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## parse command line arguments
args <- commandArgs(trailingOnly=TRUE)
if(length(args)==0 || args[1]=="-h" || args[1]=="--help"){
cat("usage: Rscript calibrate_tranches_BC.R [-u] indexname [tenor]\n")
cat(" Rscript calibrate_tranches_BC.R [-u] -c configfile\n")
cat("\n")
cat("If -u flag is provided, it will update from the last run date\n")
cat("tenor is 5yr by default\n")
cat("\n")
cat("Examples:\n")
cat("\tRscript calibrate_tranches_BC.R hy19 7yr: will run hy19 7yr from the beginning\n")
cat("\tRscript calibrate_tranches_BC.R -c conf.yaml: will run the list of indices provided in conf.yml\n")
quit("no")
}
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
## default values
updateflag <- FALSE
tenor <- "5yr"
if(args[1]=="-u"){
updateflag <- TRUE
if(length(args) >=2 && args[2]=="-c"){
if(length(args) < 3){
stop("Please provide a config file")
}else{
library(yaml)
runs <- yaml.load_file(file.path(root.dir,"code", "etc", args[3]))
}
}else{
if(length(args) >= 2){
index.name <- args[2]
}else{
stop("Please provind an index name")
}
if(length(args) >= 3){
tenor <- args[3]
}
}
}else if(args[1]=="-c"){
if(length(args) < 2){
stop("Please provide a config file")
}else{
library(yaml)
runs <- yaml.load_file(file.path(root.dir,"code", "etc", args[2]))
}
}else{
index.name <- args[1]
if(length(args) >= 2){
tenor <- args[2]
}
}
if(!exists("runs")){
runs <- list(name=index.name, tenor=tenor)
}
options(stringsAsFactors = FALSE)
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE)
source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "creditIndex.R"))
library(lossdistrib)
for(i in seq_along(runs$name)){
index.name <- runs$name[i]
tenor <- runs$tenor[i]
filename <- file.path(root.dir,"Tranche_data","Runs",
paste(index.name,tenor,"csv",sep="."))
if(updateflag){##ghetto way of getting the last row of the file
runfile <- read.csv(filename)
begin.date <- as.Date(runfile[nrow(runfile),1])+1
}else{
begin.date <- switch(index.name,
hy10 = as.Date("2014-08-11"),
hy15 = as.Date("2014-06-10"),
hy17 = as.Date("2013-01-01"),
hy19 = as.Date("2013-02-01"),
hy21 = as.Date("2013-10-04"),
ig9 = as.Date("2013-01-01"),
ig19 = as.Date("2013-05-01"),
ig21 = as.Date("2013-09-26"))
}
alldates <- seq(begin.date, Sys.Date()-1, by="1 day")
if(index.name=="ig19"){
alldates <- alldates[alldates!=as.Date("2013-11-29")] ##people are lazy the day after Thanksgiving
}
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
cat("calibrating", index.name, tenor, "for", as.character(tradedate), "\n", sep=" ")
exportYC(tradedate)
index <- creditIndex(index.name, tenor)
index <- set.index.desc(index, tradedate)
## calibrate the single names curvesca
index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
temp <- BCindex.pv(index)
index$EL <- -temp$pl
index$duration <- temp$cl-cdsAccrued(tradedate, 1)
index$theta <- indextheta(index, tradedate)
## calibrate the tranches using base correlation
index$rho <- build.skew(index)
## compute various risk numbers
index$tranches <- cbind(index$tranches, BCtranche.delta(index))
index$tranches <- cbind(index$tranches, BCtranche.theta(index, method="TLP"))
index$tranches$corr01 <- BCtranche.corr01(index)
temp <- BCtranche.pv(index, protection=TRUE)
index$tranches$duration <-
(temp$cl-cdsAccrued(tradedate, index$tranches$running))/index$tranches$running
index$tranches$EL <- -temp$pl*diff(index$K)
## save the index object
save(index, file=file.path(root.dir, "Tranche_data", "Objects",
paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
## save risk numbers into the csv file
if(!updateflag && j==1){
cat(csvheaders(index), "\n", file=filename)
}
cat(tocsv(index), "\n", file=filename, append=TRUE)
cat("done\n")
}
}
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