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library(Rbbg)
setwd("/home/share/CorpCDOs/data/bloomberg/CDS")
bbgConn <- blpConnect(host='192.168.1.108', port='8194')
ig.indices <- c("21", "22", "19")
hy.indices <- c("21", "22", "19")
allnames <- c()
for(index in ig.indices){
allnames <- rbind(allnames, bds(bbgConn, sprintf("CDXIG5%s Curncy", index), "INDX_MEMBERS"))
}
for(index in hy.indices){
allnames <- rbind(allnames, bds(bbgConn, sprintf("CDXHY5%s Curncy", index), "INDX_MEMBERS"))
}
allnames <- unique(allnames)
rownames(allnames) <- NULL
cdscurves <- bds(bbgConn, paste(allnames[,5], "Curncy"), "CDS_CURVE_INFO")
cdscurves <- cdscurves[,-c(1,8)]
write.csv(cdscurves, file=paste0("single_names_", Sys.Date(), ".csv"), row.names=FALSE)
data <- c()
for(index in c("ig21", "ig19", "hy21", "hy19")){
df <- read.csv(paste0(index, "_tranches_bbgid.csv"), check.names=FALSE)
for(tenor in c("3Y", "5Y", "7Y")){
if(tenor %in% names(df)){
data <- rbind(data, bdp(bbgConn, paste(df[[tenor]], "Corp"), c("px_last", "tranche_delta", "underlying_reference_px_rt")))
}
}
}
write.csv(data, file=paste0("tranche_data_", Sys.Date(), ".csv"), row.names=TRUE)
blpDisconnect(bbgConn)
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