1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
|
library("RQuantLib")
args <- commandArgs(trailingOnly=TRUE)
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
if(length(args) >=2){
dealnames <- args[2:length(args)]
}else{
data <- read.table(file.path(root.dir, "scripts", "cusips_to_price.txt"))
dealnames <- dealnamefromcusip(data$V1)
uniqdealnames <- unique(dealnames)
uniqdealnames <- uniqdealnames[!is.na(uniqdealnames)]
disablereinvflags <- data$V2[match(uniqdealnames, dealnames)]
dealnames <- uniqdealnames
unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
}
source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
if(length(args) >= 1){
workdate <- as.Date(args[1])
}else{
workdate <- Sys.Date()
}
calibration.date <- prevBusDay(workdate)
MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
setCalendarContext("UnitedStates/GovernmentBond")
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)
L12m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1)
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"=95,
"Aa"=90,
"A"=88,
"Baa"=85,
"Ba"=80,
"B"=75,
"NR"=50)
#reinvest in 7 years assets
global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
global.params$defaultcorr <- 0.45
global.params$defaultbondhazardrate <- 2500 * bps
global.params$defaultloanhazardrate <- 2500 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
global.params$shape <- function(T)0.75+(1-0.75)*(1-exp(-T/5))
global.params$reinvflag <- TRUE
cusipdata <- cusip.data()
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
i <- 1
for(deal.name in dealnames){
if(exists("disablereinvflags")){
global.params$reinvflag <- !disablereinvflags[i]
}
i <- i+1
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$maturity <= today()+90){
next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="3 months", workdate)
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, deal.data, file=file.path(save.dir, paste0(deal.name, ".RData")))
cat(deal.name, "... done\n", file = stderr())
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,
crossprod(deal.portfolio$notional, deal.portfolio$price)/100,
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)
}
}
if(length(args)<1){
write.table(data.frame(dealnames, as.integer(!disablereinvflags)),
file = file.path(root.dir, "scripts", "scenarios.txt"),
row.names = F, col.names = F, quote = F)
}
|
