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args <- commandArgs(trailingOnly=TRUE)
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
load.index("hy21")
## calibrate HY21
## calibrate the single names curves
bps <- 1e-4
files <- dir(file.path(root.dir, "Scenarios", "Calibration"), pattern="hy21_singlenames_*")
dates <- as.Date(substr(files, 18, 27))
basis <- data.frame(row.names=dates, indexref=numeric(length(dates)), basis=numeric(length(dates)))
for(i in 1:length(files)){
f <- files[i]
singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration", f))
nondefaulted <- singlenames.data[!singlenames.data$ticker %in% hy21$defaulted,]
calibration.date <- as.Date(substr(f, 18, 27))
if(calibration.date == as.Date("2013-12-20")){
next
}
MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
tradedate <- adjust(dates=as.Date(MarkitData$effectiveasof))
setEvaluationDate(tradedate)
setCalendarContext("TARGET")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
cdsdates <- as.Date(character(0))
for(tenor in paste0(1:5, "y")){
cdsdates <- c(cdsdates, cdsMaturity(tenor, date=tradedate))
}
hy21portfolio <- c()
cs <- couponSchedule(IMMDate(tradedate), cdsdates[length(cdsdates)], "Q", "FIXED",
1, tradedate, IMMDate(tradedate, "prev"))
for(j in 1:nrow(nondefaulted)){
SC <- new("creditcurve",
recovery=nondefaulted$recovery[j]/100,
startdate=tradedate,
issuer=as.character(nondefaulted$ticker[j]))
quotes <- data.frame(maturity=cdsdates, upfront = as.numeric(nondefaulted[j,4:8]) /100,
running=rep(nondefaulted$running[j] * bps, 5))
SC@curve <- cdshazardrate(quotes, nondefaulted$recovery[j]/100, tradedate, cs)
hy21portfolio <- c(hy21portfolio, SC)
}
market.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
paste0("hy21_tranches_", calibration.date, ".csv")))
## get the index ref
hy21$indexref <- market.data$bidRefPrice[1]/100
temp <- tweakcurves(hy21portfolio, hy21, tradedate)
hy21portfolio.tweaked <- temp$portfolio
basis[as.character(tradedate), "basis"] <- temp$epsilon
basis[as.character(tradedate), "indexref"] <- market.data$bidRefPrice[1]
recov <- sapply(hy21portfolio.tweaked, attr, "recovery")
cs <- couponSchedule(IMMDate(tradedate), hy21$maturity, "Q", "FIXED", 0.05, 0, tradedate)
SurvProb <- SPmatrix(hy21portfolio.tweaked, length(cs$dates))
colnames(SurvProb) <- as.character(cs$dates)
write.csv(SurvProb, row.names=FALSE,
file=file.path(root.dir, "Data", "Backtest", paste0("survprob_", calibration.date, ".csv")))
write(recov, ncolumns=1,
file=file.path(root.dir, "Data", "Backtest", paste0("recov_", calibration.date, ".csv")))
cat(as.character(calibration.date), "\n")
}
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