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if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"), chdir=TRUE)
source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "creditIndex.R"))
library(lossdistrib)
alldates <- seq(as.Date("2013-10-04"), as.Date("2014-09-02"), by="1 day")
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
index.name1 <- "hy21"
tenor1 <- "3yr"
index.name2 <- "hy17"
tenor2 <- "5yr"
filename <- file.path(root.dir,"Tranche_data","Runs",
paste0(paste(index.name2, tenor2, "using", index.name1, tenor1),".csv"))
for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
index1 <- load.index(index.name1, tenor1, tradedate)
index2 <- load.index(index.name2, tenor2, tradedate)
tradedate <- bus.dates[i]
accrued2 <- cdsAccrued(tradedate, index2$tranches$running)
mappedpv <- list()
for(method in c("ATM", "TLP", "PM")){
index2$rho <- adjust.skew(index1, index2, method)
mappedpv[[method]] <- BCtranche.pv(index2)$bp - accrued2
}
row <- c(as.character(tradedate), index2$tranches$upfront, unlist(mappedpv)*100)
if(i==1){
headers <- c("date", paste(index2$name, row.names(index2$tranches), "Quotes"),
paste(index2$name, row.names(index2$tranches), "ATM PV"),
paste(index2$name, row.names(index2$tranches), "TLP PV"),
paste(index2$name, row.names(index2$tranches), "PM PV"))
cat(paste(headers, collapse=","), "\n", file=filename)
}
cat(paste(row, collapse=","), "\n", file=filename, append=TRUE)
}
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