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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"))
source(file.path(root.dir, "code", "R", "mlpdb.R"))
library(lossdistrib)
n.int <- 250
attach(GHquad(n.int))
Ngrid <- 201
alldates <- seq(as.Date("2014-01-01"), as.Date("2014-01-05"), by="1 day")
aux <- function(rho, index, N, K, quote){
temp <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho, Z, w, N)
return(abs(tranche.pv(temp$L, temp$R, index$cs, 0, K) + quote))
}
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(index.name in c("hy19", "hy21"){
rhomat <- c()
deltasmat <- c()
gammasmat <- c()
for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
exportYC(tradedate)
index <- load.index(index.name, tradedate, "5yr")
## calibrate the single names curves
index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
## calibrate the tranches using base correlation
dT <- index$cs$coupons/index$spreadref
rhovec <- c(0)
for(j in 1:(length(index$K)-1)){
##use the current tranche coupon
index$cs$coupons <- dT*index$tranche.running[j]
## we compute the 0-index$K[j+1] equivalent quote using the coupon of the jth quote
if(j==1){
q <- index$quotes[j]*index$K[j+1]
}else{
q <- BCtranche.pv(index, 0, index$K[j], 0, rhovec[j], Z, w, Ngrid, TRUE)$bp * index$K[j]+
index$quotes[j]*(index$K[j+1]-index$K[j])
}
rho <- optimize(aux, interval=c(0,1), index=index, N=Ngrid, K=index$K[j+1], quote=q)$minimum
rhovec <- c(rhovec, rho)
}
index$rho <- rhovec
index$cs$coupons <- dT*index$spreadref
temp <- BCtranche.delta(index, Z, w, Ngrid, tradedate)
deltasmat <- rbind(deltasmat, temp$deltas)
gammasmat <- rbind(gammasmat, temp$gammas)
cl <- c()
for(j in 1:(length(index$K)-1)){
cl <- c(cl, BCtranche.pv(index, index$K[j], index$K[j+1], rhovec[j], rhovec[j+1], Z, w, Ngrid)$cl)
}
duration <- (cl - cdsAccrued(tradedate, index$spreadref))/index$spreadref
rhomat <- rbind(rhomat, rhovec)
cat(i, "\n")
}
}
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