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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"))
load.index("hy21", "index_definitions_bt.yml")
library(lossdistrib)
n.int <- 250
attach(GHquad(n.int))
Ngrid <- 201
alldates <- seq(as.Date("2014-01-01"), as.Date("2014-05-05"), by="1 day")
rhomat <- c()
deltasmat <- c()
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
exportYC(tradedate)
## calibrate HY21
## calibrate the single names curves
set.singlenamesdata(hy21, tradedate)
set.tranchedata(hy21, tradedate)
## calibrate the tranches using base correlation
f <- function(rho, index, N, i){
temp <- with(index,
BClossdistC(defaultprob, issuerweights, recov, rho, Z, w, N))
return(abs(tranche.pv(temp$L, temp$R, index$cs, 0, index$K[i+1]) + index$quotes[i]))
}
rhovec <- c()
for(i in 1:(length(hy21$K)-1)){
q <- quotes[i-1]
rho <- optimize(f, interval=c(0,1), index=hy21, N=Ngrid, i=i)$minimum
rhovec <- c(rhovec, rho)
}
rhovec <- c(0, rhovec)
##compute deltas by blipping the curves
## portfolioplus <- tweakportfolio(hy21portfolio.tweaked, 1e-4)
## defaultprobplus <- 1 - SPmatrix(portfolioplus, length(cs$dates))
## portfoliominus <- tweakportfolio(hy21portfolio.tweaked, -1e-4)
## defaultprobminus <- 1 - SPmatrix(portfoliominus, length(cs$dates))
## test <- matrix(0, 6, 2)
## for(i in 2:7){
## tempminus <- BClossdistC(defaultprobminus, issuerweights, recov, rhovec[i], Z, w, Ngrid)
## tempplus <- BClossdistC(defaultprobplus, issuerweights, recov, rhovec[i], Z, w, Ngrid)
## test[i-1,1] <- tranche.pv(tempminus$L, tempminus$R, cs, 0, Kmodified[i])
## test[i-1,2] <- tranche.pv(tempplus$L, tempplus$R, cs, 0, Kmodified[i])
## }
## dPVtranche <- diff(c(0, test[,1]))/dK - diff(c(0, test[,2]))/dK
## dPVindex <- indexpv(portfoliominus, hy21, tradedate=tradedate, clean=FALSE)$bp-
## indexpv(portfolioplus, hy21, tradedate=tradedate, clean=FALSE)$bp
## deltas <- dPVtranche/dPVindex
##use BCtranche.delta function
deltas <- rep(0, length(hy21$K)-1)
for(i in seq_along(hy21$K[-1])){
deltas[i] <- BCtranche.delta(hy21, hy21$K[i], hy21$K[i+1], rhovec[i], rhovec[i+1], Z, w, Ngrid, tradedate)
}
deltasmat <- rbind(deltasmat, deltas)
rhomat <- rbind(rhomat, rhovec)
}
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