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library("RQuantLib")
library("stringr")
today <- function() {
Sys.Date()
}
addBusDay <- function(tradedate = Sys.Date(), n.days = 3, calendar = "UnitedStates/GovernmentBond"){
cal <- Calendar$new(calendar)
cal$advance(dates=tradedate, n=n.days, timeUnit=0)
}
convertTenor <- function(tenor) {
## convert tenors of the form '1y', '2y', etc...
## and '1m', '2m'... into yearfrac
match <- str_match(tenor, "([0-9]+)(m|y)")
if ( match[3] == "m" ) {
return ( 30 * as.integer(match[2]) )
}else if ( match[3]=="y") {
return ( 365 * as.integer(match[2]) )
}else{
stop("format not recognized")
}
}
addTenor <- function(date, tenor) {
match <- str_match(tenor, "([0-9]+)(m|y)")
if ( match[3]=="m") {
return ( seq(date, length=2, by=paste(match[2],"month"))[2])
}else if ( match[3]=="y") {
return ( seq(date, length=2, by=paste(match[2],"year"))[2] )
}else{
stop("format not recognized")
}
}
couponSchedule <- function(nextpaydate=NULL, maturity,
frequency=c("Quarterly", "Monthly", "Bimonthly", "Semiannual", "Annual"),
coupontype, currentcoupon,
margin, tradedate=Sys.Date(), prevpaydate=tradedate){
## 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 between "Q", "M", "B", "S" or "A"
## if startdate is provided, we generate the forward coupon schedule starting from that date.
frequency <- match.arg(frequency)
bystring <- switch(frequency,
Quarterly = "3 months",
Monthly = "1 month",
Bimonthly = "2 months",
Semiannual = "6 months",
Annual = "12 months")
if(is.null(bystring)){
stop("unknown frequency")
}
if(is.null(nextpaydate)){
dates <- rev(seq(maturity, tradedate, by =paste0("-", bystring)))
}else{
if(nextpaydate>maturity){
dates <- maturity
}else{
## weird bug with non integer dates, hence the as.Date(as.POSIXlt(.)) trick
dates <- seq(nextpaydate, as.Date(as.POSIXlt(maturity)), by = bystring)
}
}
dates <- dates[ dates >= tradedate]
## we want to make sure maturity is last date
if(length(dates)==0 || dates[length(dates)] < maturity){
dates <- c(dates, maturity)
}
unadj.dates <- dates
if(length(dates) > 1){
cal <- Calendar$new("UnitedStates/GovernmentBond")
dates[-length(dates)] <- cal$adjust(dates[-length(dates)])
}
names(dates) <- NULL
period <- switch(frequency,
Semiannual = "6m",
Quarterly = "3m",
Monthly = "1m",
Bimonthly = "2m",
Annual = "1y")
forwards <- YC$forwardRate(dates, period)
if(is.na(coupontype) || (toupper(coupontype)=="FLOAT" && !is.na(margin))){
## if is.na(margin) probably letter of credit
## we floor the coupon at the current gross rate
coupons <- pmax(currentcoupon, forwards + margin)
}else{
coupons <- rep(currentcoupon, length(dates))
}
yf <- diff(c(0, yearFrac(prevpaydate, dates, "act/360")))
#the last accrued period includes the maturity date
yf[length(yf)] <- yf[length(yf)]+1/360
coupons <- yf * coupons
if(tradedate != YC$referenceDate){
df <- cumprod(exp(-forwards * diff(c(0, yearFrac(tradedate, dates)))))
}else{
df <- YC$discount(dates)
}
return( data.frame(dates=dates, unadj.dates = unadj.dates, coupons=coupons, df = df) )
}
IMMDate <- function(tradedate, type=c("next", "prev"), noadj=FALSE) {
## returns the next IMM date for a CDS, adjusted for settlement
## or previous one if type="prev"
## protection seems to be assumed at close of business day
## so if we trade on Friday, we're protected during the week-end
## matches with Bloomberg calculator
type <- match.arg(type)
start.protection <- tradedate + 1
startyear <- as.numeric(format(start.protection, format="%Y"))
startyear <- startyear - 1
nextimmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=9, by="3 months")
if(type == "next"){
val <- nextimmdates[nextimmdates >= start.protection][1]
}else if(type == "prev"){
temp <- nextimmdates[nextimmdates < start.protection]
val <- temp[length(temp)]
}else{
stop("incorrect type")
}
if(!noadj){
cal <- Calendar$new("UnitedStates/GovernmentBond")
cal$adjust(val)
}
names(val) <- NULL
return( val )
}
IMMDate2 <- function(tradedate, tenor, noadj=FALSE) {
## returns the next IMM date for a CDS, adjusted for settlement
## or previous one if type="prev"
## protection seems to be assumed at close of business day
## so if we trade on Friday, we're protected during the week-end
## matches with Bloomberg calculator
start.protection <- tradedate + 1
startyear <- as.numeric(format(start.protection, format="%Y"))
startyear <- startyear - 1
previmmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=5, by="6 months")
## firstimmdate
temp <- previmmdates[previmmdates < start.protection]
firstimmdate <- temp[length(temp)]
maturity <- addTenor(addTenor(firstimmdate, tenor), "3m")
if(!noadj){
cal <- Calendar$new("UnitedStates/GovernmentBond")
maturity <- cal$adjust( maturity )
}
names(maturity) <- NULL
return( maturity )
}
cdsAccrued <- function(tradedate, coupon){
start.protection <- tradedate + 1
return (yearFrac(IMMDate(tradedate, "prev"), start.protection, "act/360") * coupon)
}
cdsMaturity <- function(tenor, date=Sys.Date()){
## before December 20, 2015, single name cds rolled quarterly
if(date < as.Date("2015-12-20")){
r <- IMMDate(addTenor(date, tenor))
}else{
r <- IMMDate2(date, tenor)
}
names(r) <- tenor
return ( r )
}
yearFrac <- function(date1, date2, daycount=c("act/365", "act/360")) {
daycount <- match.arg(daycount)
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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