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#!/usr/bin/Rscript
require(methods)
library(logging)
args <- commandArgs(trailingOnly=TRUE)
basicConfig()
removeHandler('basic.stdout')
addHandler(writeToFile, file=file.path(Sys.getenv("SERENITAS_LOG_DIR"), "calibrate_tranches_MF.log"))
##options(warn=2)
data.dir <- file.path(Sys.getenv("SERENITAS_BASE_DIR"), "Scenarios", "Calibration")
source("yieldcurve.R")
source("optimization.R")
source("calibration.R")
source("serenitasdb.R")
source("creditIndex.R")
source("tranche_functions.R")
##figure out the tradedate
tradedate <- if(length(args) >= 1) as.Date(args[1]) else addBusDay(Sys.Date(), -1)
exportYC(tradedate)
## calibrate HY29
## calibrate the single names curves
index <- creditIndex("hy37", "5yr")
index <- set.index.desc(index, tradedate)
index <- set.singlenamesdata(index, tradedate)
## load tranche data
index <- set.tranchedata(index, tradedate)
##calibrate by modifying the factor distribution
index$w.mod <- build.MFdist(index)
dist <- MFlossdist(index)
write.table(data.frame(Z=index$Z, w=index$w.mod),
file=file.path(data.dir,
paste0("calibration-", tradedate, ".csv")),
col.names=T, row.names=F, sep=",")
save(index, dist, file = file.path(data.dir,
paste0("marketdata-", tradedate, ".RData")),
compress="xz")
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