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library("RQuantLib")
library("yaml")
args <- commandArgs(trailingOnly=TRUE)
code.dir <- Sys.getenv("CODE_DIR")
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(code.dir, "code", "R", "intex_deal_functions.R"), chdir=TRUE)
source(file.path(code.dir, "code", "R", "yieldcurve.R"))
source(file.path(code.dir, "code", "R", "serenitasdb.R"))
source(file.path(code.dir, "code", "R", "creditIndex.R"))
if(length(args) >=2){
argslist <- strsplit(args[-1], ",")
dealnames <- unlist(lapply(argslist, function(x)x[1]))
reinvflags <- as.logical(unlist(lapply(argslist, function(x)x[2])))
}else{
data <- read.table(file.path(root.dir, "scripts", "deals_to_price.txt"),
colClasses=c("character", "logical"))
dealnames <- data$V1
reinvflags <- data$V2
}
if(length(args) >= 1){
workdate <- as.Date(args[1])
}else{
workdate <- Sys.Date()
}
calibration.date <- addBusDay(workdate, -1)
exportYC(calibration.date)
index <- creditIndex("hy23")
index <- set.index.desc(index, calibration.date)
global.params <- yaml.load_file(file.path(root.dir, "code", "etc", "params.yml"))
cusipdata <- cusip.data()
cashspread.discount <- 0
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
for(i in seq_along(dealnames)){
deal.name <- dealnames[i]
global.params$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$maturity <= Sys.Date()+90){
next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
##deal.portfolio$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$SC, deal.data, freq="3 months", workdate)
S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
deal.spread5y <- portfoliospread(deal.portfolio, index$maturity, workdate)
deal.spreadatmaturity <- portfoliospread(deal.portfolio, ,workdate)
save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
dir.create(save.dir)
}
save(deal.portfolio, A, S, deal.weights, deal.spread5y,
deal.spreadatmaturity, deal.data, file=file.path(save.dir, paste0(deal.name, ".RData")))
cat(deal.name, "... done\n")
dealupdatedate <- currdealnames$updatedate[currdealnames$dealname %in% deal.name]
if(length(dealupdatedate) && dealupdatedate == workdate){
sqlstring <- sprintf(
paste0("UPDATE et_deal_model_numbers SET dealspread5y = %s,",
"dealspread = %s, cdopercentage = %s, stalepercentage= %s, ",
"marketvalue = %s",
"WHERE dealname= '%s' and updatedate = '%s'"),
deal.spread5y,
deal.spreadatmaturity,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
mv,
deal.name,
as.Date(workdate))
dbSendQuery(dbCon, sqlstring)
}else{
sqlstring <- sprintf(paste0("INSERT INTO et_deal_model_numbers",
"(dealname, cdopercentage, stalepercentage,",
"dealspread5y, marketvalue, updatedate, dealspread) ",
"VALUES('%s', %s, %s, %s, %s, '%s', %s)"),
deal.name,
deal.portfolio$cdopercentage,
deal.portfolio$stale,
deal.spread5y,
mv,
workdate,
deal.spreadatmaturity
)
dbSendQuery(dbCon, sqlstring)
currdealnames <- c(currdealnames, deal.name)
}
}
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