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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
library(lossdistrib)
n.int <- 250
gh <- GHquad(n.int)
Ngrid <- 201
creditIndex <- function(name, tenor="5yr", Z=gh$Z, w=gh$w, N=Ngrid) {
## constructor for the index object
## FIXME: figure out what to do with the recovery
r <- list(name=name, tenor=tenor, Z=Z, w=w, N=N, recovery=0.4)
return( structure(r, class="creditIndex") )
}
`$<-.creditIndex` <- function(x, name, value){
unclass(x)
x[[name]] <- value
class(x) <- "creditIndex"
return(x)
}
c.creditIndex <- function(..., recursive = FALSE){
structure(c(unlist(lapply(list(...), unclass), recursive=FALSE)), class="creditIndex")
}
print.creditIndex <- function(index){
cat(index$name, index$tenor, as.character(index$tradedate), "\n\n")
if("maturity" %in% names(index)){
cat("maturity:", as.character(index$maturity), "\n")
cat("factor:", index$factor, "\n")
cat("losstodate:", index$loss, "\n\n")
}
if("quotes" %in% names(index)){
cat("Index ref:", index$quotes$price*100, "\n")
cat("Index basis:", index$basis, "\n\n")
}
row <- paste(index$K.orig[-length(index$K.orig)]*100, index$K.orig[-1]*100, sep="-")
##mapping to some prettier names
colnames.toprint <- c("tranche.upf", "tranche.running", "thetas", "deltas",
"forward.deltas", "gammas", "rho", "corr01")
short.names <- c("upfront", "running", "theta", "delta", "fw.delta","gamma", "rho", "corr01")
names(short.names) <- colnames.toprint
colnames.available <- names(index)[names(index) %in% colnames.toprint]
##FIXME: need to check if it's bottom-up or top-down
index$rho <- index$rho[-1]
df <- data.frame(index[colnames.available], row.names=row)
names(df) <- short.names[colnames.available]
print(df, digits=4)
}
load.index <- function(name, tenor, date){
## load a creditIndex which was previously saved
load(file.path(root.dir, "Tranche_data", "Objects",
paste0(paste(name, tenor, date, sep="_"),".RData")))
return(index)
}
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