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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"))
source(file.path(root.dir, "code", "R", "mlpdb.R"))
library(lossdistrib)
n.int <- 250
list2env(GHquad(n.int), envir=parent.frame())
Ngrid <- 201
alldates <- seq(as.Date("2014-03-04"), as.Date("2014-01-05"), by="1 day")
aux <- function(rho, index, K, quote, spread){
temp <- BCtranche.legs(index, K, rho)
return(abs(temp$pl+temp$cl*spread + quote))
}
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(index.name in c("hy19", "hy21", "ig19", "ig21")){
rhomat <- c()
deltasmat <- c()
gammasmat <- c()
for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
exportYC(tradedate)
index <- load.index(index.name, tradedate, "5yr", Z, w, Ngrid)
## calibrate the single names curves
index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
## calibrate the tranches using base correlation
rhovec <- c(0)
for(j in 1:(length(index$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)
deltasmat <- rbind(deltasmat, temp$deltas)
gammasmat <- rbind(gammasmat, temp$gammas)
temp <- BCtranche.pv(index)
duration <- (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
rhomat <- rbind(rhomat, rhovec)
cat(i, "\n")
}
assign(index.name, index)
}
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