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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE)
source(file.path(root.dir, "code", "R", "mlpdb.R"))
library(lossdistrib)
n.int <- 250
list2env(GHquad(n.int), envir=parent.frame())
Ngrid <- 201
aux <- function(rho, index, K, quote, spread){
temp <- BCtranche.legs(index, K, rho)
return(abs(temp$pl+temp$cl*spread + quote))
}
alldates <- seq(as.Date("2014-01-01"), as.Date("2014-06-10"), by="1 day")
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
quotes <- matrix(0, length(bus.dates), 5)
for(index.name in c("hy21")){
risk.numbers <- list(rho=c(), delta=c(), gamma=c(), theta=c())
i.theta <- c()
for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
exportYC(tradedate)
index <- load.index(index.name, tradedate, "5yr", Z, w, Ngrid)
## calibrate the single names curves
index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
temp <- get.tranchequotes(index$name, index$tenor, tradedate)
quotes[i,-5] <- temp$trancheupfront
quotes[i, 5] <- temp$indexrefprice[1]
## calibrate the tranches using base correlation
rhovec <- c(0)
for(j in 1:(length(index$K)-1)){
##use the current tranche coupon
## we compute the 0-index$K[j+1] equivalent quote using the coupon of the jth quote
if(j==1){
q <- index$tranche.quotes[j]*index$K[j+1]
}else{
temp <- BCtranche.legs(index, index$K[j], rhovec[j])
q <- index$tranche.quotes[j] * (index$K[j+1]-index$K[j])-
temp$pl - temp$cl*index$tranche.running[j]
}
rho <- optimize(aux, interval=c(0,1), index=index, K=index$K[j+1], quote=q,
spread=index$tranche.running[j])$minimum
rhovec <- c(rhovec, rho)
}
index$rho <- rhovec
temp <- BCtranche.delta(index, tradedate)
risk.numbers$delta <- rbind(risk.numbers$delta, temp$deltas)
risk.numbers$gamma <- rbind(risk.numbers$gamma, temp$gammas)
risk.numbers$theta <- rbind(risk.numbers$theta, BCtranche.theta(index))
risk.numbers$rho <- rbind(risk.numbers$rho, rhovec)
i.theta <- c(i.theta, indextheta(index, tradedate))
temp <- BCtranche.pv(index, protection=TRUE)
duration <- (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
risk.numbers$duration <- rbind(risk.numbers$duration, duration)
cat(i, "\n")
}
}
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