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library(dplyr)
library(tidyr)
library(ggplot2)
index.quotes <- tbl(src_postgres("serenitasdb", "debian", 5432, "serenitas_user"), "index_quotes")
##ig26
ig26 <- index.quotes %>%
filter(series == 26, index == 'IG') %>%
select(date, tenor, closeprice, modelprice, theta) %>%
arrange(desc(date))
ig26.close <- ig26 %>%
select(date, tenor, closeprice) %>%
collect() %>%
spread(tenor, closeprice)
ig26.close <- ig26.close %>%
mutate(package = 3*`5yr`-2*`3yr`-`10yr`,
pnl = c(0, diff(package)),
cumpnl = cumsum(pnl))
ig26.close %>%
ggplot(aes(x=date)) + geom_line(aes(y=pnl))
ig26.close %>%
ggplot(aes(x=date)) + geom_line(aes(y=cumpnl))
##ig25
ig25 <- index.quotes %>%
filter(series == 25, index == 'IG', tenor %in% c("3yr", "5yr", "10yr")) %>%
select(date, tenor, closeprice, modelprice, theta) %>%
arrange(desc(date))
ig25.close <- ig25 %>%
select(date, tenor, closeprice) %>%
collect() %>%
spread(tenor, closeprice)
ig25.theta <- ig25 %>%
select(date, tenor, theta) %>%
collect() %>%
spread(tenor, theta) %>%
mutate(theta = 3*`5yr`-2*`3yr`-`10yr`) %>%
select(date, theta)
ig25.close <- ig25.close %>%
mutate(package = 3*`5yr`-2*`3yr`-`10yr`,
r = (package-lag(package))/lag(package)) %>%
select(date, r) %>% left_join(ig25.theta)
ig25.theta <- ig25.theta %>%
mutate(package = 3*`5yr`-2*`3yr`-`10yr`)
ig25.close %>%
ggplot(aes(x=date)) + geom_line(aes(y=package-first(package)))
ig25.close %>%
ggplot(aes(x=date)) + geom_line(aes(y=cumpnl))
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