1 files changed, 0 insertions, 49 deletions
diff --git a/load_bloomberg_data.R b/load_bloomberg_data.R
deleted file mode 100644
index b3dff18a..00000000
--- a/load_bloomberg_data.R
+++ /dev/null
@@ -1,49 +0,0 @@
-library(RPostgreSQL)
-library(Rbbg)
-source('etdb.R')
-load("bloomberg_data.RData")
-cusips <- dbGetQuery(dbCon, "select distinct cusip from et_collateral")
-bbgCon <- blpConnect(throw.ticker.errors=FALSE)
-
-fields.corp <- c("PX_LAST","LAST_UPDATE_DT","ISSUER","MATURITY","CPN","CPN_TYP",
-                 "CPN_FREQ","FLT_SPREAD","LIBOR_FLOOR","LN_CURRENT_MARGIN",
-                 "LN_COVENANT_LITE","SECOND_LIEN_INDICATOR","DEFAULTED", "PRICING_SOURCE")
-fields.mtge <- c("LAST_UPDATE_DT", "ISSUER","MATURITY","CPN","CPN_TYP","CPN_FREQ","FLT_SPREAD","RTG_MOODY","RTG_MDY_INITIAL")
-
-
-
-secCorp <- paste(corpcusips, "Corp")
-dataCorp <-  bdp(bbgCon, secCorp, fields.corp)
-corpcusips <- substr(rownames(dataCorp[which(!is.na(dataCorp$ISSUER)),]),1,9)
-
-dataCorp <- dataCorp[which(!is.na(dataCorp$ISSUER)),]
-rownames(dataCorp) <- substr(rownames(dataCorp), 1, 9)
-dataCorp <- data.frame(CUSIP=rownames(dataCorp), dataCorp )
-fh = file(paste0("//WDSENTINEL/share/CorpCDOs/data/bloomberg/bloomberg_datacorp_",
-Sys.Date(),".csv"),"wb")
-write.csv(dataCorp, file=fh, row.names=F)
-close(fh)
-
-
-chunkSize <- 5000
-dataMtge <- c()
-for(i in 1:(length(mtgecusips)/chunkSize)){
-    cusipSample <- mtgecusips[((i-1)*chunkSize+1):(i*chunkSize)]
-    secMtge <- paste(cusipSample, "Mtge")
-    dataMtge <- rbind(dataMtge, bdp(bbgCon, secMtge, fields.mtge))
-}
-i <- i+1
-secMtge <- paste(mtgecusips[((i-1)*chunkSize+1):length(mtgecusips)], "Mtge")
-dataMtge <- rbind(dataMtge, bdp(bbgCon, secMtge, fields.mtge))
-mtgecusips <- substr(rownames(dataMtge[which(!is.na(dataMtge$ISSUER)),]),1,9)
-dataMtge <- dataMtge[which(!is.na(dataMtge$ISSUER)),]
-rownames(dataMtge) <- substr(rownames(dataMtge), 1, 9)
-dataMtge <- data.frame(CUSIP=rownames(dataMtge), dataMtge )
-fh = file(paste0("//WDSENTINEL/share/CorpCDOs/data/bloomberg/bloomberg_datamtge_",
-Sys.Date(),".csv"),"wb")
-write.csv(dataMtge, file=fh, row.names=F)
-close(fh)
-
-
-## save(corpcusips, mtgecusips, dataCorp, dataMtge, file="bloomberg_data.RData")
-save(corpcusips, mtgecusips, dataCorp, dataMtge, file="bloomberg_data.RData")