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library(logging)
basicConfig()
removeHandler('basic.stdout')
addHandler(writeToFile, file=file.path(Sys.getenv("SERENITAS_LOG_DIR"), "tranches_RV_BC.log"))
library(optparse)
option_list <- list(
make_option(c("-u", "--update"), action="store_true", default=FALSE,
help="Update from the last run date [default %default]"),
make_option(c("-c", "--config"), metavar="config_file",
help="Runs the list of indices provided in CONFIG_FILE"),
make_option(c("-i1", "--index1"), help="Reference index name"),
make_option(c("-i2", "--index2"), help="Mapped index name"),
make_option(c("-t1", "--tenor1"), default="5yr",
help="Tenor of index1 [default %default]"),
make_option(c("-t2", "--tenor2"), default="5yr",
help="Tenor of index2 [default %default]"),
make_option("--until", default=Sys.Date()-1, type="character",
help="last day to run [default %default]"))
args <- parse_args(OptionParser(option_list=option_list,
description=
"This script prices index2 using the skew from index1."))
if(is.null(args$config)){
if(is.null(args$index1) || is.null(args$index2)){
stop("Please provide both index1 and index2")
}
runs <- list(mappings=list(c(args$index1, args$tenor1, args$index2, args$tenor2)))
}else{
library(yaml)
runs <- yaml.load_file(file.path(Sys.getenv("SERENITAS_CONFIG_DIR"), args$config))
}
source("optimization.R")
source("calibration.R")
source("serenitasdb.R")
source("creditIndex.R")
source("tranche_functions.R")
for(r in runs$mappings){
index.name1 <- r[1]
tenor1 <- r[2]
index.name2 <- r[3]
tenor2 <- r[4]
filename <- file.path(root.dir,"Tranche_data","Runs",
paste0(paste(index.name2, tenor2, "using", index.name1, tenor1),".csv"))
if(!file.exists(filename)){
args$update <- FALSE
}
if(args$update){
runfile <- read.csv(filename)
begin.date <- as.Date(runfile[nrow(runfile), 1])+1
}else{
begin.date <- switch(index.name1,
hy23 = as.Date("2014-10-16"),
hy21 = as.Date("2013-10-04"),
hy19 = as.Date("2013-10-04"),
ig21 = as.Date("2013-09-26"),
ig23 = as.Date("2014-10-14"),
ig25 = as.Date("2015-09-22"),
ig27 = as.Date("2015-09-27"),
hy25 = as.Date("2015-10-01"),
hy27 = as.Date("2016-10-04"),
xo24 = as.Date("2015-09-28"),
eu24 = as.Date("2015-09-23"))
}
if(begin.date > as.Date(args$until)){
next
}
alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
cal <- Calendar$new("UnitedStates/GovernmentBond")
bus.dates <- alldates[cal$isBusinessDay(alldates)]
addheaders <- TRUE
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
index1 <- load.index(index.name1, tenor1, tradedate)
index2 <- load.index(index.name2, tenor2, tradedate)
if(any(c(is.null(index1), is.null(index2)))){
loginfo(paste("skipping pair", index.name1, tenor1, index.name2, tenor2,
"for date", as.character(tradedate)))
next
}
accrued2 <- cdsAccrued(tradedate, index2$tranches$running)
mappedpv <- list()
for(method in c("ATM", "TLP", "PM")){
index2$rho <- adjust.skew(index1, index2, method)
if(tolower(substr(index2$name, 1, 2)) %in% c("ig", "xo", "eu")){
mappedpv[[method]] <- BCtranche.pv(index2, protection=TRUE)$bp + accrued2
}else{
mappedpv[[method]] <- BCtranche.pv(index2)$bp - accrued2
}
}
row <- c(as.character(tradedate), index2$tranches$upfront, unlist(mappedpv)*100)
if(addheaders && !args$update){
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)
}
addheaders <- FALSE
cat(paste(row, collapse=","), sep="\n", file=filename, append=TRUE)
}
}
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