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library("RQuantLib")
args <- commandArgs(trailingOnly=TRUE)
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
if(length(args) >=2){
dealnames <- args[2:length(args)]
}else{
dealnames <- unique(dealnamefromcusip(read.table(file.path(root.dir, "scripts", "cusips_to_price.txt"))$V1))
unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
}
source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
if(length(args) >= 1){
workdate <- as.Date(args[1])
}else{
workdate <- Sys.Date()
}
calibration.date <- prevBusDay(workdate)
MarkitData <- getMarkitIRData(calibration.date)
L1m <- buildMarkitYC(MarkitData, dt = 1/12)
L2m <- buildMarkitYC(MarkitData, dt = 1/6)
L3m <- buildMarkitYC(MarkitData)
L6m <- buildMarkitYC(MarkitData, dt = 1/2)
L12m <- buildMarkitYC(MarkitData, dt = 1)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
bps <- 1e-4
global.params <- list()
global.params$recovery.assumptions <- list("Loan"=0.7,
"Senior Notes"=0.7,
"SecondLien"=0.3,
"Bond"=0.4,
"Mezzanine"=0.15,
"Adj_Covlite"=0.1,
"Credit Default Swap"=0)
global.params$cdoprices <- list("Aaa"=90,
"Aa"=88,
"A"=80,
"Baa"=75,
"Ba"=70,
"B"=65,
"NR"=50)
#reinvest in 7 years assets
global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
global.params$defaultcorr <- 0.45
global.params$defaultbondhazardrate <- 1500 * bps
global.params$defaultloanhazardrate <- 1500 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
global.params$shape <- function(T)0.25+(1-exp(-T/5))
cusipdata <- cusip.data()
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
for(deal.name in dealnames){
if(is.na(deal.name)){
next
}
deal.data <- getdealdata(deal.name, calibration.date)
if(deal.data$"Curr Collat Bal" < 1 ||is.na(deal.data$maturity)||deal.data$maturity <= today()+90){
next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="3 months")
S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
deal.dates <- getdealschedule(deal.data)
deal.spread5y <- portfoliospread(deal.portfolio, hy19$maturity)
deal.spreadatmaturity <- portfoliospread(deal.portfolio)
save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
dir.create(save.dir)
}
save(deal.portfolio, A, S, deal.weights, deal.dates, deal.spread5y,
deal.spreadatmaturity, file=file.path(save.dir, paste0(deal.name, ".RData")))
cat(deal.name, "... done\n")
dealupdatedate <- currdealnames$updatedate[currdealnames$dealname %in% deal.name]
if(length(dealupdatedate) && dealupdatedate == workdate){
sqlstring <- sprintf(
paste0("UPDATE et_deal_model_numbers SET dealspread5y = %s,",
"dealspread = %s, cdopercentage = %s, stalepercentage= %s ",
"WHERE dealname= '%s' and updatedate = '%s'"),
deal.spread5y,
deal.spreadatmaturity,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
deal.name,
as.Date(workdate))
dbSendQuery(dbCon, sqlstring)
}else{
sqlstring <- sprintf(paste0("INSERT INTO et_deal_model_numbers",
"(dealname, cdopercentage, stalepercentage,",
"dealspread5y, marketvalue, updatedate, dealspread) ",
"VALUES('%s', %s, %s, %s, %s, '%s', %s)"),
deal.name,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
deal.spread5y,
crossprod(deal.portfolio$notional, deal.portfolio$price)/100,
workdate,
deal.spreadatmaturity
)
dbSendQuery(dbCon, sqlstring)
currdealnames <- c(currdealnames, deal.name)
}
}
write.table(dealnames, file = file.path(root.dir, "scripts", "scenarios.txt"), row.names = F, col.names = F)
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