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## parse command line arguments
code.dir <- Sys.getenv("CODE_DIR")
tranchedata.dir <- file.path(Sys.getenv("DATA_DIR"), "..", "Tranche_data")
library(logging)
basicConfig()
removeHandler('basic.stdout')
addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_BC.log"))
if(!interactive()){
library(optparse)
option_list <- list(
make_option(c("-u", "--update"), action="store_true", default=FALSE,
help="Update from the last run date [default %default]"),
make_option(c("-c", "--config"), metavar="config_file",
help="Runs the list of indices provided in CONFIG_FILE"),
make_option(c("-i", "--index"), help="Index name we want to run"),
make_option("--tenor", default="5yr", help="Tenor we want to run [default %default]"),
make_option("--until", default=Sys.Date()-1, type="character",
help="last date to run [default %default]"))
args <- parse_args(OptionParser(option_list=option_list))
## default values
if(is.null(args$config)){
if(is.null(args$index)){
stop("Please provide an index name")
}
config <- list(runs=list(c(args$index, args$tenor)))
}else{
config <- yaml::yaml.load_file(file.path(code.dir, "etc", args$config))
}
} else {
## args <- list(config=yaml::yaml.load_file(file.path(root.dir,"code", "etc", "runs.yml")),
## until = Sys.Date()-1,
## update = TRUE)
args <- list(update=TRUE, until = Sys.Date()-1)
config <- list(runs=list(c("hy21", "3yr")))
options(error=recover)
}
options(stringsAsFactors = FALSE)
source(file.path(code.dir, "R", "yieldcurve.R"))
source(file.path(code.dir, "R", "optimization.R"))
source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE)
source(file.path(code.dir, "R", "serenitasdb.R"))
source(file.path(code.dir, "R", "creditIndex.R"))
source(file.path(code.dir, "R", "tranche_functions.R"))
for(run in config$runs){
index.name <- run[1]
tenor <- run[2]
filename <- file.path(tranchedata.dir, "Runs",
paste(tolower(index.name), tenor, "csv",sep="."))
## if(!file.exists(filename)){
## args$update <- FALSE
## }
if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))){
}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"),
hy23 = as.Date("2014-10-16"),
hy25 = as.Date("2015-10-01"),
hy27 = as.Date("2016-10-04"),
ig9 = as.Date("2013-01-01"),
ig19 = as.Date("2013-05-01"),
ig21 = as.Date("2013-09-26"),
ig23 = as.Date("2014-10-14"),
ig25 = as.Date("2015-09-22"),
ig27 = as.Date("2016-09-27"),
xo22 = as.Date("2014-10-20"),
xo24 = as.Date("2015-09-28"),
xo26 = as.Date("2016-09-27"),
eu9 = as.Date("2014-09-15"),
eu19 = as.Date("2013-04-03"),
eu21 = as.Date("2014-03-27"),
eu22 = as.Date("2014-10-22"),
eu24 = as.Date("2015-09-23"),
eu26 = as.Date("2016-09-27"))
}
if(begin.date > as.Date(args$until)){
next
}
alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){
curr <- "EUR"
cal <- Calendar$new("TARGET")
}else{
curr <- "USD"
cal <- Calendar$new("UnitedStates/GovernmentBond")
}
bus.dates <- alldates[cal$isBusinessDay(alldates)]
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
exportYC(tradedate, curr)
index <- creditIndex(index.name, tenor)
index <- set.index.desc(index, tradedate)
## calibrate the single names curves
index <- set.singlenamesdata(index, tradedate)
index <- tryCatch(set.tranchedata(index, tradedate),
error = function(e) logerror(e$message))
if(is.null(index)) {
loginfo(paste("skipping", index.name, tenor))
next
}
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, tryCatch(BCtranche.theta(index, method="TLP"),
error = function(e) {
logerror(e$message)
n <- nrow(index$tranches)
data.frame(theta=rep(NA, n),
fw.delta=rep(NA, n)) }))
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$K)
## save the index object
save(index, file=file.path(tranchedata.dir, "Objects",
paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
## save risk numbers into the csv file
if(!args$update && j==1){
cat(csvheaders(index), sep="\n", file=filename)
}
cat(tocsv(index), sep="\n", file=filename, append=TRUE)
r <- with(tosql(index),
tryCatch(dbGetQuery(serenitasdb, stmt, params),
error = function(e) logerror(e$message)))
loginfo("done")
}
}
try(dbDisconnect(serenitasdb), TRUE)
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