(f, c(0,1), tol=1e-6)$minimum )
-}
-
-
-maturity <- function(creditcurve){
- if(class(creditcurve)=="creditcurve"){
- dates <- creditcurve@curve@dates
- if(length(dates)){
- return( dates[length(dates)] )
- }else{
- return( creditcurve@startdate )
- }
- }else{
- stop("not of class creditcurve")
- }
-}
-
-stackcurve <- function(SC, line.item, global.params, startdate){
- newdates <- seq(startdate, line.item$maturity, by="3 months")
- if(line.item$assettype=="Loan"){
- hvec <- global.params$shape(yearFrac(today(), newdates[-1])) * global.params$defaultloanhazardrate
- kvec <- global.params$alpha * exp(-global.params$beta * hvec)
- }else if(line.item$assettype=="Bond" || line.item$iscdo){
- hvec <- global.params$shape(yearFrac(today(), newdates[-1])) * global.params$defaultbondhazardrate
- kvec <- rep(0, length(hvec))
- }
- SC@curve@hazardrates <- c(SC@curve@hazardrates, hvec)
- SC@curve@prepayrates <- c(SC@curve@prepayrates, kvec)
- SC@curve@dates <- c(SC@curve@dates, newdates[-1])
- return(SC)
-}
-
-buildSC.matured <- function(SC, line.item, reinvdate, dealmaturity, global.params, startdate){
- if(startdate<=reinvdate){ #reinvest
- line.item$maturity <- min(dealmaturity, startdate + global.params$rollingmaturity)
- SC <- stackcurve(SC, line.item, global.params, startdate)
- }else{ #no reinvestment
- SC@curve@dates <- startdate
- SC@curve@hazardrates <- 0
- SC@curveprepayrates <- 0
- }
- return( SC )
-}
-
-buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate){
- ## cat(line.item$issuername, "\n")
- if(!is.na(line.item$iscdo) && line.item$iscdo && is.na(line.item$price)){
- ##we have prices for some cdos e.g. 210795PS3
- orig.moody <- cdorating(line.item$cusip)
- if(length(orig.moody)==0){
- orig.moody <- "NR"
- }
- line.item$price <- as.numeric(global.params$cdoprices[orig.moody])
- }
- ##build survival curve
- SC <- new("creditcurve", recovery=recovery(line.item), startdate=startdate,
- issuer=line.item$issuername)
- SC@curve <- new("defaultprepaycurve", dates=as.Date(character(0)))
- ## defaulted asset
- if(!is.na(line.item$defaultedflag) && line.item$defaultedflag){
- if(!is.na(line.item$price)){
- line.item$currentbalance <- line.item$currentbalance * line.item$price/100
- }else{
- line.item$currentbalance <- line.item$currentbalance * recovery(line.item)
- }
- SC@startdate <- startdate + global.params$defaultedlag
- line.item$maturity <- min(dealmaturity, SC@startdate + global.params$rollingmaturity)
- ## automatic reinvest
- SC<- stackcurve(SC, line.item, global.params, SC@startdate)
- }else if(line.item$maturity<=startdate){#matured asset
- SC <- buildSC.matured(SC, line.item, reinvdate, dealmaturity, global.params, startdate)
- }else if(is.na(line.item$price)){ #missing price
- SC <- stackcurve(SC, line.item, global.params, SC@startdate)
- }else{ #normal case
- if(line.item$assettype=="Bond"){ #no prepay rate
- alpha <- 0
- }else{
- alpha <- global.params$alpha
- }
- try <- bondhazardrate.shaped(line.item, global.params$shape,
- recovery(line.item), alpha)
- if(is.null(try)){
- SC <- stackcurve(SC, line.item, global.params, SC@startdate)
- }else{
- SC@curve <- try
- }
- }
- if(maturity(SC) <= reinvdate){ #we reinvest
- newstartdate <- line.item$maturity
- line.item$maturity <- min(dealmaturity, newstartdate + global.params$rollingmaturity)
- SC <- stackcurve(SC, line.item, global.params, newstartdate)
- }
- return( list(SC=SC, notional=line.item$currentbalance) )
-}
-
-buildSC.portfolio <- function(dealname, global.params, startdate=today()) {
- dealdata <- getdealdata(dealname)
- collatdata <- getcollateral(dealname)
- notionalvec <- c()
- SCvec <- c()
- betavec <- c()
- for(i in 1:nrow(collatdata)){
- line.item <- collatdata[i,]
- if( is.na(line.item$maturity) ){
- stop("empty maturity")
- }
- ##most likely equity, doesn't impact the risk anyway
- if(line.item$currentbalance < 1){
- next
- }
- temp <- buildSC(line.item, dealdata$"Reinv End Date", dealdata$maturity, global.params, startdate)
- notionalvec <- c(notionalvec, temp$notional)
- SCvec <- c(SCvec, temp$SC)
- betavec <- c(betavec, if(!is.na(line.item$iscdo) && line.item$iscdo) 1 else
- global.params$defaultcorr)
- }
- return( list(notional=notionalvec, SC=SCvec, beta=betavec) )
-}
-
-cdrfromscenarios <- function(scenarios, dates){
- ## compute the forward cdr rates to pass to intex
- ## so that we match the default curves in scenarios
- cdr <- matrix(0, nrow(scenarios), ncol(scenarios))
- for(i in 1:nrow(scenarios)){
- cdr[i,] <- 100*(1-exp(diff(c(0, log(1-scenarios[i,])))))/diff(c(0, yearFrac(today(), dates)))
- }
- return( cdr )
-}
-
-recoveryfromscenarios <- function(scenariosd, scenariosr){
- ## compute the forward recovery rate based on the term
- ## structure of recovery scenarios
- ## we run into trouble for very stressed scenarios
- ## this code should cap the scenarios at 0 it this happens
- intexrecov <- matrix(0, n.scenarios, ncol(scenariosr))
- for(i in 1:n.scenarios){
- current <- 1
- intexrecov[i,1] <- scenariosr[i,1]
- for(t in 2:ncol(scenariosr)){
- w <- scenariosd[i,current]/scenariosd[i,t]
- if(scenariosr[i,t]-w*scenariosr[i,current]>=0){
- intexrecov[i,t] <- (scenariosr[i,t]-w*scenariosr[i,current])/(1-w)
- current <- current+1
- }else{
- intexrecov[i,t] <- 0
- }
- }
- }
- return(intexrecov)
-}
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