R code for Alex

Test.R

flush.console()
# Set working directory
setwd("/Users/Felix/Documents/University/Maastricht University/Master Thesis/")

# Include spreadPlotter code
source("Code/R/Main/DataPlotting.R")
source("Code/R/Library/additionalFunctions.R")

# Tranche configuration
correlationType <- "Compound"
attachmentPoints <- c(0, 0.03, 0.06, 0.09, 0.12, 0.22)
maturity <- 10
startDate <- as.Date("2008-05-07")
endDate <- as.Date("2008-10-07")
plotData <- list()
trancheColors <- c(
	"#4D545B",
	"#8F4834",
	"#614875",
	"#008249",
	"#0097B6",
	"#174059",
	"#6C625E",
	"#A03482",
	"#FF5C19",
	"#A03482",
	"#6E8138"
)

# Loop through tranches
for(at in 1:(length(attachmentPoints) - 1)){
	# Load correlation time series for tranche
	correlation.ts <- corrTimeSeries(correlationType, maturity, c(attachmentPoints[at], attachmentPoints[at + 1]))
	
	# Convert correlation time series into binary time series indicating,
	# if the calibration worked or not
	invertibility.ts <- 
	
	# Write CSV for further investigation
	fileName <- paste(
		"correlation_invertibility/",
		correlationType,
		"_Correlation_Invertibility_",
		maturity,
		"Y_",
		attachmentPoints[at],
		"_",
		attachmentPoints[at + 1],
		"_",
		startDate,
		"_",
		endDate,
		".csv",
		sep = ""
	)
	
	write.csv(spreadSeries.diff, file = paste("Results/", maturity, "Y/", correlationType,"/", fileName, sep = ""))
	
	# Save plot
	p <- genericBarPlot(spreadSeries.diff, FALSE, colors = c(trancheColors[at]), yLabel = "Percent")

	# Display plot
	p

	# Generate file name
	fileName <- paste(
		"Compound_Spread_Differences_",
		maturity,
		"Y_",
		attachmentPoints[at],
		"_",
		attachmentPoints[at + 1],
		"_",
		startDate,
		"_",
		endDate,
		sep = ""
	)

	# Save plot
	ggsave(
		filename = paste("Latex/Images/difference_plots/", fileName, ".pdf", sep = ""),
		plot = p,
		unit = "cm",
		width = 15,
		height = 5,
		dpi = 180
	)
}