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source("cds_functions_generic.R")
buildSC <- function(quote, cs, cdsdates){
SC <- new("creditcurve",
recovery=quote$recovery,
startdate=tradedate,
issuer=quote$ticker)
quotes <- data.frame(maturity=cdsdates, upfront = quote$upfront,
running=quote$running)
SC@curve <- cdshazardrate(quotes, SC@recovery, tradedate, cs)
return( SC )
}
get.cdsSchedule <- function(tradedate, indexmaturity){
cdsdates <- as.Date(character(0))
for(tenor in paste0(c(1:5, 7,10), "y")){
newdate <- cdsMaturity(tenor, date=tradedate)
cdsdates <- c(cdsdates, newdate)
if(newdate>=indexmaturity){
break
}
}
return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], "Q", "FIXED",
1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) )
}
set.singlenamesdata <- function(index, tradedate){
cds.cs <- get.cdsSchedule(tradedate, index$maturity)
quotes <- get.indexquotes(index$name, tradedate)
tenor <- names(cds.cs$cdsdates)
index$portfolio <- list()
for(i in seq_along(quotes$tickers)){
sane.quotes <- which(yearFrac(tradedate+2,cds.cs$cdsdates)*quotes$spread_curve[i, tenor]*1e-4+
quotes$upfront_curve[i, tenor] * 0.01>0)
quote <- list(ticker = quotes$ticker[i],
running = quotes$spread_curve[i, tenor[sane.quotes]] * 1e-4,
upfront = quotes$upfront_curve[i, tenor[sane.quotes]] * 0.01,
recovery = as.double(quotes$recovery[i,tenor[sane.quotes]][1]))
index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates[sane.quotes]))
}
index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio))
index$recov <- sapply(index$portfolio, attr, "recovery")
return( index )
}
set.tranchedata <- function(index, tradedate){
temp <- get.tranchequotes(index$name, index$tenor, tradedate)
index$quotes <- data.frame(spread=temp$indexrefspread[1]*1e-4, maturity=index$maturity)
if(index$name=="ig19" || index$name=="ig21"){
index$quotes$spread <- 0.01
}
index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1,
0, tradedate, IMMDate(tradedate, "prev"))
if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){
index$quotes$price <- temp$indexrefprice[1]/100
}else{
##rewrite as a snac function
sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery))
startdate <- tradedate + 1
cds.pv <- couponleg(index$cs, sc, startdate)*index$quotes$spread -
defaultleg(index$cs, sc, index$recovery, startdate)
index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1])
}
index$portfolio <- tweakcurves(index, tradedate)$portfolio
index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates))
negprob <- which(index$defaultprob<0, arr.ind=T)
if(nrow(negprob)>0){
stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data"))
}
K <- c(0, temp$detach/100)
index$K <- adjust.attachments(K, index$loss, index$factor)
index$tranche.upf <- temp$trancheupfront
index$tranche.running <- temp$trancherunning*1e-4
## compute dirty protection price
if(length(grep("hy", index$name, ignore.case=TRUE))>0){
index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)
}else{
index$tranche.quotes <- index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)
}
return( index )
}
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