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library(Rbbg)
source("serenitasdb.R")
download.cdscurves <- function(date=Sys.Date()){
tickers <- dbGetQuery(serenitasdb, "select cds_curve[6] from CDS_Issuers")$cds_curve
bbg.data <- bds(bbgConn, paste(tickers, "Curncy"), "cds_curve_info")
stmt <- "INSERT INTO cds_quotes VALUES('%s', '%s', 0, 0, %s, %s, %s, %s)"
for(i in 1:nrow(bbg.data)){
Source <- bbg.data[i,7]
if(Source==""){
Source <- "Null"
}else{
Source <- paste0("'", Source, "'")
}
dbSendQuery(serenitasdb, sprintf(stmt, format(date,"%m/%d/%y"),
bbg.data[i,2], bbg.data[i,4], bbg.data[i,5],
Source, bbg.data[i,6]))
}
}
write.tranchedata <- function(){
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)
}
setwd("/home/share/CorpCDOs/data/bloomberg/CDS")
bbgConn <- blpConnect(host='192.168.1.108', port='8194')
download.cdscurves()
write.tranchedata()
blpDisconnect(bbgConn)
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