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library("RQuantLib")
today <- function() {
Sys.Date()
}
convertTenor <- function(tenor) {
## convert tenors of the form '1y', '2y', etc...
## and '1m', '2m'... into yearfrac
month <- regexpr("([0-9]+)m", tenor, perl = T)
year <- regexpr("([0-9]+)y", tenor, perl = T)
if ( month != -1 ) {
a <- attr(month, "capture.start")
b <- a + attr(month, "capture.length") - 1
l <- as.numeric(substr(tenor, a, b))
return ( 30 * l )
}else if ( year != -1) {
a <- as.numeric(attr(year, "capture.start"))
b <- a + attr(year, "capture.length") - 1
l <- as.numeric(substr(tenor, a,b))
return ( 365 * l )
}else{
stop("format not recognized")
}
}
addTenor <- function(date, tenor) {
month <- regexpr("([0-9]+)m", tenor, perl = T)
year <- regexpr("([0-9]+)y", tenor, perl = T)
if ( month != -1 ) {
a <- attr(month, "capture.start")
b <- a + attr(month, "capture.length") - 1
l <- as.numeric(substr(tenor, a, b))
return ( seq(date, length=2, by=paste(l,"month"))[2])
}else if ( year != -1) {
a <- as.numeric(attr(year, "capture.start"))
b <- a + attr(year, "capture.length") - 1
l <- as.numeric(substr(tenor, a,b))
return ( seq(date, length=2, by=paste(l,"year"))[2] )
}else{
stop("format not recognized")
}
}
creditSchedule <- function(startdate, enddate) {
## generate a credit coupon payment schedule from startdate
## to enddate based on the IMM dates
month <- c(3, 6, 9, 12)
day <- 20
startmonth <- as.numeric(format(startdate, "%m"))
startday <- as.numeric(format(startdate, "%d"))
startyear <- as.numeric(format(startdate, "%Y"))
if (startday > day){
followingmonth <- which(month>startmonth)
if (length(followingmonth)==0){
startyear <- startyear+1
startmonth <- 3
}else{
startmonth <- followingmonth[1]
}
}else{
startmonth <- which(month>=startmonth)[1]
}
newdate <- as.Date(paste(startyear, month[startmonth], day, sep="-"))
seq(newdate, enddate, by="3 months")
}
couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, currentcoupon,
margin, startdate=today()){
## computes the coupon schedule
## inputs:
## nextpaydate: first payment date of the coupon schedule
## maturity: last payment date of the schedule
## frequency: letter specifying the frequency amon "Q", "M", "B", or "S"
## if startdate is provided, this generates the forward coupon schedule starting from that date.
bystring <- switch(frequency,
Q = "3 months",
M = "1 month",
B = "2 months",
S = "6 months",
A = "12 months")
if(is.null(bystring)){
stop("unknown frequency")
}
if(is.null(nextpaydate)){
dates <- rev(seq(maturity, today(), by =paste0("-", bystring)))
}else{
dates <- seq(nextpaydate, maturity, by = bystring)
}
if(dates[length(dates)]<maturity){
dates <- c(dates, maturity)
}
dates <- dates[ dates >= today()]
DC <- switch(frequency,
S = DiscountCurve(L6m$params, L6m$tsQuotes, yearFrac(L6m$params$tradeDate, dates)),
Q = DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, dates)),
M = DiscountCurve(L1m$params, L1m$tsQuotes, yearFrac(L1m$params$tradeDate, dates)),
B = DiscountCurve(L2m$params, L2m$tsQuotes, yearFrac(L2m$params$tradeDate, dates)),
A = DiscountCurve(L12m$params, L12m$tsQuotes, yearFrac(L12m$params$tradeDate, dates)))
if(coupontype=="FLOAT" && !is.na(margin)){ #if is.na(margin) probably letter of credit
coupons <- pmax(currentcoupon, DC$forwards + margin)
}else{
coupons <- rep(currentcoupon, length(dates))
}
coupons <- diff(c(0, yearFrac(startdate, dates, "act/360"))) * coupons
if(startdate!=DC$params$tradeDate){
df <- cumprod(exp(-DC$forwards * diff(c(0, yearFrac(startdate, dates)))))
}else{
df <- DC$discounts
}
return( data.frame(dates=dates, coupons=coupons, df = df) )
}
nextIMMDate <- function(date) {
startyear <- as.numeric(format(date, "%Y"))
nextimmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=5, by="3 months")
return( nextimmdates[nextimmdates >= date][1] )
}
cdsMaturity <- function(tenor, date=today()){
enddate <- addTenor(date, tenor)
month <- c(3, 6, 9, 12)
day <- 20
startmonth <- as.numeric(format(enddate, "%m"))
startday <- as.numeric(format(enddate, "%d"))
startyear <- as.numeric(format(enddate, "%Y"))
if (startday > day) {
followingmonth <- which(month>startmonth)
if (length(followingmonth)==0){
startyear <- startyear+1
startmonth <- 3
}else{
startmonth <- followingmonth[1]
}
}else{
startmonth <- which(month >= startmonth)[1]
}
return( as.Date(paste(startyear, month[startmonth], day, sep="-")))
}
yearFrac <- function(date1, date2, daycount="act/365") {
switch(daycount,
"act/365"=as.numeric( (as.Date(date2) - as.Date(date1)) / 365),
"act/360"=as.numeric( (as.Date(date2) - as.Date(date1)) / 360) )
}
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