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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
load.index("hy21")
tradedate <- as.Date("2014-04-16")
MarkitData <- getMarkitIRData(tradedate)
L1m <- buildMarkitYC(MarkitData, dt = 1/12)
L2m <- buildMarkitYC(MarkitData, dt = 1/6)
L3m <- buildMarkitYC(MarkitData)
L6m <- buildMarkitYC(MarkitData, dt = 1/2)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
setCalendarContext("TARGET")
## calibrate HY21
## calibrate the single names curves
singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
paste0("hy21_singlenames_", tradedate, ".csv")))
nondefaulted <- singlenames.data[!singlenames.data$ticker %in% hy21$defaulted,]
bps <- 1e-4
cdsdates <- as.Date(character(0))
for(tenor in paste0(1:5, "y")){
cdsdates <- c(cdsdates, cdsMaturity(tenor, date=tradedate))
}
hy21portfolio <- c()
cs <- couponSchedule(IMMDate(tradedate), cdsdates[length(cdsdates)], "Q", "FIXED",
1, tradedate, IMMDate(tradedate, "prev"))
for(i in 1:nrow(nondefaulted)){
SC <- new("creditcurve",
recovery=nondefaulted$recovery[i]/100,
startdate=tradedate,
issuer=as.character(nondefaulted$ticker[i]))
quotes <- data.frame(maturity=cdsdates, upfront = as.numeric(nondefaulted[i,4:8])*0.01,
running=rep(nondefaulted$running[i]*bps, 5))
SC@curve <- cdshazardrate(quotes, nondefaulted$recovery[i]/100, tradedate, cs)
hy21portfolio <- c(hy21portfolio, SC)
}
issuerweights <- rep(1/length(hy21portfolio), length(hy21portfolio))
hy21$indexref <- 1.0725
temp <- tweakcurves(hy21portfolio, hy21, tradedate)
hy21portfolio.tweaked <- temp$portfolio
cs <- couponSchedule(IMMDate(tradedate), hy21$maturity,"Q", "FIXED", 0.05, 0, tradedate,
IMMDate(tradedate, "prev"))
SurvProb <- SPmatrix(hy21portfolio.tweaked, length(cs$dates))
## load common parameters
K <- c(0, 0.05, 0.1, 0.15, 0.25, 0.35, 1)
Kmodified <- adjust.attachments(K, hy21$loss, hy21$factor)
tranche.upf <- c(15.2, 62.125, 86.625, 102.875, 113.4375, 119.0375)
tranche.running <- rep(0.05, 6)
Ngrid <- 2 * nrow(nondefaulted)+1
recov <- sapply(hy21portfolio.tweaked, attr, "recovery")
##calibrate tranches using base correlation
n.int <- 250
n.credit <- length(hy21portfolio)
quadrature <- gauss.quad.prob(n.int, "normal")
w <- quadrature$weights
Z <- quadrature$nodes
defaultprob <- 1 - SurvProb
dK <- diff(Kmodified)
acc <- cdsAccrued(tradedate, 0.05)
##convert the quotes
## - we convert to protection terms x->1-x/100
## - we remove accrued x->x-acc
## - we weight it by the size of the tranche
## - we take the cumsum to convert to 0-5, 0-10, 0-15 quotes, etc...
quotes <- cumsum(dK * (1-tranche.upf/100-acc))
## calibrate the tranches using base correlation
rhovec <- c()
f <- function(rho, ...){
temp <- BClossdistC(defaultprob, issuerweights, recov, rho, Z, w, Ngrid)
return(abs(tranche.pv(temp$L, temp$R, cs, 0, Kmodified[i]) + q))
}
rhovec <- c()
for(i in 2:length(Kmodified)){
q <- quotes[i-1]
rho <- optimize(f, interval=c(0,1),
defaultprob, issuerweights, recov, Ngrid, Kmodified, cs, q)$minimum
rhovec <- c(rhovec, rho)
}
rhovec <- c(0, rhovec)
##compute deltas by blipping the curves
portfolioplus <- tweakportfolio(hy21portfolio.tweaked, 1e-4)
defaultprobplus <- 1 - SPmatrix(portfolioplus, length(cs$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, 6)
for(i in 1:6){
deltas[i] <- BCtranche.delta(hy21portfolio.tweaked, hy21, 0.05, K[i], K[i+1], rhovec[i], rhovec[i+1], Z, w, Ngrid, tradedate)
}
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