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Docs and examples updated
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@wilsonfreitas
wilsonfreitas committed Jun 22, 2014
1 parent 9ccf9f4 commit 0c77911
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1 change: 1 addition & 0 deletions NAMESPACE
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Expand Up @@ -14,6 +14,7 @@ S3method(compound,spotrate)
S3method(compounding,spotrate)
S3method(daycount,spotrate)
S3method(dib,daycount)
S3method(format,spotrate)
S3method(print,daycount)
S3method(print,spotrate)
S3method(print,term)
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177 changes: 34 additions & 143 deletions lft.R
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@@ -1,168 +1,59 @@

# LFT
# Pricing LFT Instruments

rm(list=ls(all.names=TRUE))

library(Quandl)
library(fixedincome)
library(bizdays)

options(digits=10)

truncate <- function(x, n=0) {
k <- 10^n
trunc(x*k)/k
}

ref_date <- as.Date('2014-06-17')

library(bizdays)
cal <- Calendar(holidays=holidaysANBIMA, name='ANBIMA')

library(fixedincome)
refdate <- as.Date('2014-03-21')
cal <- Calendar(holidays=holidaysANBIMA, name='ANBIMA', weekdays=c('saturday', 'sunday'))
dc <- as.daycount('business/252')
selic <- Quandl('BCB/1178', 'raw', '2000-07-01', as.character(refdate), sort='asc')

library(Quandl)
selic <- Quandl('BCB/1178', 'raw', '2000-07-01', as.character(ref_date), sort='asc')

compute_vna <- function(ds) {
within(ds, {
Date <- as.Date(Date)
Rate <- as.spotrate(Value/100, discreteCompounding(), dc, cal)
Factor <- round(compound(Rate, '1 days'), 8)
CumFactor <- cumprod(Factor)
VNA <- truncate(1000*CumFactor, 6)
VNA <- c(NA, VNA[1:(length(VNA)-1)])
})
}

selic <- compute_vna(selic)
selic <- within(selic, {
Date <- as.Date(Date)
Rate <- as.spotrate(Value/100, discreteCompounding(), dc, cal)
Factor <- round(compound(Rate, '1 days'), 8)
CumFactor <- cumprod(Factor)
VNA <- truncate(1000*CumFactor, 6)
VNA <- c(NA, VNA[1:(length(VNA)-1)])
})

head(selic)
tail(selic)

# 6.170,327629 VNA 2014-06-17

tit_pub <- read.table('ms140617.txt', skip=2, sep='@', header=TRUE)
lft_quot <- subset(tit_pub, Titulo == 'LFT')
lft_quot <- lft_quot[, c('Data.Referencia', 'Data.Vencimento', 'Tx..Indicativas', 'PU')]
names(lft_quot) <- c('RefDate', 'Maturity', 'Spread', 'SpotPrice')

lft_quot <- transform(lft_quot,
Spread=as.numeric(sub(',', '.', Spread)),
SpotPrice=as.numeric(sub(',', '.', SpotPrice)),
RefDate=as.Date(as.character(RefDate), format='%Y%m%d'),
Maturity=as.Date(as.character(Maturity), format='%Y%m%d'))
# Pricing LFT Instruments

lft_quot <- transform(lft_quot,
Spread=as.spotrate(Spread/100, discreteCompounding(), dc, cal))
tit_pub <- read.table(format(refdate, 'ms%y%m%d.txt'), skip=2, sep='@', header=TRUE)
lft_quot <- subset(tit_pub, Titulo == 'LFT',
select=c('Data.Referencia', 'Data.Vencimento', 'Tx..Indicativas', 'PU'))
names(lft_quot) <- c('RefDate', 'Maturity', 'Spread', 'SpotPrice')

lft_quot <- transform(lft_quot, MaturityAdj=adjust.next(Maturity))
lft_quot <- transform(lft_quot, BusinessDay=as.term(bizdays(ref_date, MaturityAdj), 'days'))
lft_quot <- within(lft_quot, {
Spread <- as.numeric(sub(',', '.', Spread))
Spread <- as.spotrate(Spread/100, discreteCompounding(), dc, cal)
SpotPrice <- as.numeric(sub(',', '.', SpotPrice))
RefDate <- as.Date(as.character(RefDate), format='%Y%m%d')
Maturity <- as.Date(as.character(Maturity), format='%Y%m%d')
MaturityAdj <- adjust.next(Maturity, cal)
Quotation <- truncate(100/compound(Spread, from=RefDate, to=MaturityAdj), 4)
VNA <- with(selic, VNA[Date == refdate])
TheoPrice <- truncate(VNA*Quotation/100, 6)
rm(VNA)
})

lft_quot

lft_quot <- transform(lft_quot,
Quotation=truncate(100/compound(Spread, from=ref_date, to=MaturityAdj), 4))
VNA <- with(selic, VNA[Date == ref_date])
lft_quot <- transform(lft_quot, TheoPrice=truncate(VNA*Quotation/100, 6))
lft_quot <- transform(lft_quot, Delta=SpotPrice/(Quotation*VNA/100))
lft_quot <- transform(lft_quot, R=(1/Delta)^(1/timefactor(dc, BusinessDay))-1)

with(lft_quot, SpotPrice-TheoPrice)
with(lft_quot, Quotation2-Quotation)



# truncate(1.236, 2)
# round(1.236, 2)

## Computing VNA

library(fixedincome)

tr_selic <- function(ds) {
within(ds, {
Date <- as.Date(Date)
Rate <- as.spotrate(Value/100, discreteCompounding(), as.daycount('business/252'), cal)
Factor <- round(compound(Rate, '1 days'), 8)
CumFactor <- cumprod(Factor)
VNA <- truncate(1000*CumFactor, 6)
})
}

# 21/03/2014
# VNA Taxa SELIC (D-1)
# 210100 6.023,149269 10,65

# selic_bcb <- read.csv('SELIC.csv')
# selic_bcb <- selic_bcb[,c('Data', 'Taxa')]
# selic_bcb$Data <- as.Date(selic_bcb$Data, format='%d/%m/%Y')
# names(selic_bcb) <- c('Date', 'Value')
# selic_bcb <- subset(selic_bcb, Date >= '2000-07-01' & Date <= '2014-03-21')
# selic_bcb <- tr_selic(selic_bcb)
# str(selic_bcb)
# head(selic_bcb)
# tail(selic_bcb)
#
# selic_bcb$Value - selic$Value

library(Quandl)
library(bizdays)
cal <- Calendar(holidaysANBIMA)
bizdays.options$set(default.calendar=cal)

session_date <- as.Date('2014-03-21')
token <- 'nJ1NhTYdEs2p3MsS4CVd'
selic <- Quandl('BCB/1178', 'raw', '2000-07-01', as.character(session_date),
authcode=token, sort='asc')
# selic <- selic[order(selic$Date),]
# selic <- subset(selic, Date >= '2000-07-01' & Date <= session_date)
# selic <- selic[is.bizday(cal, selic$Date),]
selic <- tr_selic(selic)

str(selic)
head(selic)
tail(selic)

## Computing Theoretical Value

tr_lft <- function (ds) {
within(ds, {
Spread=as.numeric(gsub(",", ".", Spread))
SpotPrice=as.numeric(gsub(",", ".", gsub("\\.", "", SpotPrice)))
})
}
sqliter::execute(DBM, 'derivativos', "select data_ref, VNA from titulos where cod_titulo = 'LFT' group by data_ref")

lft_quotes <- sqliter::execute(DBM, 'derivativos', "select data_vcto as Maturity, taxa as Spread, pu as SpotPrice from titulos where cod_titulo = 'LFT' and data_ref = :data_ref", data_ref='2014-03-21',
)

tit_pub <- read.table('ms140321.txt', skip=2, sep='@', header=TRUE)
lft_quotes <- subset(tit_pub, Titulo == 'LFT')
lft_quotes <- lft_quotes[, c('Data.Referencia', 'Data.Vencimento', 'Tx..Indicativas', 'PU')]
names(lft_quotes) <- c('RefDate', 'Maturity', 'Spread', 'SpotPrice')

lft_quotes <- transform(lft_quotes,
Spread=as.numeric(sub(',', '.', Spread)),
SpotPrice=as.numeric(sub(',', '.', SpotPrice)),
Maturity=as.Date(as.character(Maturity), format='%Y%m%d'))

lft_quotes <- transform(lft_quotes,
MaturityAdj=adjust.next(Maturity, cal))

lft_quotes <- transform(lft_quotes,
BusinessDay=bizdays(session_date, MaturityAdj, cal))

cal <- Calendar(holidaysANBIMA, dib=252)
curve <- irc(lft_quotes$MaturityAdj, lft_quotes$Spread/100, calendar=cal,
compound='disc', refdate=lft_quotes$RefDate[1])

lft_quotes <- transform(lft_quotes,
Quotation=truncate(100/compfactor(curve, MaturityAdj), 4))

VNA <- unlist(subset(selic, Date == bizdays::offset(cal, session_date, -1),
select=c('VNA')))
lft_quotes <- transform(lft_quotes,
TheoPrice=truncate(VNA*Quotation/100, 6))

lft_quotes <- transform(lft_quotes, Diff=SpotPrice-TheoPrice)

all(lft_quotes$Diff == 0)

str(lft_quotes)

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