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library(RPostgreSQL)
library(RQuantLib)
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "etdb.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
workdate <- as.Date("2013-02-11")
MarkitData <- getMarkitIRData(workdate)
L1m <- buildMarkitYC(MarkitData, dt = 1/12)
L2m <- buildMarkitYC(MarkitData, dt = 1/6)
L3m <- buildMarkitYC(MarkitData)
L6m <- buildMarkitYC(MarkitData, dt = 1/2)
L12m <- buildMarkitYC(MarkitData, dt = 1)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
sanitize.column <- function(vec){
vec <- gsub(",", "", vec)
index <- grep("\\(", vec)
for(l in index){
vec[l] <- -as.numeric(substr(vec[l], 2, nchar(vec[l])-1))
}
return( as.numeric(vec) )
}
allfiles <- list.files(file.path(root.dir, "Scenarios", paste0("Prices_", workdate)), "*.txt")
allfiles <- unique(sapply(strsplit(allfiles, "-"), function(x) x[1]))
allfiles <- allfiles[!(allfiles=="Total")]
dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Prices_", workdate)), "*COLLAT_INITIAL-CF-Scen1*")
dealnames <- unique(sapply(strsplit(dealnames, "-"), function(x) x[1]))
cusips <- setdiff(allfiles, dealnames)
dealnames <- tolower(dealnames)
getdealcf <- function(dealnames, workdate=Sys.Date()){
cfdata <- list()
tranches <- c("COLLAT_REINVEST", "COLLAT_INITIAL")
fields <- c("Cashflow", "Principal", "Interest")
flag <- FALSE
n.scenarios <- 100
for(dealname in dealnames){
cfdata[[dealname]] <- list()
r <- matrix(0, n.scenarios, 3)
colnames(r) <- fields
sqlstring <- sprintf("select marketvalue from latest_deal_model_numbers where dealname='%s'", dealname)
mv <- dbGetQuery(dbCon, sqlstring)$marketvalue
sqlstring <- sprintf("select \"Curr Collat Bal\" from latest_clo_universe where dealname='%s'", dealname)
currbal <- dbGetQuery(dbCon, sqlstring)$"Curr Collat Bal"
cfdata[[dealname]]$mv <- mv
cfdata[[dealname]]$currbal <- currbal
for(tranche in tranches){
for(i in 1:n.scenarios){
filename <- paste0(paste(toupper(dealname), tranche, "CF", paste0("Scen", i), sep="-"), ".txt")
## we catch the error if there is an error reading the file
## happen if the tranche is missing in intex
data <- tryCatch(
read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename),
sep="\t", header=F, skip=3, colClasses="character", comment.char=""),
error = function(e) e)
if(inherits(data, "error")){
cat(sprintf("file: %s, tranche: %s can't be loaded", dealname, tranche), "\n")
flag <- TRUE
break
}
data <- data[,1:4]
colnames(data) <- c("Date", "Cashflow", "Principal", "Interest")
data$Date <- as.Date(data$Date, "%b %d, %Y")
if(any(is.na(data$Date))){
cat(sprintf("file: %s is messed up", filename), "\n")
flag <- TRUE
break
}
futuredates <- data$Date[data$Date>=L3m$params$tradeDate]
pastdates <- data$Date[data$Date<L3m$params$tradeDate]
if(i==1||length(futuredates)>length(DC$times)){
DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, futuredates))
}
pv <- c()
for(field in fields){
cleanfield <- tryCatch(sanitize.column(data[,field]),
warning = function(w) w)
if(inherits(cleanfield, "warning")){
cat("garbled", dealname, i, "\n")
flag <- TRUE
break
}else{
data[,field] <- cleanfield
}
if(length(futuredates) == 0){
df <- rep(1, length(pastdates))
}else{
df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
}
if(nrow(data)>0){
pv <- c(pv, crossprod(df, data[,field]))
}else{
pv <- c(pv, 0)
}
}
if(flag){
break
}else{
r[i,] <- pv
}
}
if(flag){
cfdata[[dealname]] <- NULL
flag <- FALSE
break
}else{
cfdata[[dealname]][[tranche]]<- r
}
}
if(is.null(cfdata[[dealname]])){
next
}
cf <- cfdata[[dealname]][["COLLAT_REINVEST"]][,"Cashflow"] +
cfdata[[dealname]][["COLLAT_INITIAL"]][,"Cashflow"]
cfdata[[dealname]]$wapbasis <- (mean(cf)- cfdata[[dealname]]$mv)/cfdata[[dealname]]$mv
cat(dealname, "\n")
program <- KLfit(t(cf)/1e8, rep(1/n.scenarios, n.scenarios),
cfdata[[dealname]]$mv/1e8)
cfdata[[dealname]]$weight <- program$weight
}
return( cfdata )
}
getcusipcf <- function(cusips, cfdata, workdate=Sys.Date()){
flag <- FALSE
cusipdata <- list()
dealnames <- dealnamefromcusip(cusips)
n.scenarios <- 100
intexfields <- c("Cashflow", "Principal", "Interest", "Balance")
fields <- c("Cashflow", "Principal", "Interest")
for(i in 1:length(cusips)){
cusip <- cusips[i]
dealdata <- getdealdata(dealnames[i])
schedule <- getdealschedule(dealdata)
r <- matrix(0, n.scenarios, 5)
colnames(r) <- c(fields, "wal", "duration")
sqlstring <- sprintf("select curr_balance, spread from cusip_universe where cusip = '%s'", cusip)
indicdata <- dbGetQuery(dbCon, sqlstring)
cusipdata[[cusip]]$currbal <- indicdata$curr_balance
cusipdata[[cusip]]$spread <- indicdata$spread
for(j in 1:n.scenarios){
filename <- sprintf("%s-CF-Scen%s.txt", cusip, j)
if(!file.exists(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename))){
next
}
data <- read.table(file.path(root.dir, "Scenarios", paste0("Prices_", workdate), filename),
sep = "\t", header=F, colClasses="character", skip = 3, comment.char="")
data <- data[, 1:5]
colnames(data) <- c("Date", intexfields)
data$Date <- as.Date(data$Date, "%b %d, %Y")
if(any(is.na(data$Date))){
cat(sprintf("file: %s is messed up", filename), "\n")
flag <- TRUE
break
}
futuredates <- data$Date[data$Date >= L3m$params$tradeDate]
pastdates <- data$Date[data$Date < L3m$params$tradeDate]
if(i==1||length(futuredates)>length(DC$times)){
DC <- DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, futuredates))
}
if(length(futuredates) == 0){
df <- rep(1, length(pastdates))
}else{
df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
}
pv <- c()
for(field in fields){
cleanfield <- tryCatch(sanitize.column(data[,field]),
warning = function(w)w)
if(inherits(cleanfield, "warning")||any(is.na(cleanfield))){
cat(sprintf("file: %s is messed up", filename), "\n")
flag <- TRUE
break
}else{
data[,field] <- cleanfield
}
if(length(futuredates) == 0){
df <- rep(1, length(pastdates))
}else{
df <- c(rep(1, length(pastdates)), DC$discounts[1:length(futuredates)])
}
if(nrow(data)>0){
pv <- c(pv, crossprod(df, data[,field]))
}else{
pv <- c(pv, 0)
}
}
if(flag){
break
}else{
data[,"Balance" ] <- tryCatch(sanitize.column(data[,"Balance"]),
warning = function(w){cat("garbled", dealname, i)})
wal <- crossprod(yearFrac(workdate, data$Date)[-1], -diff(data[,"Balance"]))/
indicdata$curr_balance
if(pv[1] == 0){
duration <- 0
}else{
duration <- crossprod(data[,"Cashflow"], df * yearFrac(workdate, data$Date))/pv[1]
}
tryCatch(r[j,] <- c(pv, wal, duration),
error =function(e) browser())
}
}
if(flag){
cusipdata[[cusip]] <- NULL
flag <- FALSE
}else{
cat("done", cusip, "\n")
cusipdata[[cusip]]$fields <- r
cusipdata[[cusip]]$price <- 100 * crossprod(cfdata[[dealnames[i]]]$weight,
cusipdata[[cusip]]$fields[,"Cashflow"])/cusipdata[[cusip]]$currbal
cusipdata[[cusip]]$wal <- crossprod(cfdata[[dealnames[i]]]$weight,
cusipdata[[cusip]]$fields[,"wal"])
cusipdata[[cusip]]$duration <- crossprod(cfdata[[dealnames[i]]]$weight,
cusipdata[[cusip]]$fields[,"duration"])
}
}
return(cusipdata)
}
cfdata <- getdealcf(dealnames, workdate)
availablecusips <- cusips[dealnamefromcusip(cusips) %in% names(cfdata)]
cusipdata <- getcusipcf(availablecusips, cfdata, workdate)
## upload wapbasis
for(dealname in names(cfdata)){
sqlstring <- sprintf(paste0("UPDATE et_deal_model_numbers SET ",
"wapbasis = '%s' WHERE dealname= '%s' AND updatedate = '%s'"),
cfdata[[dealname]]$wapbasis*100,
dealname,
strftime(workdate))
dbSendQuery(dbCon, sqlstring)
}
## upload model data
for(cusip in names(cusipdata)){
columns <- c("Cusip", "price", "wal", "duration", "updatedate")
values <- c(cusip, cusipdata[[cusip]]$price, cusipdata[[cusip]]$wal,
cusipdata[[cusip]]$duration, strftime(workdate))
colstring <- paste(columns[!is.na(values)], collapse=",")
valstring <- paste(values[!is.na(values)], collapse="','")
sqlstring <- sprintf(paste0("INSERT INTO et_cusip_model_numbers",
"(%s) VALUES('%s')"),
colstring, valstring)
dbSendQuery(dbCon, sqlstring)
}
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