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library(logging)
source("yieldcurve.R")
source("optimization.R")
source("calibration.R")
source("serenitasdb.R")
source("creditIndex.R")
source("tranche_functions.R")
tradedate <- as.Date("2016-08-02")
exportYC(tradedate)
index <- creditIndex("ig26", "5yr")
index <- set.index.desc(index, tradedate)
index <- set.singlenamesdata(index, tradedate)
index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1,
0, tradedate, IMMDate(tradedate, "prev"))
tweakindex <- function(index, refprice){
fixedRate <- couponfromindex(index$name, index$tenor)*1e-4
index$quotes <- data.frame(maturity=index$maturity, refspread=fixedRate, refprice=refprice)
index$quotes$spread <- fixedRate
index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1,
0, tradedate, IMMDate(tradedate, "prev"))
index$quotes$price <- index$quotes$refprice/100
tweak <- tweakcurves(index, index$tradedate)
index$portfolio <- NULL
index <- c(index, tweak)
return( index )
}
ref <- 107
newindex <- tweakindex(index, ref)
h <- cdshazardrate.flat(1-ref/100, 0.05, index$maturity, 0.3, tradedate)
exerciseDates <- c(as.Date("2016-08-17"), as.Date("2016-09-21"), as.Date("2016-10-19"))
fp <- c()
fp2 <- c()
for(i in seq_along(exerciseDates)){
fp <- c(fp, defaultAdjustedForwardIndexPrice(newindex, exerciseDates[i]))
fp2 <- c(fp2, forwardflatcds(h, index$cs, tradedate, exerciseDates[i], fixedRate=0.01, R=0.4))
}
calib <- function(S0, index, fp, exerciseDate, sigma, quad){
T <- yearFrac(index$tradedate, exerciseDate)
S <- S0 * exp(-sigma^2/2*T+sigma*quad$Z*sqrt(T))
values <- unlist(lapply(S, function(s){
snacpv(index$cs, s, index$quotes$refspread, index$recovery, exerciseDate)}))
guess <- crossprod(quad$w, values)
return( guess - fp )
}
option <- function(index, fp, exerciseDate, sigma, strike, quad){
T <- yearFrac(index$tradedate, exerciseDate)
S0 <- uniroot(calib, interval=c(0.02, 0.05), index, fp, exerciseDate, sigma, quad)$root
S <- S0 * exp(-sigma^2/2*T+sigma*quad$Z*sqrt(T))
v <- matrix(0, length(S), 2)
for(i in 1:length(S)){
fw <- snacpv(index$cs, S[i], index$quotes$refspread, index$recovery, exerciseDate)
v[i,] <-c(max(fw-strike, 0), max(strike-fw, 0))
}
return(crossprod(quad$w, v))
}
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