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library(XML)
source("cds_utils.R")
source("yieldcurve.R")
source("cds_functions_generic.R")
currency <- "USD"
basedir <- "/home/share/CorpCDOs/grids"
download.grids <- function(currency=currency, basedir=basedir){
address <- "http://www.cdsmodel.com/cdsmodel/assets/cds-model/test-grids/"
grids <- as.character(readHTMLTable(paste0(address, currency), skip.rows=c(1,2,23))[[1]]$V2)
for(f in grids){
download.file(paste0(address, currency, "/", f),
quiet = TRUE,
destfile=file.path(basedir, f))
}
}
grids <- dir(basedir)
f <- grids[1]
filename <- sub("\\.[^.]*$", ".csv", f)
con <- unz(file.path(basedir, f), filename)
data <- read.csv(con)
data[,"Trade.Date"] <- as.Date(strptime(data[,"Trade.Date"], format="%Y%m%d"))
data[,"Maturity.Date"] <- as.Date(strptime(data[,"Maturity.Date"], format="%Y%m%d"))
for(i in 1:nrow(data)){
tradedate <- data[i, "Trade.Date"]
exportYC(tradedate)
coupon <- data[i, "Coupon"]*1e-4
spread <- data[i, "Quoted.Spread"]*1e-4
R <- data[i, "Recovery"]
maturity <- data[i, "Maturity.Date"]
cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,
"Q", "FIXED", coupon, 0, tradedate, IMMDate(tradedate, "prev"))
h <- spread/(1-R)
sc <- new("flatcurve", h = h)
startdate <- tradedate + 1
cds.pv <- couponleg(cs, sc, startdate) - defaultleg(cs, sc, R, startdate)
}
couponleg2 <- function(h, cs){
T <- yearFrac(startdate, cs$unadj.dates)
PD <- exp(-h*T)
PDshift <- c(1, PD)
DT <- diff(c(0, T))
crossprod(cs$df*DT, PD)-crossprod(DFmid*DT/2, diff(PDshift))
}
protectionleg2 <- function(cs, h, R, startdate){
T <- yearFrac(startdate, cs$dates)
B <- exp(-h*T) * cs$df
f <- -diff(c(0, log(cs$df)))/diff(c(0, T))
return( -(1-R)*crossprod(diff(c(1, B)), h/(f+h)) )
}
defaultleg(cs, sc, R, startdate)
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