1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
|
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
buildSC <- function(quote, cs, cdsdates){
SC <- new("creditcurve",
recovery=quote$recovery/100,
startdate=tradedate,
issuer=as.character(quote$ticker))
quotes <- data.frame(maturity=cdsdates, upfront = as.numeric(quote[4:8]) * 0.01,
running=rep(quote$running*1e-4, 5))
SC@curve <- cdshazardrate(quotes, SC@recovery, tradedate, cs)
return( SC )
}
get.cdsSchedule <- function(tradedate){
cdsdates <- as.Date(character(0))
for(tenor in paste0(1:5, "y")){
cdsdates <- c(cdsdates, cdsMaturity(tenor, date=tradedate))
}
return( list(cs=couponSchedule(IMMDate(tradedate), cdsdates[length(cdsdates)], "Q", "FIXED",
1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) )
}
set.singlenamesdata <- function(index, tradedate){
singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
paste0(index$name, "_singlenames_", tradedate, ".csv")))
nondefaulted <- singlenames.data[!singlenames.data$ticker %in% index$defaulted,]
cds.cs <- get.cdsSchedule(tradedate)
index$portfolio <- list()
for(i in 1:nrow(nondefaulted)){
index$portfolio <- c(index$portfolio, buildSC(nondefaulted[i,], cds.cs$cs, cds.cs$cdsdates))
}
index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio))
index$recov <- sapply(index$portfolio, attr, "recovery")
return( index )
}
set.tranchedata <- function(index, tradedate){
index$tranche.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
paste0(index$name, "_tranches_", tradedate, ".csv")), header=TRUE)
index$indexref <- index$tranche.data$bidRefPrice[1]/100
index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", 0.05, 0, tradedate,
IMMDate(tradedate, "prev"))
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,]]]@issuer, "has negative probability, check single names data"))
}
K <- c(0, 0.15, 0.25, 0.35, 1)
index$K <- adjust.attachments(K, index$loss, index$factor)
index$tranche.upf <- index$tranche.data$Mid
if("Coupon" %in% names(index$tranche.data)){
index$tranche.running <- index$tranche.data$Coupon
}else{
index$tranche.running <- rep(0.05, nrow(index$tranche.data))
}
## 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...
## calibrate the tranches using base correlation
index$quotes <- cumsum(diff(index$K) *
(1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)))
return(index)
}
|
