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library(RQuantLib)
library(yaml)
library(dplyr, quiet = TRUE, warn.conflict = F)
args <- commandArgs(trailingOnly = TRUE)
stopifnot((root.dir <- Sys.getenv("SERENITAS_BASE_DIR")) != "")
stopifnot((config.dir <- Sys.getenv("SERENITAS_CONFIG_DIR")) != "")
source("intex_deal_functions.R")
source("yieldcurve.R")
source("creditIndex.R")
source("serenitasdb.R")
if(interactive()) {
## enter the parameters here
workdate <- as.Date("2016-02-17")
dealnames <- c("cent15")
reinvflags <- c(TRUE)
} else {
if(length(args) >=2){
argslist <- strsplit(args[-1], ",")
dealnames <- unlist(lapply(argslist, function(x)x[1]))
reinvflags <- as.logical(unlist(lapply(argslist, function(x)x[2])))
}
workdate <- if(length(args) >=1) as.Date(args[1]) else Sys.Date()
}
calibration.date <- addBusDay(workdate, -1)
exportYC(calibration.date)
index <- creditIndex("hy39")
index <- set.index.desc(index, calibration.date)
global.params <- yaml.load_file(file.path(config.dir, "params.yml"),
handlers = list(expr = function(x) eval(parse(text = x))))
tranchedata <- tranche.data(workdate)
cashspread.discount <- 0
currdealnames <- etdb %>% tbl("et_deal_model_numbers") %>%
filter(updatedate == !!workdate) %>%
select(dealname) %>% collect()
## build portfolio data
for(i in seq_along(dealnames)){
deal.name <- dealnames[i]
global.params$reinvflag <- reinvflags[i]
if(is.na(deal.name)){
next
}
deal.data <- getdealdata(deal.name, calibration.date)
if(is.na(deal.data$reinv_end_date)){
global.params$reinvflag <- FALSE
}
if(deal.data$"Curr Collat Bal" < 1 ||is.na(deal.data$maturity)||
deal.data$maturity <= Sys.Date()+90){
next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, tranchedata, global.params, workdate)
##deal.portfolio$SC <- tweakportfolio(deal.portfolio$SC, -cashspread.discount, multiplicative=FALSE)
mv <- crossprod(deal.portfolio$notional, deal.portfolio$price)/100
nullcurves <- unlist(lapply(deal.portfolio$SC, is.null))
deal.portfolio$SC <- deal.portfolio$SC[!nullcurves]
deal.portfolio$notional <- deal.portfolio$notional[!nullcurves]
A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="Quarterly", workdate)
S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
deal.spread5y <- portfoliospread(deal.portfolio, index$maturity, workdate)
deal.spreadatmaturity <- portfoliospread(deal.portfolio, ,workdate)
save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
dir.create(save.dir)
}
save(deal.portfolio, A, S, deal.weights, deal.spread5y,
deal.spreadatmaturity, deal.data, file=file.path(save.dir, paste0(deal.name, ".RData")),
version=2)
cat(deal.name, "... done\n")
if(deal.name %in% currdealnames$dealname){
sqlstring <- paste0("UPDATE et_deal_model_numbers SET dealspread5y = $1,",
"dealspread = $2, cdopercentage = $3, stalepercentage= $4, ",
"marketvalue = $5 ",
"WHERE dealname= $6 and updatedate = $7")
r <- dbSendQuery(etdb, sqlstring,params = list(deal.spread5y,
deal.spreadatmaturity,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
mv,
deal.name,
workdate))
if(dbHasCompleted(r)){
dbClearResult(r)
}
}else{
sqlstring <- paste0("INSERT INTO et_deal_model_numbers",
"(dealname, cdopercentage, stalepercentage,",
"dealspread5y, marketvalue, updatedate, dealspread) ",
"VALUES($1, $2, $3, $4, $5, $6, $7)")
r <- dbSendQuery(etdb, sqlstring, params = list(deal.name,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
deal.spread5y, mv,
workdate,
deal.spreadatmaturity))
if(dbHasCompleted(r)){
dbClearResult(r)
}
currdealnames <- c(currdealnames, deal.name)
}
}
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