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root = "//WDSENTINEL/share/CorpCDOs"
source(file.path(root, "R", "intex_deals_functions.R"))
source(file.path(root, "R", "etdb.R"))
dealnames <- c("limes", "stonln1")
cusips <- cusipsfromdealnames(dealnames)
deals.universe <- dbGetQuery(dbCon, "select distinct dealname from clo_universe order by dealname asc")$dealname
cusips.universe <- cusipsfromdealnames(deals.universe)
n.scenarios <- 100
offset <- 2
r <- data.frame()
for(cusip in cusips){
data <- read.table(paste(cusip, "-PY.txt", sep=""), sep="\t", header=T, nrow=3)
price <- sum(as.numeric(sub("\\((.*)\\)", "-\\1", data[1,1:n.scenarios+offset])), na.rm=T)/n.scenarios
wal <- sum(as.numeric(sub("\\((.*)\\)", "-\\1", data[2,1:n.scenarios+offset])), na.rm=T)/n.scenarios
duration <- sum(as.numeric(sub("\\((.*)\\)", "-\\1", data[3,1:n.scenarios+offset])), na.rm=T)/n.scenarios
r <- rbind(r, data.frame(cusip, price, wal, duration))
}
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