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R/crpCSFPclass.r
In crp.CSFP: CreditRisk+ Portfolio Model
setClass(Class="crp.CSFP", #define the names and types of attributes of crp.CSFP
representation=representation(
path.in = "character",
path.out="character",
port.name="character",
rating.scale.name="character",
sec.var.name="character",
sec.var.est="numeric",
loss.unit="numeric",
Niter.max="numeric",
Niter.max.global="numeric",
alpha="numeric",
PLOT.PDF="logical",
calc.rc="logical",
rating="numeric",
rating.PD="numeric",
rating.SD="numeric",
NS="numeric",
NC="numeric",
sec.var="numeric",
CP.NR="numeric",
CP.rating="numeric",
NEX="numeric",
LGD="numeric",
PL="numeric",
PD="numeric",
EL="numeric",
EL.crp="numeric",
nu="numeric",
PL.crp="numeric",
PD.crp="numeric",
M="numeric",
mu.k="numeric",
loss.k="numeric",
sigma_k="numeric",
sigma_sqr_div="numeric",
sigma_sqr_syst="numeric",
SD="numeric",
SD.crp="numeric",
W="matrix",
alpha.max="numeric",
a="numeric",
PDF="numeric",
CDF="numeric",
B="matrix",
loss="numeric",
PLOT.scale="numeric",
PLOT.range.x="numeric",
PLOT.range.y="numeric",
VaR="numeric",
EC="numeric",
ES="numeric",
VaR.cont="numeric",
ES.cont="numeric",
ES.tau.cont="numeric",
SD.cont="numeric",
read.OK="logical",
plausi.OK="logical",
rc.OK="logical",
save.memory="logical",
VaR.pos="numeric",
alpha.crp="numeric",
name="character",
changes.read="logical",
changes.plausi="logical",
changes.calc.portfolio.statistics="logical",
changes.loss="logical",
changes.measure="logical",
changes.plot="logical",
changes.rc.vares="logical",
changes.rc.sd="logical",
changes.export="logical",
file.format="character",
input="list",
export.to.file="logical"),
prototype=prototype( path.in="", #define default values
path.out="",
port.name="portfolio.csv",
rating.scale.name="rating_pd.csv",
sec.var.name="pd_sector_var.csv",
sec.var.est=5,
loss.unit=1e6,
Niter.max=0.9999,
Niter.max.global=1e5,
alpha=c(0.999),
PLOT.PDF=TRUE,
calc.rc=FALSE,
rating=0,
rating.PD=0,
rating.SD=0,
NS=0,
NC=0,
sec.var=0,
CP.NR=0,
CP.rating=0,
NEX=0,
LGD=0,
PL=0,
PD=0,
EL=0,
EL.crp=0,
nu=0,
PL.crp=0,
PD.crp=0,
M=0,
mu.k=0,
loss.k=0,
sigma_k=0,
sigma_sqr_div=0,
sigma_sqr_syst=0,
SD=0,
SD.crp=0,
W=matrix(),
alpha.max=0,
a=0,
PDF=0,
CDF=0,
B=matrix(),
loss=0,
PLOT.scale=1e6,
PLOT.range.x=c(0,0),
PLOT.range.y=c(0,0),
VaR=0,
EC=0,
ES=0,
VaR.cont=0,
ES.cont=0,
ES.tau.cont=0,
SD.cont=0,
read.OK=FALSE,
plausi.OK=FALSE,
rc.OK=FALSE,
save.memory=FALSE,
VaR.pos=0,
alpha.crp=0,
name="MyModel",
changes.read=FALSE,
changes.plausi=FALSE,
changes.calc.portfolio.statistics=FALSE,
changes.loss=FALSE,
changes.measure=FALSE,
changes.plot=FALSE,
changes.rc.vares=FALSE,
changes.rc.sd=FALSE,
changes.export=FALSE,
file.format="csv",
input=list(),
export.to.file=FALSE)
)
setGeneric("read",function(this) standardGeneric("read"))
setMethod("read",c("crp.CSFP"),function(this) {
#
# <read> Import portfolio and risk data
#
# Last Modified: 24/06/2013
# Author: Matthias Fischer & Kevin Jakob
#
ERROR=0
# --------------------------------------------------------------------------------------
# Importing rating, probability of default and standard deviation
# ---------------------------------------------------------------------------------------
cat("Importing risk information (Rating, PD, SD)....\n")
if(nrow(this@input$rating.scale)>0)
RISK.MATRIX=this@input$rating.scale
else if(file.exists(paste(this@path.in,this@rating.scale.name,sep=""))==TRUE){ # check if the file exists
if(this@file.format=="csv")
RISK.MATRIX=read.csv(paste(this@path.in,this@rating.scale.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
RISK.MATRIX=read.csv2(paste(this@path.in,this@rating.scale.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@rating.scale.name," file is missing!!!\n",sep=""))
ERROR=ERROR+1
}
if(ERROR==0){
if(is.null(RISK.MATRIX$RATING)){
cat("The RATING-column in ",this@rating.scale.name," is missing.")
ERROR=ERROR+1
}
else
this@rating=RISK.MATRIX$RATING # assigne data to attributes
if(is.null(RISK.MATRIX$PD)){
cat("The PD-column in ",this@rating.scale.name," is missing.\n")
ERROR=ERROR+1
}
else
this@rating.PD=RISK.MATRIX$PD
if(this@sec.var.est<5){
if(is.null(RISK.MATRIX$SD)){
cat("The SD-column in ",this@rating.scale.name," is missing.\n")
ERROR=ERROR+1
}
else
this@rating.SD=RISK.MATRIX$SD
}
remove(RISK.MATRIX)
this@input$rating.scale=data.frame()
}
# --------------------------------------------------------------------------------------
# Importing portfolio data
# ---------------------------------------------------------------------------------------
cat("Importing portfolio data....\n")
if(nrow(this@input$portfolio)>0)
PORTFOLIO=this@input$portfolio
else if(file.exists(paste(this@path.in,this@port.name,sep=""))==TRUE){ # check if file exists
if(this@file.format=="csv")
PORTFOLIO=read.csv(paste(this@path.in,this@port.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
PORTFOLIO=read.csv2(paste(this@path.in,this@port.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@port.name," file is missing!!!\n"),sep="")
ERROR=ERROR+1
}
if(ERROR==0){
this@NS=length(PORTFOLIO)-6 # assigne data to attributes
if(is.null(PORTFOLIO$CPnumber)){
cat("The CPnumber-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else{
this@CP.NR=PORTFOLIO$CPnumber
this@NC=length(PORTFOLIO$CPnumber)
}
if(is.null(PORTFOLIO$rating)){
cat("The rating-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@CP.rating=PORTFOLIO$rating
if(is.null(PORTFOLIO$exposure)){
cat("The exposure-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@NEX=PORTFOLIO$exposure
if(is.null(PORTFOLIO$lgd)){
cat("The lgd-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@LGD=PORTFOLIO$lgd
TEMP=(do.call(cbind,PORTFOLIO))[,-(1:6)] # extract weight matrix
if(is.null(TEMP)){
cat("The sector-weights in ",this@port.name," are missing.\n")
ERROR=ERROR+1
}
else{
remove(PORTFOLIO)
this@input$portfolio=data.frame()
if(this@NS==1)
TEMP=matrix(ncol=1,TEMP) # convert to matrix
this@W=cbind(1-apply(TEMP,1,sum),TEMP) # attache idiosyncratic weights as first column
remove(TEMP)
}
}
# --------------------------------------------------------------------------------------
# Importing sector information
# ---------------------------------------------------------------------------------------
if(this@sec.var.est==5){ # sector variances are just needed if sec.var.est=5, otherwise they are calculated out of rating.SD
cat("Importing PD sector variances....\n")
if(nrow(this@input$sec.var)>0)
sec.var=this@input$sec.var
else if(file.exists(paste(this@path.in,this@sec.var.name,sep=""))==TRUE){ # check if file exists
if(this@file.format=="csv")
sec.var=read.csv(paste(this@path.in,this@sec.var.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
sec.var=read.csv2(paste(this@path.in,this@sec.var.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@sec.var.name," file is missing!!!\n",sep=""))
ERROR=ERROR+1
}
if(ERROR==0){
if(is.null(sec.var$Var)){
cat("The Var-column in ",this@sec.var.name," is missing.\n")
ERROR=ERROR+1
}
else if(length(sec.var$Var)<this@NS){
cat("ERROR: Number of sector variances specified in ",this@sec.var.name," (",length(sec.var$Var),") is smaller then the number of sectors (",this@NS,").\n",sep="")
ERROR=ERROR+1
}
else{
this@sec.var=sec.var$Var
remove(sec.var)
this@input$sec.var=data.frame()
}
}
}
if(this@sec.var.est<5)
this@sec.var=0
if(ERROR>0) # set state read.ok
this@read.OK=FALSE
else
this@read.OK=TRUE
this@changes.read=FALSE
gc()
return(this)
}
)
setGeneric("plausi",function(this) standardGeneric("plausi"))
setMethod(f="plausi",signature=c("crp.CSFP"),definition=function(this){
#
# <plausi> Verify that the input data makes sence
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
ERROR=0
if(length(this@rating.PD)>1){ # check that higher rating has higher probability of default
for(i in 1:(length(this@rating.PD)-1)){
if(this@rating.PD[i+1]-this@rating.PD[i]<0){
cat("ERROR: Higher Rating cannot have smaller Probability of Default!!!\n")
ERROR=ERROR+1
}
}
}
if(sum(this@NEX>=0)!=length(this@NEX)){ # check if exposure is not negative
cat("ERROR: Exposure has to be not negative. \n")
ERROR=ERROR+1
}
if(any(this@LGD<0) || any(this@LGD>1))
stop("LGDs are supposed to be between 0 and 1!\n")
if(this@NS>1){ # check if sector weights are plausible
if(sum(rowSums(this@W[,-1])<=1)!=nrow(this@W[,-1])|sum(this@W[,-1]>=0)!=nrow(this@W[,-1])*ncol(this@W[,-1])){
cat("ERROR: Sum of weights and have to be between 0 and 1 for each counterparty!\n")
ERROR=ERROR+1
}
}
else if(this@NS==1){
if(any(this@W>=0 & this@W<=1)==FALSE){
cat("ERROR: Sum of weights have to be between 0 and 1 for each counterparty!\n")
ERROR=ERROR+1
}
}
if(this@sec.var.est<5){
if(ERROR>0)
this@plausi.OK=FALSE
else
this@plausi.OK=TRUE
gc()
this@changes.plausi=FALSE
return(this) # return if the variance is calculated and not from an input file
}
if(sum(this@sec.var>=0)!=length(this@sec.var)){ # check if sector variances are postive
cat("ERROR: Sector Variance has to be positive\n")
ERROR=ERROR+1
}
if(ERROR>0)
this@plausi.OK=FALSE
else
this@plausi.OK=TRUE
gc()
this@changes.plausi=FALSE
return(this)
}
)
setGeneric("calc.portfolio.statistics",function(this) standardGeneric("calc.portfolio.statistics"))
setMethod(f="calc.portfolio.statistics",signature=c("crp.CSFP"),definition=function(this){
#
# <calc.portfolio.statistics> calculate key numbers for portfolio
#
# Last Modified: 24/06/2013
# Author: Matthias Fischer & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
i=which(this@rating==0)
if(length(i)>0){
this@rating=this@rating[-i]
this@rating.PD=this@rating.PD[-i]
this@rating.SD=this@rating.SD[-i]
}
emptyCP=0
l=0
for(i in 1:this@NC){
if(this@CP.rating[i]==0){
l=l+1
emptyCP[l]=i
}
else if(this@NEX[i]==0 || this@rating.PD[this@CP.rating[i]]==0 || this@LGD[i]==0){
l=l+1
emptyCP[l]=i
}
}
if(l>0){
this@CP.NR=this@CP.NR[-emptyCP]
this@CP.rating=this@CP.rating[-emptyCP]
this@NEX=this@NEX[-emptyCP]
this@LGD=this@LGD[-emptyCP]
this@W=this@W[-emptyCP,]
this@NC=this@NC-l
}
cat(this@NS," sectors ...",sep="")
cat(this@NC," counterparties (",l," removed) ... OK\n",sep="")
this@PL=this@NEX*this@LGD # potential loss
this@PD=this@rating.PD[this@CP.rating] # probability of default
this@nu=crp.round(this@PL/this@loss.unit) # integer muliples of loss.unit representing poZential loss
this@nu=ifelse(this@nu==0,1,this@nu) # should not be 0
this@PL.crp=this@nu*this@loss.unit # discretized potential loss
this@PD.crp=this@PD*(this@PL/this@PL.crp) # transformed PD
cat("Calculating sector information...\n")
for(k in 1:this@NS){
TEMP=this@W[,1+k]
SELECTION=which(TEMP>0)
if(length(SELECTION)>0 && this@sec.var.est!=5){
this@mu.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]) # formula (39), CSFP 1997, p. 43
this@loss.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]*this@PL.crp[SELECTION]) # required for risk contributions
if(this@sec.var.est==1)
this@sigma_k[k]=sum(TEMP[SELECTION]*this@rating.SD[this@CP.rating[SELECTION]]) # (2.21) p. 17 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==2)
this@sigma_k[k]=sum(TEMP[SELECTION]*this@rating.SD[this@CP.rating[SELECTION]])/this@mu.k[k] # (2.21) p. 17 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==3)
this@sigma_k[k]=sum(sqrt(TEMP[SELECTION])*this@rating.SD[this@CP.rating[SELECTION]]) # (++++) p. 18 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==4)
this@sigma_k[k]=sum(sqrt(TEMP[SELECTION])*this@rating.SD[this@CP.rating[SELECTION]])/this@mu.k[k] # divided by mu.k
}
else if(length(SELECTION)==0 && this@sec.var.est!=5){
this@loss.k[k]=NA
this@mu.k[k]=NA
this@sigma_k=NA
}
if(this@sec.var.est==5){
if(length(SELECTION)>0){
this@mu.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]) # formula (39), CSFP 1997, p. 43
this@loss.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]*this@PL.crp[SELECTION])
}
this@sigma_k[k]=sqrt(as.numeric(this@sec.var[k])) # from an external file
}
else
cat("Wrong specification for the sector variance!\n")
}
remove(TEMP)
remove(SELECTION)
this@sigma_sqr_syst=sum(this@sigma_k^2*this@loss.k*this@loss.k) # portfolio standard diviation
cat("Sector information completed...\n")
this@sigma_sqr_div=sum(this@PL.crp^2*this@PD.crp) # diversifible risk
cat("Diversifible risk: ",fo(this@sigma_sqr_div)," Systematic risk: ",fo(this@sigma_sqr_syst),"\n")
this@EL=sum(this@PL*this@PD) # expected loss
this@SD=sqrt(this@sigma_sqr_div+this@sigma_sqr_syst) # standard deviation
cat("Calculating portfolio statistics....\n")
cat("Portfolio net exposure:",fo(sum(as.numeric(this@NEX))),"\n")
cat("Portfolio potential loss:",fo(sum(as.numeric(this@PL))),"\n")
cat("Portfolio expected loss:",fo(this@EL),"\n")
cat("Portfolio standad deviation:",fo(this@SD),"\n")
cat("Max. exposure band per CP: ",max(this@nu),"\n",sep="")
cat("Discretization completed...\n")
if(this@save.memory){ # PD0 and PL0 are not needed anymore
this@PL=0
this@PD=0
}
this@changes.calc.portfolio.statistics=FALSE
gc()
return(this)
}
)
setGeneric("loss.dist",function(this) standardGeneric("loss.dist"))
setMethod(f="loss.dist",signature=c("crp.CSFP"),definition=function(this){
#
# <loss> Calculation of the portfolio loss distribution
# modified Nested evaluation according to Haaf, Rei?, Schoenmakers (2003)
# Chapter 5 in Gundlach/Lehrbass (2003), p.74-75
# Author: Dr. Matthias Fischer & Kevin Jakob
# Last Modified: 24/06/2013
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # if it is not called from crp.CSFP()
if(this@Niter.max==0 && this@alpha.max>0 && this@alpha.max<1){ # calculate CDF until alpha.max level is reached
this@M=min(this@Niter.max.global,sum(this@nu)) # loss distribution should be calculated till certain confidenc level.
cat("Calculate the loss distribution till ",this@alpha.max,"-confidence level is reached.",sep="","\n") # It has no effect if Niter.max > 1 is set manuelly.
}
else{
this@M=this@Niter.max
this@alpha.max=1
cat("Number of probabilities to be calculated (Niter.max): ",this@Niter.max,sep="","\n")
}
cat("Loss unit: ",fo(this@loss.unit),"\n",sep="")
A=matrix(0,ncol=(this@M+1),nrow=this@NS) # Make all needed variables local to this
B=A # function instead of going up the environment
a=rep(0,this@M+1) # every calling of 'this' . This will increase
PDF=rep(0,this@M+1) # speed but needs more memory.
CDF=rep(0,this@M+1)
sigma_k=this@sigma_k
mu.k=this@mu.k
nu=this@nu
W=this@W
PD=this@PD.crp
##############################################################################################################
# 1. Calculation of PDF
##############################################################################################################
if(sum(W[,2:(this@NS+1)])==0){ # just idiosyncratic
a[1]=-sum(W[,1]*PD)
PDF[1]=exp(a[1])
CDF[1]=PDF[1]
for(j in 1:this@M){
if(CDF[j]<1){
SELECT=which(nu==j)
sum1=0
if(length(SELECT)>0)
sum1=sum(W[SELECT,1]*PD[SELECT])
a[j+1]=sum1
PDF[j+1]=sum((1:j)/j*a[2:(j+1)]*PDF[j:1])
CDF[j+1]=CDF[j]+PDF[j+1]
}
}
}
else{ # standard case
for(k in 1:this@NS){
A[k,1]=1+sigma_k[k]^2*mu.k[k]
B[k,1]=-log(A[k,1])
}
a[1]=-sum(W[,1]*PD)+sum(B[,1]/(sigma_k[1:this@NS]^2))
PDF[1]=exp(a[1])
CDF[1]=PDF[1]
j=0
while(j<this@M && CDF[j+1]<this@alpha.max){
j=j+1
if(j%%1e3==0)
cat(" it=",j," CDF=",CDF[j],";")
SELECT=which(nu==j)
for(k in 1:this@NS){
if(length(SELECT)>0)
A[k,j+1]=sigma_k[k]^2*sum(W[SELECT,k+1]*PD[SELECT])
if(j+1==2)
B[k,2]=A[k,2]/A[k,1]
else
B[k,j+1]=1/A[k,1]*(A[k,j+1]+(1/j*sum((1:(j-1))*B[k,2:j]*A[k,j:2])))
}
sum1=0
if(length(SELECT)>0)
sum1=sum(W[SELECT,1]*PD[SELECT])
a[j+1]=sum1+sum(B[,j+1]/(sigma_k[1:this@NS]^2))
PDF[j+1]=sum((1:j)/j*a[2:(j+1)]*PDF[j:1])
CDF[j+1]=CDF[j]+PDF[j+1]
}
cat("\n")
remove(list=c("A","SELECT","W","sigma_k","mu.k","PD","nu"))
this@PDF=PDF
remove(PDF)
this@CDF=CDF
remove(CDF)
this@a=a
remove(a)
this@B=B
remove(B)
}
length(this@CDF)=j+1 # cut off the variables to the needed length
length(this@a)=j+1
length(this@PDF)=j+1
this@B=matrix(this@B[,-((j+1):(this@M+1))],nrow=this@NS)
##############################################################################################################
# 3. Summarize
##############################################################################################################
this@loss=(0:j)*this@loss.unit # create losses
this@alpha.max=this@CDF[length(this@CDF)]
this@M=j
cat("Reached level of confidence: ",this@alpha.max," ( iterations actually done: ",this@M," )\n",sep="")
cat("Calculation completed...\n")
if(this@save.memory && !this@calc.rc){ # delete data a and B if not needed anymore
this@B=matrix()
this@a=0
}
if(this@save.memory){ # don't store loss and CDF permanently in
this@loss=0 # save.memory mode
this@CDF=0
}
this@changes.loss=FALSE
gc()
return(this)
}
)
setGeneric("measure",function(this) standardGeneric("measure"))
setMethod(f="measure",signature=c("crp.CSFP"),definition=function(this){
#
# <measure> Calculate portfolio measures out of the calculated distribution.
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(length(this@loss)==1 && this@save.memory) # recreate losses if not available
this@loss=this@loss.unit*(0:this@M)
if(length(this@CDF)==1 && this@save.memory) # recalculate CDF if not available
this@CDF=cumsum(this@PDF)
cat("Calculating portfolio statistics....\n")
this@EL.crp=sum(as.numeric(this@loss*this@PDF)) # crp. expected loss
cat("CR+ portfolio expected loss:",fo(this@EL.crp),"\n")
cat("Expected loss difference:",fo(this@EL.crp-this@EL),"\n")
cat("CR+ Exceedance Probability of the expected loss:",1-this@CDF[floor(this@EL/this@loss.unit)],"\n")
this@SD.crp=sqrt(sum(as.numeric(this@PDF*(this@loss-this@EL.crp)^2))) # crp. standard deviation
cat("CR+ portfolio standard deviation:",fo(this@SD.crp),"\n")
L.alpha=length(this@alpha)
this@VaR=rep(0,L.alpha)
this@EC=rep(0,L.alpha)
this@VaR.pos=rep(0,L.alpha)
for(i in 1:L.alpha){
if(this@alpha.max>this@alpha[i]){ # check if alpha-quantile exists
this@VaR.pos[i]=min(which(this@CDF>this@alpha[i])) # save position of alpha-quantile and VaR
this@VaR[i]=round(this@loss[this@VaR.pos[i]],0)
cat("CR+ portfolio Value-at-risk(",this@alpha[i],"): ",fo(this@VaR[i]),sep="","\n")
}
else{
cat("WARNING: Value-at-risk(",this@alpha[i],") is not available, increase loss.unit or Niter.max",sep="","\n")
this@VaR[i]=0
}
}
this@EC=this@VaR-this@EL.crp
for(i in 1:L.alpha){
if(this@EC[i]>0)
cat("CR+ portfolio economic capital(",this@alpha[i],"): ",fo(this@EC[i]),sep="","\n")
}
for(i in 1:L.alpha){
if(this@alpha.max>this@alpha[i]){ # check if alpha-quantiles exists
if(this@VaR.pos[i]==1)
this@ES[i]=this@EL # calculate ES
else
this@ES[i]=(this@EL-sum(this@loss[1:(this@VaR.pos[i]-1)]*this@PDF[1:(this@VaR.pos[i]-1)]))/(1-this@CDF[this@VaR.pos[i]-1]) # calculate ES
cat("CR+ portfolio Expected Shortfall(",this@alpha[i],"): ",fo(this@ES[i]),sep="","\n") # "backwards" because of EL/EL.crp difference
}
else{
cat("WARNING: Expected Shortfall (",this@alpha[i],") is not available, increase loss.unit or Niter.max",sep="","\n")
this@VaR.pos[i]=0
this@ES[i]=0
}
}
this@alpha.crp=this@CDF[this@VaR.pos] # save crp. alphas for further calculations
ES.EL=(this@EL-sum(this@loss[1:floor(this@EL/this@loss.unit)]*this@PDF[1:floor(this@EL/this@loss.unit)])) /(1-this@CDF[floor(this@EL/this@loss.unit)])
cat("CR+ portfolio mean expected loss exceedance: ",fo(ES.EL),sep="","\n")
if(this@save.memory){
this@loss=0
this@CDF=0
}
this@changes.measure=FALSE
gc()
return(this)
}
)
setMethod("plot","crp.CSFP",function(x,y=""){
#
# <plot> Plotting the calculated loss distribution together with key numbers from measure
# Author: Dr. Matthias Fischer & Kevin Jakob
# Last Modified: 24/06/2013
#
if(x@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(x@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(x@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(x@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(x@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
if(deparse(substitute(x))!="x") # synchronize model name to the calling model
x@name=deparse(substitute(x)) # if it is not called from crp.CSFP()
if(length(x@loss)==1 && x@save.memory) # recreate losses if not available
x@loss=x@loss.unit*(0:x@M)
if(length(x@CDF)==1 && x@save.memory) # recalculate CDF if not available
x@CDF=cumsum(x@PDF)
if(x@PLOT.range.x[1]<1 && x@PLOT.range.x[1]>0) # convert plot intervall of confidence levels
x@PLOT.range.x[1]=x@loss[min(which(x@CDF>x@PLOT.range.x[1]))] # into an intervall of absolute losses
if(x@PLOT.range.x[2]<1 && x@PLOT.range.x[2]>0)
x@PLOT.range.x[2]=x@loss[min(which(x@CDF>x@PLOT.range.x[2]))]
unit=fo(x@PLOT.scale)
PLOT.TITLE.XLAB=paste("Loss in ",unit,sep="")
PLOT.TITLE.YLAB="Probability"
PLOT.TITLE=x@name
title=("CSFP-model")
if(all((x@PLOT.range.x==c(0,0) & x@PLOT.range.y==c(0,0))==TRUE)) # distinguish if x-/y ranges are given or choosen by R automatically
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3)
else if(any((x@PLOT.range.x!=c(0,0))==TRUE))
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,xlim=x@PLOT.range.x/x@PLOT.scale)
else if(any((x@PLOT.range.y!=c(0,0))==TRUE))
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,ylim=x@PLOT.range.y)
else
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,ylim=x@PLOT.range.y,xlim=x@PLOT.range.x/x@PLOT.scale)
nVaR=0
nES=0
if(x@EL.crp>0) # check if EL, VaR and ES exists
lines=c(x@EL.crp)
for(i in 1:length(x@VaR)){
if(x@VaR[i]>0){
lines=c(lines,x@VaR[i])
nVaR=i
}
}
for(i in 1:length(x@ES)){
if(x@ES[i]>0){
lines=c(lines,x@ES[i])
nES=i
}
}
abline(v=c(x@EL.crp,x@VaR,x@ES)/x@PLOT.scale,col=c("green",rep("blue",nVaR),rep("red",nES))) # add lines for EL, VaR and ES
legend("topright",c("EL.crp","VaR","ES"),col=c("green","blue","red"),lwd=1) # add legend
if(x@save.memory){ # dont store loss and CDF permanently in
x@loss=0 # save.memory mode
x@CDF=0
}
x@changes.plot=FALSE
gc()
return(x)
}
)
setGeneric("rc.vares",function(this) standardGeneric("rc.vares"))
setMethod(f="rc.vares",signature=c("crp.CSFP"),definition=function(this){
#
# <rc.vares> Calculation of contributions to VaR and Expected Shortfall
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
l=length(this@VaR.pos)
if(!(this@VaR.pos[l]>0 && this@ES[l]>0) || length(this@CDF)<=this@VaR.pos){ # check if VaR and ES exists
cat("VaR and ES contributions are not available. \n")
this@rc.OK=FALSE
return(this)
}
if(length(this@a)==0 || all(dim(this@B)==1)){ # check if required data exists
cat("Necessary data for calculation of risk contributions (VaR/ES) are not availabel, probably you`re running in save.memory mode. \n Change save.memory to FALSE or calc.rc to TRUE, run loss and start calculation of risk contributions (VaR/ES) again.\n")
return(this)
}
if(l>1)
alpha=this@alpha[l] # calculate RC just for last alpha
cat("Calculating VaR and ES contributions....\n")
Z=length(this@PDF) # initialization
VaR.K=numeric(this@NC)
VaR.K=this@VaR.pos[l]-this@PL.crp/this@loss.unit
alpha.M=matrix(0,nrow=this@NS+1,ncol=this@VaR.pos[l])
PLH=matrix(0,nrow=this@NS+1,ncol=Z)
PLH[1,]=this@PDF
PDVAR=this@PDF[this@VaR.pos[l]]
VaR.cont=numeric(this@NC) # Make all needed variables local to this
ES.cont=numeric(this@NC) # function instead of going up the environment
a=this@a # every calling of 'this' . This will increase
B=this@B # speed.
VaR.pos=this@VaR.pos
PL=this@PL.crp
PD=this@PD.crp
NS=this@NS
W=this@W
NC=this@NC # probability of the VaR
if (NS==1)
B=matrix(nrow=1,B)
a1=a[1]+B[,1] # for details please see SAS documentation or p.87-90 in "Credit Risk in the Banking Industry".
PLH[2:(NS+1),1]=exp(a1) # calculation of the "distorted" PDF for each sector
for(h in 2:(NS+1)){
alpha.M[h,]=a[1:VaR.pos[l]]+B[h-1,1:VaR.pos[l]]
for(j in 2:VaR.pos[l])
PLH[h,j]=sum((1:(j-1))/(j-1)*alpha.M[h,2:j]*PLH[h,(j-1):1])
}
CLH=PLH
for(x in 1:(NS+1)) # calculation of the CDF
CLH[x,]=cumsum(PLH[x,])
alpha=this@alpha.crp[l]-this@PDF[this@VaR.pos[l]]
for(i in 1:NC){ # Verify if the exposure is equal or bigger than the VaR
if(VaR.K[i]<=0){
VaR.cont[i]=0
ES.cont[i]=(PL[i]*PD[i])/(1-alpha)
}
else if(VaR.K[i]==1){
VaR.cont[i]=(PL[i]*PD[i]*sum(W[i,]*PLH[1:(NS+1),VaR.K[i]]))/PDVAR
ES.cont[i]=(PL[i]*PD[i])/(1-alpha)
}
else{
VaR.cont[i]=(PL[i]*PD[i]*sum(W[i,]*PLH[1:(NS+1),VaR.K[i]]))/PDVAR
ES.cont[i]=(PL[i]*PD[i]*sum(W[i,]*(1-CLH[1:(NS+1),(VaR.K[i]-1)])))/(1-alpha)
}
}
ES.alt=this@ES[l]
VaR=this@VaR[l]
ES=this@ES[l]
VaR.pos=this@VaR.pos[l]
alpha=this@alpha.crp[l]-this@PDF[VaR.pos]
while(VaR<ES){ # calculation of expected shortfall TAU
VaR.pos=VaR.pos-1
alpha=alpha-this@PDF[VaR.pos]
ES=(this@EL-sum((0:(VaR.pos-2))*this@loss.unit*this@PDF[1:(VaR.pos-1)]))/(1-alpha)
}
cat("CR+ Expected Shortfall TAU(",alpha+this@PDF[VaR.pos],"):",fo(ES),"\n")
VaR.K=VaR.pos-this@PL.crp/this@loss.unit # calculation of the contributions for ES TAU
ES.tau.cont=ES.cont # (analog to ES)
for(i in 1:NC){
if(VaR.K[i]<=1)
ES.tau.cont[i]=(PL[i]*PD[i])/(1)
else
ES.tau.cont[i]=(PL[i]*PD[i]*sum(W[i,]*(1-CLH[1:(NS+1),(VaR.K[i]-1)])))/(1-alpha)
}
cat("Scale Factor for TAU",sum(VaR.cont)/sum(ES.tau.cont),"\n")
ES.tau.cont=ES.tau.cont*sum(VaR.cont)/sum(ES.tau.cont) # upscaling
if(round(sum(VaR.cont),0)==round(VaR,0))
cat("Sum Check VaR: OK\n")
else
cat("Sum Check VaR: NOT OK, Difference:",fo(sum(VaR.cont)-VaR),"\n")
if(round(sum(ES.cont),0)==round(ES.alt,0))
cat("Sum Check ES: OK\n")
else
cat("Sum Check ES: NOT OK, Difference:",fo(sum(this@ES.cont)-ES.alt),"\n")
remove(list=c("a","B","VaR.pos","PL","PD","W"))
this@VaR.cont=VaR.cont
remove(VaR.cont)
this@ES.cont=ES.cont
remove(ES.cont)
this@ES.tau.cont=ES.tau.cont
remove(list=c("ES.tau.cont","alpha.M","PLH","CLH","VaR.K"))
this@rc.OK=TRUE
cat("Done....\n")
this@changes.rc.vares=FALSE
gc()
return(this)
}
)
setGeneric("rc.sd",function(this) standardGeneric("rc.sd"))
setMethod(f="rc.sd",signature="crp.CSFP",definition=function(this){
#
# <rc.sd> Calculation of SD Contributions
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
cat("Calculating SD contributions....\n")
NC=this@NC # Make all needed variables local to this
NS=this@NS # function instead of going up the environment
PL=this@PL.crp # every calling of 'this' . This will increase
PD=this@PD.crp # speed.
W=this@W
SD.cont=as.numeric(this@NC)
SD=this@SD
sigma_k=this@sigma_k
loss.k=this@loss.k
if(sum(W[,2:(NS+1)])==0){ # just ideosyncratic factor exists
for(i in 1:NC)
SD.cont[i]=(PL[i]*PD[i]/SD)*PL[i]
}
else{
for(i in 1:NC){ # calculation based on formula (2.27) in
k=sum(sigma_k^2*W[i,-1]*loss.k) # Gundlach/Lehrbass (2003)
SD.cont[i]=(PL[i]*PD[i]/SD)*(PL[i]+k)
}
}
if(round(sum(SD.cont),0)==round(SD,0))
cat("Sum Check SD: OK\n")
else
cat("Sum Check SD: NOT OK, Difference:",fo(sum(SD.cont)-SD),"\n")
remove(list=c("PL","PD","W","sigma_k","loss.k"))
this@SD.cont=SD.cont
remove(SD.cont)
cat("Done....\n")
this@changes.rc.sd=FALSE
gc()
return(this)
}
)
setGeneric("export",function(this) standardGeneric("export"))
setMethod(f="export",signature=c("crp.CSFP"),definition=function(this){
#
# <export> Export the calculated Risk Contributions to a CSV file
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
#
if(nchar(this@path.out)==0)
stop("path.out is unspecified!")
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
if(this@changes.rc.vares)
cat("WARNING: Inputparameter effecting 'rc.vares()' have been changed, without running 'rc.vares()' and the following routines afterwards.\n")
if(this@changes.rc.sd)
cat("WARNING: Inputparameter effecting 'rc.sd()' have been changed, without running 'rc.sd()' and the following routines afterwards.\n")
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # if it is not called from crp.CSFP()
if(length(this@loss)==1 && this@save.memory) # recreate losses if not available
this@loss=this@loss.unit*(0:this@M)
if(length(this@CDF)==1 && this@save.memory) # recalculate CDF if not available
this@CDF=cumsum(this@PDF)
cat("Exporting loss distribution...\n")
FILE.TITLE="lossdist"
FILE.name=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep="")
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(matrix(cbind(this@loss,this@PDF,this@CDF),nrow=this@M+1,ncol=3,dimnames=list(1:length(this@PDF),c("Loss","PDF","CDF"))), file=FILE.name,row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(matrix(cbind(this@loss,this@PDF,this@CDF),nrow=this@M+1,ncol=3,dimnames=list(1:length(this@PDF),c("Loss","PDF","CDF"))), file=FILE.name,row.names=FALSE)
cat("Writing summary file...\n")
this=write.summary(this) # write input/output data to file
if(this@calc.rc && this@rc.OK){
cat("Exporting risk contributions...\n")
if(this@NS==1)
COL.nameS=c("CP.NR","PL","CP.rating","Sektor:1","RC_EL","SD","SD/SD_Gesamt","VaR","VaR/VaR_Gesamt","TAU","TAU/(SUMME TAU)","ES","ES/ES_Gesamt")
else
COL.nameS=c("CP.NR","PL","CP.rating","Sektor:1",as.character(c(2:this@NS)),"RC_EL","SD","SD/SD_Gesamt", "VaR","VaR/VaR_Gesamt","TAU","TAU/(SUMME TAU)","ES","ES/ES_Gesamt")
RC=matrix(,nrow=this@NC,ncol=12+this@NS,dimnames=list(1:this@NC,COL.nameS)) # collect risk contribution in one matrix
RC[,1]=this@CP.NR
RC[,2]=this@PL.crp
RC[,3]=this@CP.rating
RC[,4:(this@NS+3)]=this@W[,2:(this@NS+1)]
RC[,this@NS+4]=this@PL.crp*this@PD.crp
RC[,this@NS+5]=this@SD.cont
RC[,this@NS+6]=this@SD.cont/sum(this@SD.cont)
RC[,this@NS+7]=this@VaR.cont
RC[,this@NS+8]=this@VaR.cont/sum(this@VaR.cont)
RC[,this@NS+9]=this@ES.tau.cont
RC[,this@NS+10]=this@ES.tau.cont/sum(this@ES.tau.cont)
RC[,this@NS+11]=this@ES.cont
RC[,this@NS+12]=this@ES.cont/sum(this@ES.cont)
FILE.TITLE="RC"# File name of loss distribution
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(RC, file=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep=""),row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(RC, file=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep=""),row.names=FALSE)
cat("Done....\n")
remove(RC)
}
if(this@save.memory){ # dont store risk contributions after export
this@ES.cont=0 # in save.memory mode
this@VaR.cont=0
this@ES.tau.cont=0
this@SD.cont=0
this@loss=0
this@CDF=0
}
this@changes.export=FALSE
gc()
return(this)
}
)
setGeneric("crp.CSFP",function(this,skip.read) standardGeneric("crp.CSFP"))
setMethod(f="crp.CSFP",signature=c("crp.CSFP","logical"),definition=function(this,skip.read){
#
# <crp.CSFP> Main routine of portfolio model
#
# Last Modified: 24/06/2013
# Author: Kevin Jakob
#
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # synchronize model name to the calling model
org.save.memory=this@save.memory # save original state of save.memory and
this@save.memory=FALSE # change to FALSE during calculations in order
# to increase performance
if(!skip.read){
this=read(this)
if(!this@read.OK)
return(this)
}
this=plausi(this)
if(!this@plausi.OK)
return(this)
this=calc.portfolio.statistics(this)
this=loss.dist(this)
this=measure(this)
if(this@PLOT.PDF)
this=plot(this)
else
cat("You dont want to plot the PDF, otherwise set attribute PLOT.PDF=TRUE (default case)!\n")
if(this@calc.rc){
this=rc.vares(this)
this=rc.sd(this)
}
else
cat("You dont want to calculate the Risk Contributions otherwise set attribute calc.rc=TRUE!\n")
if(this@export.to.file)
this=export(this)
this@save.memory=org.save.memory # restore original save.memory state
if(this@save.memory && !this@calc.rc){
this@B=matrix()
this@a=0
this@ES.cont=0
this@VaR.cont=0
this@ES.tau.cont=0
this@SD.cont=0
}
if(this@save.memory){
this@loss=0
this@CDF=0
this@PD=0
this@PL=0
}
gc()
return(this)
}
)
setMethod(f="crp.CSFP",signature=c("crp.CSFP","missing"),definition=function(this){
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this))
crp.CSFP(this,skip.read=FALSE)})
setMethod(f="summary",signature=c("crp.CSFP"),definition=function(object){
S=list(name=object@name,sec.var.est=object@sec.var.est,
loss.unit=object@loss.unit,Niter.max=object@Niter.max,NC=object@NC,
NS=object@NS,EL=object@EL,EL.crp=object@EL.crp,SD=object@SD,
SD.crp=object@SD.crp,SIGMA.DIV=object@sigma_sqr_div,
SIGMA.SYST=object@sigma_sqr_syst,alpha.max=object@alpha.max,
PL=sum(object@PL),alpha=object@alpha,VaR=object@VaR,EC=object@EC,
ES=object@ES)
return(S)
}
)
setGeneric("write.summary",function(this) standardGeneric("write.summary"))
setMethod(f="write.summary",signature=c("crp.CSFP"),definition=function(this){
if(nchar(this@path.out)==0)
stop("path.out is unspecified!")
if(deparse(substitute(this))!="this")
this@name=deparse(substitute(this))
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(summary(this),paste(this@path.out,this@name,"/summary.csv",sep=""),row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(summary(this),paste(this@path.out,this@name,"/summary.csv",sep=""),row.names=FALSE)
return(this)
}
)
setGeneric("integrity.check",function(method,this) standardGeneric("integrity.check"))
setMethod(f="integrity.check",signature=c("character","crp.CSFP"),definition=function(method,this){
if(method=="read"){
if(this@changes.read)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="plausi"){
if(this@changes.read || this@changes.plausi)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="calc.portfolio.statistics"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="loss"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="measure"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="plot"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.plot)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="rc.vares"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.vares)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="rc.sd"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.sd)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="export"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.vares || this@changes.rc.sd || this@changes.export)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
return()
}
)
setGeneric("set.changes",function(method,this) standardGeneric("set.changes"))
setMethod(f="set.changes",signature=c("character","crp.CSFP"),definition=function(method,this){
if(method=="read"){
this@changes.read=TRUE
this@changes.plausi=TRUE
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="plausi"){
this@changes.plausi=TRUE
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="calc.portfolio.statistics"){
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="loss"){
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="measure"){
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="plot"){
this@changes.plot=TRUE
}
if(method=="rc.vares"){
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="rc.sd"){
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.export=TRUE
}
if(method=="export"){
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
return(this)
})
setMethod("show", signature = "crp.CSFP", definition = function(object){
if(any(object@changes.read,object@changes.plausi,object@changes.calc.portfolio.statistics,object@changes.loss,object@changes.measure,object@changes.plot,object@changes.rc.vares,object@changes.rc.sd,object@changes.export))
cat("WARNING: Input parameters have been changed without recalculation of the model. Displayed results may be incorrect.\n")
S=summary(object)
cat("Model name:",S$name,"\n")
cat("Number of counterparties:",S$NC,"\n")
cat("Number of sectors:",S$NS,"\n")
cat("Expected loss:",fo(S$EL),"(analytical);",fo(S$EL.crp),"(discretized)\n")
cat(" SD loss:",fo(S$SD),"(analytical);",fo(S$SD.crp),"(discretized)\n")
cat("Systematic SD:",fo(sqrt(S$SIGMA.SYST)),"; Diversifiable SD:",fo(sqrt(S$SIGMA.DIV)),"\n")
temp=data.frame(S$alpha,fo(S$EC),fo(S$VaR),fo(S$ES))
colnames(temp)=c("alpha ","EC ","VaR ","ES ")
write.matrix(temp)
cat("Loss unit:",fo(S$loss.unit),"\n")
if(S$Niter.max<1)
cat("Maximum level of CDF:",S$Niter.max,"\n")
else
cat("Maximum number of iterations for loss distribution:",fo(S$Niter.max),"\n")
cat("Calculation of risk contributions:",object@calc.rc,"\n")
})
setGeneric("path.in",function(this) standardGeneric("path.in"))
setMethod(f="path.in",signature=c("crp.CSFP"),definition=function(this) this@path.in)
setGeneric("path.in<-",function(this,value) standardGeneric("path.in<-"))
setReplaceMethod(f="path.in",signature=c("crp.CSFP","character"),definition=function(this,value){this@path.in=value;this=set.changes("read",this);this})
setGeneric("path.out",function(this) standardGeneric("path.out"))
setMethod(f="path.out",signature=c("crp.CSFP"),definition=function(this) this@path.out)
setGeneric("path.out<-",function(this,value) standardGeneric("path.out<-"))
setReplaceMethod(f="path.out",signature=c("crp.CSFP","character"),definition=function(this,value){this@path.out=value;this=set.changes("export",this);this})
setGeneric("port.name",function(this) standardGeneric("port.name"))
setMethod(f="port.name",signature=c("crp.CSFP"),definition=function(this) this@port.name)
setGeneric("port.name<-",function(this,value) standardGeneric("port.name<-"))
setReplaceMethod(f="port.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@port.name=value;this=set.changes("read",this);this})
setGeneric("name",function(this) standardGeneric("name"))
setMethod(f="name",signature=c("crp.CSFP"),definition=function(this) this@name)
setGeneric("name<-",function(this,value) standardGeneric("name<-"))
setReplaceMethod(f="name",signature=c("crp.CSFP","character"),definition=function(this,value){this@name=value;this=set.changes("read",this);this})
setGeneric("rating.scale.name",function(this) standardGeneric("rating.scale.name"))
setMethod(f="rating.scale.name",signature=c("crp.CSFP"),definition=function(this) this@rating.scale.name)
setGeneric("rating.scale.name<-",function(this,value) standardGeneric("rating.scale.name<-"))
setReplaceMethod(f="rating.scale.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@rating.scale.name=value;this=set.changes("read",this);this})
setGeneric("sec.var.name",function(this) standardGeneric("sec.var.name"))
setMethod(f="sec.var.name",signature=c("crp.CSFP"),definition=function(this) this@sec.var.name)
setGeneric("sec.var.name<-",function(this,value) standardGeneric("sec.var.name<-"))
setReplaceMethod(f="sec.var.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@sec.var.name=value;this=set.changes("read",this);this})
setGeneric("sec.var.est",function(this) standardGeneric("sec.var.est"))
setMethod(f="sec.var.est",signature=c("crp.CSFP"),definition=function(this) this@sec.var.est)
setGeneric("sec.var.est<-",function(this,value) standardGeneric("sec.var.est<-"))
setReplaceMethod(f="sec.var.est",signature=c("crp.CSFP","numeric"),definition=function(this,value){ if(value==5 || this@sec.var.est==5)
this=set.changes("read",this)
else
this=set.changes("calc.portfolio.statistics",this)
this@sec.var.est=value
this})
setGeneric("loss.unit",function(this) standardGeneric("loss.unit"))
setMethod(f="loss.unit",signature=c("crp.CSFP"),definition=function(this) this@loss.unit)
setGeneric("loss.unit<-",function(this,value) standardGeneric("loss.unit<-"))
setReplaceMethod(f="loss.unit",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(value<=0)
stop("Loss unit has to be positive!\n")
this@loss.unit=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("Niter.max",function(this) standardGeneric("Niter.max"))
setMethod(f="Niter.max",signature=c("crp.CSFP"),definition=function(this) this@Niter.max)
setGeneric("Niter.max<-",function(this,value) standardGeneric("Niter.max<-"))
setReplaceMethod(f="Niter.max",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(!value>0)
stop("Niter.max has to be positive!\n")
this@Niter.max=value
this=set.changes("loss",this)
this
})
setGeneric("alpha",function(this) standardGeneric("alpha"))
setMethod(f="alpha",signature=c("crp.CSFP"),definition=function(this) this@alpha)
setGeneric("alpha<-",function(this,value) standardGeneric("alpha<-"))
setReplaceMethod(f="alpha",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<=0) || any(value>=1))
stop("alpha has to be between 0 and 1!\n")
this@alpha=value
this=set.changes("measure",this)
this})
setGeneric("PLOT.PDF",function(x,...) standardGeneric("PLOT.PDF"))
setMethod(f="PLOT.PDF",signature="crp.CSFP",definition=function(x,...){return(x@PLOT.PDF)})
setGeneric("PLOT.PDF<-",function(x,value) standardGeneric("PLOT.PDF<-"))
setReplaceMethod(f="PLOT.PDF",signature=c("crp.CSFP","logical"),definition=function(x,value){x@PLOT.PDF=value;x=set.changes("plot",x);x})
setGeneric("export.to.file",function(this) standardGeneric("export.to.file"))
setMethod(f="export.to.file",signature=c("crp.CSFP"),definition=function(this) this@export.to.file)
setGeneric("export.to.file<-",function(this,value) standardGeneric("export.to.file<-"))
setReplaceMethod(f="export.to.file",signature=c("crp.CSFP","logical"),definition=function(this,value){this@export.to.file=value;this=set.changes("export",this);this})
setGeneric("calc.rc",function(this) standardGeneric("calc.rc"))
setMethod(f="calc.rc",signature=c("crp.CSFP"),definition=function(this) this@calc.rc)
setGeneric("calc.rc<-",function(this,value) standardGeneric("calc.rc<-"))
setReplaceMethod(f="calc.rc",signature=c("crp.CSFP","logical"),definition=function(this,value){this@calc.rc=value;this=set.changes("rc.vares",this);this})
setGeneric("save.memory",function(this) standardGeneric("save.memory"))
setMethod(f="save.memory",signature=c("crp.CSFP"),definition=function(this) this@save.memory)
setGeneric("save.memory<-",function(this,value) standardGeneric("save.memory<-"))
setReplaceMethod(f="save.memory",signature=c("crp.CSFP","logical"),definition=function(this,value){this@save.memory=value;this=set.changes("loss",this);this})
setGeneric("PLOT.range.x",function(x,...) standardGeneric("PLOT.range.x"))
setMethod(f="PLOT.range.x",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.range.x)
setGeneric("PLOT.range.x<-",function(x,value) standardGeneric("PLOT.range.x<-"))
setReplaceMethod(f="PLOT.range.x",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.range.x=value;x=set.changes("plot",x);x})
setGeneric("PLOT.range.y",function(x,...) standardGeneric("PLOT.range.y"))
setMethod(f="PLOT.range.y",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.range.y)
setGeneric("PLOT.range.y<-",function(x,value) standardGeneric("PLOT.range.y<-"))
setReplaceMethod(f="PLOT.range.y",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.range.y=value;x=set.changes("plot",x);x})
setGeneric("PLOT.scale",function(x,...) standardGeneric("PLOT.scale"))
setMethod(f="PLOT.scale",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.scale)
setGeneric("PLOT.scale<-",function(x,value) standardGeneric("PLOT.scale<-"))
setReplaceMethod(f="PLOT.scale",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.scale=value;x=set.changes("plot",x);x})
setGeneric("file.format",function(this) standardGeneric("file.format"))
setMethod(f="file.format",signature=c("crp.CSFP"),definition=function(this) this@file.format)
setGeneric("file.format<-",function(this,value) standardGeneric("file.format<-"))
setReplaceMethod(f="file.format",signature=c("crp.CSFP","character"),definition=function(this,value){
if(!(value=="csv" || value=="csv2")){
cat("Wrong specification of file.format. Choose between csv and csv2.\n")
return(this)
}
this@file.format=value;this=set.changes("read",this);this})
setGeneric("NS",function(this) standardGeneric("NS"))
setMethod(f="NS",signature=c("crp.CSFP"),definition=function(this){
integrity.check("read",this)
this@NS})
setGeneric("NC",function(this) standardGeneric("NC"))
setMethod(f="NC",signature=c("crp.CSFP"),definition=function(this){
integrity.check("read",this)
this@NC})
setGeneric("sec.var",function(this) standardGeneric("sec.var"))
setMethod(f="sec.var",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@sec.var})
setGeneric("sec.var<-",function(this,value) standardGeneric("sec.var<-"))
setReplaceMethod(f="sec.var",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NS)
stop("Length of new value (",length(value),") is unequal number of sectors in the model (",this@NS,")!\n")
if(any(value<=0))
stop("Sector variances have to be positive")
this@sec.var=value
this=set.changes("plausi",this)
this})
setGeneric("NEX",function(this) standardGeneric("NEX"))
setMethod(f="NEX",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@NEX})
setGeneric("NEX<-",function(this,value) standardGeneric("NEX<-"))
setReplaceMethod(f="NEX",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<0))
stop("NEX has to be non negative!\n")
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@NEX=value
this=set.changes("plausi",this)
this})
setGeneric("LGD",function(this) standardGeneric("LGD"))
setMethod(f="LGD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@LGD})
setGeneric("LGD<-",function(this,value) standardGeneric("LGD<-"))
setReplaceMethod(f="LGD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<0) || any(value>1))
stop("LGDs are supposed to be between 0 and 1!\n")
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@LGD=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("PL",function(this) standardGeneric("PL"))
setMethod(f="PL",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PL})
setGeneric("PD",function(this) standardGeneric("PD"))
setMethod(f="PD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PD})
setGeneric("EL",function(this) standardGeneric("EL"))
setMethod(f="EL",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@EL})
setGeneric("nu",function(this) standardGeneric("nu"))
setMethod(f="nu",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@nu})
setGeneric("PL.crp",function(this) standardGeneric("PL.crp"))
setMethod(f="PL.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PL.crp})
setGeneric("PD.crp",function(this) standardGeneric("PD.crp"))
setMethod(f="PD.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PD.crp})
setGeneric("CP.rating",function(this) standardGeneric("CP.rating"))
setMethod(f="CP.rating",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@CP.rating})
setGeneric("CP.rating<-",function(this,value) standardGeneric("CP.rating<-"))
setReplaceMethod(f="CP.rating",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
for(i in 1:this@NC){
if(!is.element(value[i],this@rating))
stop("Counterparties ratings does not correspond to rating possible rating grades!\n")
}
this@CP.rating=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("CP.NR",function(this) standardGeneric("CP.NR"))
setMethod(f="CP.NR",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@CP.NR})
setGeneric("CP.NR<-",function(this,value) standardGeneric("CP.NR<-"))
setReplaceMethod(f="CP.NR",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@CP.NR=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("W",function(this) standardGeneric("W"))
setMethod(f="W",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@W})
setGeneric("W<-",function(this,value) standardGeneric("W<-"))
setReplaceMethod(f="W",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(nrow(value)!=this@NC)
stop("Number of rows is unequal to number of counterparties in the model!\n")
if(ncol(value)!=this@NS)
stop("number of columns is unequal to number of sectors in the model!\n ")
if(this@NS>1){ # check if sector weights are plausible
if(sum(rowSums(value[,-1])<=1)!=nrow(value[,-1])|sum(value[,-1]>=0)!=nrow(value[,-1])*ncol(value[,-1]))
stop("Sum of weights have to be between 0 and 1 for each counterparty!\n")
}
else if(this@NS==1){
if(any(value>=0 & value<=1)==FALSE)
stop("Sum of weights have to be between 0 and 1 for each counterparty!\n")
}
this@W=value
this=set.changes("plausi",this)
this})
setGeneric("rating.PD",function(this) standardGeneric("rating.PD"))
setMethod(f="rating.PD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@rating.PD})
setGeneric("rating.PD<-",function(this,value) standardGeneric("rating.PD<-"))
setReplaceMethod(f="rating.PD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating \n")
if(length(value)!=length(rating.SD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.SD \n")
if(any(diff(value)<0))
stop("PDs have to be in ascending order!\n")
this@rating.PD=value
this=set.changes("plausi",this)
this})
setGeneric("rating",function(this) standardGeneric("rating"))
setMethod(f="rating",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@rating})
setGeneric("rating<-",function(this,value) standardGeneric("rating<-"))
setReplaceMethod(f="rating",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating.PD))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating.PD \n")
if(length(value)!=length(rating.SD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.SD \n")
if(any(diff(value)<0))
stop("Rating classes have to be in ascending order!\n")
this@rating=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("rating.SD",function(this) standardGeneric("rating.SD"))
setMethod(f="rating.SD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@rating.SD})
setGeneric("rating.SD<-",function(this,value) standardGeneric("rating.SD<-"))
setReplaceMethod(f="rating.SD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating \n")
if(length(value)!=length(rating.PD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.PD \n")
this@rating.SD=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("M",function(this) standardGeneric("M"))
setMethod(f="M",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@M})
setGeneric("mu.k",function(this) standardGeneric("mu.k"))
setMethod(f="mu.k",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@mu.k})
setGeneric("loss.k",function(this) standardGeneric("loss.k"))
setMethod(f="loss.k",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@loss.k})
setGeneric("sigma_k",function(object,...) standardGeneric("sigma_k"))
setMethod(f="sigma_k",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_k})
setGeneric("sigma_sqr_div",function(object,...) standardGeneric("sigma_sqr_div"))
setMethod(f="sigma_sqr_div",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_sqr_div})
setGeneric("sigma_sqr_syst",function(object,...) standardGeneric("sigma_sqr_syst"))
setMethod(f="sigma_sqr_syst",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_sqr_syst})
setGeneric("SD",function(this) standardGeneric("SD"))
setMethod(f="SD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@SD})
setGeneric("alpha.max",function(this) standardGeneric("alpha.max"))
setMethod(f="alpha.max",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@alpha.max})
setGeneric("alpha.max<-",function(this,value) standardGeneric("alpha.max<-"))
setReplaceMethod(f="alpha.max",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(value<=0 || value>1)
stop("alpha.max has to be between 0 and 1!\n")
this@alpha.max=value
this=set.changes("loss",this)
this})
setGeneric("a",function(this) standardGeneric("a"))
setMethod(f="a",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@a})
setGeneric("PDF",function(this) standardGeneric("PDF"))
setMethod(f="PDF",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@PDF})
setGeneric("CDF",function(this) standardGeneric("CDF"))
setMethod(f="CDF",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@CDF})
setGeneric("B",function(this) standardGeneric("B"))
setMethod(f="B",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@B})
setGeneric("loss",function(this) standardGeneric("loss"))
setMethod(f="loss",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@loss})
setGeneric("VaR",function(this) standardGeneric("VaR"))
setMethod(f="VaR",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@VaR})
setGeneric("EC",function(this) standardGeneric("EC"))
setMethod(f="EC",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@EC})
setGeneric("ES",function(this) standardGeneric("ES"))
setMethod(f="ES",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@ES})
setGeneric("VaR.cont",function(this) standardGeneric("VaR.cont"))
setMethod(f="VaR.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@VaR.cont})
setGeneric("ES.cont",function(this) standardGeneric("ES.cont"))
setMethod(f="ES.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@ES.cont})
setGeneric("ES.tau.cont",function(this) standardGeneric("ES.tau.cont"))
setMethod(f="ES.tau.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@ES.tau.cont})
setGeneric("EL.crp",function(this) standardGeneric("EL.crp"))
setMethod(f="EL.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@EL.crp})
setGeneric("SD.crp",function(this) standardGeneric("SD.crp"))
setMethod(f="SD.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@SD.crp})
setGeneric("VaR.pos",function(this) standardGeneric("VaR.pos"))
setMethod(f="VaR.pos",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@VaR.pos})
setGeneric("alpha.crp",function(this) standardGeneric("alpha.crp"))
setMethod(f="alpha.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@alpha.crp})
setGeneric("SD.cont",function(this) standardGeneric("SD.cont"))
setMethod(f="SD.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.sd",this)
this@SD.cont})
setGeneric("changes.read",function(this) standardGeneric("changes.read"))
setMethod(f="changes.read",signature=c("crp.CSFP"),definition=function(this){
this@changes.read
})
setGeneric("changes.plausi",function(this) standardGeneric("changes.plausi"))
setMethod(f="changes.plausi",signature=c("crp.CSFP"),definition=function(this){
this@changes.plausi
})
setGeneric("changes.calc.portfolio.statistics",function(this) standardGeneric("changes.calc.portfolio.statistics"))
setMethod(f="changes.calc.portfolio.statistics",signature=c("crp.CSFP"),definition=function(this){
this@changes.calc.portfolio.statistics
})
setGeneric("changes.loss",function(this) standardGeneric("changes.loss"))
setMethod(f="changes.loss",signature=c("crp.CSFP"),definition=function(this){
this@changes.loss
})
setGeneric("changes.measure",function(this) standardGeneric("changes.measure"))
setMethod(f="changes.measure",signature=c("crp.CSFP"),definition=function(this){
this@changes.measure
})
setGeneric("changes.plot",function(this) standardGeneric("changes.plot"))
setMethod(f="changes.plot",signature=c("crp.CSFP"),definition=function(this){
this@changes.plot
})
setGeneric("changes.rc.vares",function(this) standardGeneric("changes.rc.vares"))
setMethod(f="changes.rc.vares",signature=c("crp.CSFP"),definition=function(this){
this@changes.rc.vares
})
setGeneric("changes.rc.sd",function(this) standardGeneric("changes.rc.sd"))
setMethod(f="changes.rc.sd",signature=c("crp.CSFP"),definition=function(this){
this@changes.rc.sd
})
setGeneric("changes.export",function(this) standardGeneric("changes.export"))
setMethod(f="changes.export",signature=c("crp.CSFP"),definition=function(this){
this@changes.export
})
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setClass(Class="crp.CSFP", #define the names and types of attributes of crp.CSFP
representation=representation(
path.in = "character",
path.out="character",
port.name="character",
rating.scale.name="character",
sec.var.name="character",
sec.var.est="numeric",
loss.unit="numeric",
Niter.max="numeric",
Niter.max.global="numeric",
alpha="numeric",
PLOT.PDF="logical",
calc.rc="logical",
rating="numeric",
rating.PD="numeric",
rating.SD="numeric",
NS="numeric",
NC="numeric",
sec.var="numeric",
CP.NR="numeric",
CP.rating="numeric",
NEX="numeric",
LGD="numeric",
PL="numeric",
PD="numeric",
EL="numeric",
EL.crp="numeric",
nu="numeric",
PL.crp="numeric",
PD.crp="numeric",
M="numeric",
mu.k="numeric",
loss.k="numeric",
sigma_k="numeric",
sigma_sqr_div="numeric",
sigma_sqr_syst="numeric",
SD="numeric",
SD.crp="numeric",
W="matrix",
alpha.max="numeric",
a="numeric",
PDF="numeric",
CDF="numeric",
B="matrix",
loss="numeric",
PLOT.scale="numeric",
PLOT.range.x="numeric",
PLOT.range.y="numeric",
VaR="numeric",
EC="numeric",
ES="numeric",
VaR.cont="numeric",
ES.cont="numeric",
ES.tau.cont="numeric",
SD.cont="numeric",
read.OK="logical",
plausi.OK="logical",
rc.OK="logical",
save.memory="logical",
VaR.pos="numeric",
alpha.crp="numeric",
name="character",
changes.read="logical",
changes.plausi="logical",
changes.calc.portfolio.statistics="logical",
changes.loss="logical",
changes.measure="logical",
changes.plot="logical",
changes.rc.vares="logical",
changes.rc.sd="logical",
changes.export="logical",
file.format="character",
input="list",
export.to.file="logical"),
prototype=prototype( path.in="", #define default values
path.out="",
port.name="portfolio.csv",
rating.scale.name="rating_pd.csv",
sec.var.name="pd_sector_var.csv",
sec.var.est=5,
loss.unit=1e6,
Niter.max=0.9999,
Niter.max.global=1e5,
alpha=c(0.999),
PLOT.PDF=TRUE,
calc.rc=FALSE,
rating=0,
rating.PD=0,
rating.SD=0,
NS=0,
NC=0,
sec.var=0,
CP.NR=0,
CP.rating=0,
NEX=0,
LGD=0,
PL=0,
PD=0,
EL=0,
EL.crp=0,
nu=0,
PL.crp=0,
PD.crp=0,
M=0,
mu.k=0,
loss.k=0,
sigma_k=0,
sigma_sqr_div=0,
sigma_sqr_syst=0,
SD=0,
SD.crp=0,
W=matrix(),
alpha.max=0,
a=0,
PDF=0,
CDF=0,
B=matrix(),
loss=0,
PLOT.scale=1e6,
PLOT.range.x=c(0,0),
PLOT.range.y=c(0,0),
VaR=0,
EC=0,
ES=0,
VaR.cont=0,
ES.cont=0,
ES.tau.cont=0,
SD.cont=0,
read.OK=FALSE,
plausi.OK=FALSE,
rc.OK=FALSE,
save.memory=FALSE,
VaR.pos=0,
alpha.crp=0,
name="MyModel",
changes.read=FALSE,
changes.plausi=FALSE,
changes.calc.portfolio.statistics=FALSE,
changes.loss=FALSE,
changes.measure=FALSE,
changes.plot=FALSE,
changes.rc.vares=FALSE,
changes.rc.sd=FALSE,
changes.export=FALSE,
file.format="csv",
input=list(),
export.to.file=FALSE)
)
setGeneric("read",function(this) standardGeneric("read"))
setMethod("read",c("crp.CSFP"),function(this) {
#
# <read> Import portfolio and risk data
#
# Last Modified: 24/06/2013
# Author: Matthias Fischer & Kevin Jakob
#
ERROR=0
# --------------------------------------------------------------------------------------
# Importing rating, probability of default and standard deviation
# ---------------------------------------------------------------------------------------
cat("Importing risk information (Rating, PD, SD)....\n")
if(nrow(this@input$rating.scale)>0)
RISK.MATRIX=this@input$rating.scale
else if(file.exists(paste(this@path.in,this@rating.scale.name,sep=""))==TRUE){ # check if the file exists
if(this@file.format=="csv")
RISK.MATRIX=read.csv(paste(this@path.in,this@rating.scale.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
RISK.MATRIX=read.csv2(paste(this@path.in,this@rating.scale.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@rating.scale.name," file is missing!!!\n",sep=""))
ERROR=ERROR+1
}
if(ERROR==0){
if(is.null(RISK.MATRIX$RATING)){
cat("The RATING-column in ",this@rating.scale.name," is missing.")
ERROR=ERROR+1
}
else
this@rating=RISK.MATRIX$RATING # assigne data to attributes
if(is.null(RISK.MATRIX$PD)){
cat("The PD-column in ",this@rating.scale.name," is missing.\n")
ERROR=ERROR+1
}
else
this@rating.PD=RISK.MATRIX$PD
if(this@sec.var.est<5){
if(is.null(RISK.MATRIX$SD)){
cat("The SD-column in ",this@rating.scale.name," is missing.\n")
ERROR=ERROR+1
}
else
this@rating.SD=RISK.MATRIX$SD
}
remove(RISK.MATRIX)
this@input$rating.scale=data.frame()
}
# --------------------------------------------------------------------------------------
# Importing portfolio data
# ---------------------------------------------------------------------------------------
cat("Importing portfolio data....\n")
if(nrow(this@input$portfolio)>0)
PORTFOLIO=this@input$portfolio
else if(file.exists(paste(this@path.in,this@port.name,sep=""))==TRUE){ # check if file exists
if(this@file.format=="csv")
PORTFOLIO=read.csv(paste(this@path.in,this@port.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
PORTFOLIO=read.csv2(paste(this@path.in,this@port.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@port.name," file is missing!!!\n"),sep="")
ERROR=ERROR+1
}
if(ERROR==0){
this@NS=length(PORTFOLIO)-6 # assigne data to attributes
if(is.null(PORTFOLIO$CPnumber)){
cat("The CPnumber-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else{
this@CP.NR=PORTFOLIO$CPnumber
this@NC=length(PORTFOLIO$CPnumber)
}
if(is.null(PORTFOLIO$rating)){
cat("The rating-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@CP.rating=PORTFOLIO$rating
if(is.null(PORTFOLIO$exposure)){
cat("The exposure-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@NEX=PORTFOLIO$exposure
if(is.null(PORTFOLIO$lgd)){
cat("The lgd-column in ",this@port.name," is missing.\n")
ERROR=ERROR+1
}
else
this@LGD=PORTFOLIO$lgd
TEMP=(do.call(cbind,PORTFOLIO))[,-(1:6)] # extract weight matrix
if(is.null(TEMP)){
cat("The sector-weights in ",this@port.name," are missing.\n")
ERROR=ERROR+1
}
else{
remove(PORTFOLIO)
this@input$portfolio=data.frame()
if(this@NS==1)
TEMP=matrix(ncol=1,TEMP) # convert to matrix
this@W=cbind(1-apply(TEMP,1,sum),TEMP) # attache idiosyncratic weights as first column
remove(TEMP)
}
}
# --------------------------------------------------------------------------------------
# Importing sector information
# ---------------------------------------------------------------------------------------
if(this@sec.var.est==5){ # sector variances are just needed if sec.var.est=5, otherwise they are calculated out of rating.SD
cat("Importing PD sector variances....\n")
if(nrow(this@input$sec.var)>0)
sec.var=this@input$sec.var
else if(file.exists(paste(this@path.in,this@sec.var.name,sep=""))==TRUE){ # check if file exists
if(this@file.format=="csv")
sec.var=read.csv(paste(this@path.in,this@sec.var.name,sep=""),header=TRUE)
else if(this@file.format=="csv2")
sec.var=read.csv2(paste(this@path.in,this@sec.var.name,sep=""),header=TRUE)
}
else{
cat(paste("ERROR: The ",this@sec.var.name," file is missing!!!\n",sep=""))
ERROR=ERROR+1
}
if(ERROR==0){
if(is.null(sec.var$Var)){
cat("The Var-column in ",this@sec.var.name," is missing.\n")
ERROR=ERROR+1
}
else if(length(sec.var$Var)<this@NS){
cat("ERROR: Number of sector variances specified in ",this@sec.var.name," (",length(sec.var$Var),") is smaller then the number of sectors (",this@NS,").\n",sep="")
ERROR=ERROR+1
}
else{
this@sec.var=sec.var$Var
remove(sec.var)
this@input$sec.var=data.frame()
}
}
}
if(this@sec.var.est<5)
this@sec.var=0
if(ERROR>0) # set state read.ok
this@read.OK=FALSE
else
this@read.OK=TRUE
this@changes.read=FALSE
gc()
return(this)
}
)
setGeneric("plausi",function(this) standardGeneric("plausi"))
setMethod(f="plausi",signature=c("crp.CSFP"),definition=function(this){
#
# <plausi> Verify that the input data makes sence
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
ERROR=0
if(length(this@rating.PD)>1){ # check that higher rating has higher probability of default
for(i in 1:(length(this@rating.PD)-1)){
if(this@rating.PD[i+1]-this@rating.PD[i]<0){
cat("ERROR: Higher Rating cannot have smaller Probability of Default!!!\n")
ERROR=ERROR+1
}
}
}
if(sum(this@NEX>=0)!=length(this@NEX)){ # check if exposure is not negative
cat("ERROR: Exposure has to be not negative. \n")
ERROR=ERROR+1
}
if(any(this@LGD<0) || any(this@LGD>1))
stop("LGDs are supposed to be between 0 and 1!\n")
if(this@NS>1){ # check if sector weights are plausible
if(sum(rowSums(this@W[,-1])<=1)!=nrow(this@W[,-1])|sum(this@W[,-1]>=0)!=nrow(this@W[,-1])*ncol(this@W[,-1])){
cat("ERROR: Sum of weights and have to be between 0 and 1 for each counterparty!\n")
ERROR=ERROR+1
}
}
else if(this@NS==1){
if(any(this@W>=0 & this@W<=1)==FALSE){
cat("ERROR: Sum of weights have to be between 0 and 1 for each counterparty!\n")
ERROR=ERROR+1
}
}
if(this@sec.var.est<5){
if(ERROR>0)
this@plausi.OK=FALSE
else
this@plausi.OK=TRUE
gc()
this@changes.plausi=FALSE
return(this) # return if the variance is calculated and not from an input file
}
if(sum(this@sec.var>=0)!=length(this@sec.var)){ # check if sector variances are postive
cat("ERROR: Sector Variance has to be positive\n")
ERROR=ERROR+1
}
if(ERROR>0)
this@plausi.OK=FALSE
else
this@plausi.OK=TRUE
gc()
this@changes.plausi=FALSE
return(this)
}
)
setGeneric("calc.portfolio.statistics",function(this) standardGeneric("calc.portfolio.statistics"))
setMethod(f="calc.portfolio.statistics",signature=c("crp.CSFP"),definition=function(this){
#
# <calc.portfolio.statistics> calculate key numbers for portfolio
#
# Last Modified: 24/06/2013
# Author: Matthias Fischer & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
i=which(this@rating==0)
if(length(i)>0){
this@rating=this@rating[-i]
this@rating.PD=this@rating.PD[-i]
this@rating.SD=this@rating.SD[-i]
}
emptyCP=0
l=0
for(i in 1:this@NC){
if(this@CP.rating[i]==0){
l=l+1
emptyCP[l]=i
}
else if(this@NEX[i]==0 || this@rating.PD[this@CP.rating[i]]==0 || this@LGD[i]==0){
l=l+1
emptyCP[l]=i
}
}
if(l>0){
this@CP.NR=this@CP.NR[-emptyCP]
this@CP.rating=this@CP.rating[-emptyCP]
this@NEX=this@NEX[-emptyCP]
this@LGD=this@LGD[-emptyCP]
this@W=this@W[-emptyCP,]
this@NC=this@NC-l
}
cat(this@NS," sectors ...",sep="")
cat(this@NC," counterparties (",l," removed) ... OK\n",sep="")
this@PL=this@NEX*this@LGD # potential loss
this@PD=this@rating.PD[this@CP.rating] # probability of default
this@nu=crp.round(this@PL/this@loss.unit) # integer muliples of loss.unit representing poZential loss
this@nu=ifelse(this@nu==0,1,this@nu) # should not be 0
this@PL.crp=this@nu*this@loss.unit # discretized potential loss
this@PD.crp=this@PD*(this@PL/this@PL.crp) # transformed PD
cat("Calculating sector information...\n")
for(k in 1:this@NS){
TEMP=this@W[,1+k]
SELECTION=which(TEMP>0)
if(length(SELECTION)>0 && this@sec.var.est!=5){
this@mu.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]) # formula (39), CSFP 1997, p. 43
this@loss.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]*this@PL.crp[SELECTION]) # required for risk contributions
if(this@sec.var.est==1)
this@sigma_k[k]=sum(TEMP[SELECTION]*this@rating.SD[this@CP.rating[SELECTION]]) # (2.21) p. 17 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==2)
this@sigma_k[k]=sum(TEMP[SELECTION]*this@rating.SD[this@CP.rating[SELECTION]])/this@mu.k[k] # (2.21) p. 17 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==3)
this@sigma_k[k]=sum(sqrt(TEMP[SELECTION])*this@rating.SD[this@CP.rating[SELECTION]]) # (++++) p. 18 in Gundlach/Lehrbass (2003)
else if(this@sec.var.est==4)
this@sigma_k[k]=sum(sqrt(TEMP[SELECTION])*this@rating.SD[this@CP.rating[SELECTION]])/this@mu.k[k] # divided by mu.k
}
else if(length(SELECTION)==0 && this@sec.var.est!=5){
this@loss.k[k]=NA
this@mu.k[k]=NA
this@sigma_k=NA
}
if(this@sec.var.est==5){
if(length(SELECTION)>0){
this@mu.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]) # formula (39), CSFP 1997, p. 43
this@loss.k[k]=sum(TEMP[SELECTION]*this@PD.crp[SELECTION]*this@PL.crp[SELECTION])
}
this@sigma_k[k]=sqrt(as.numeric(this@sec.var[k])) # from an external file
}
else
cat("Wrong specification for the sector variance!\n")
}
remove(TEMP)
remove(SELECTION)
this@sigma_sqr_syst=sum(this@sigma_k^2*this@loss.k*this@loss.k) # portfolio standard diviation
cat("Sector information completed...\n")
this@sigma_sqr_div=sum(this@PL.crp^2*this@PD.crp) # diversifible risk
cat("Diversifible risk: ",fo(this@sigma_sqr_div)," Systematic risk: ",fo(this@sigma_sqr_syst),"\n")
this@EL=sum(this@PL*this@PD) # expected loss
this@SD=sqrt(this@sigma_sqr_div+this@sigma_sqr_syst) # standard deviation
cat("Calculating portfolio statistics....\n")
cat("Portfolio net exposure:",fo(sum(as.numeric(this@NEX))),"\n")
cat("Portfolio potential loss:",fo(sum(as.numeric(this@PL))),"\n")
cat("Portfolio expected loss:",fo(this@EL),"\n")
cat("Portfolio standad deviation:",fo(this@SD),"\n")
cat("Max. exposure band per CP: ",max(this@nu),"\n",sep="")
cat("Discretization completed...\n")
if(this@save.memory){ # PD0 and PL0 are not needed anymore
this@PL=0
this@PD=0
}
this@changes.calc.portfolio.statistics=FALSE
gc()
return(this)
}
)
setGeneric("loss.dist",function(this) standardGeneric("loss.dist"))
setMethod(f="loss.dist",signature=c("crp.CSFP"),definition=function(this){
#
# <loss> Calculation of the portfolio loss distribution
# modified Nested evaluation according to Haaf, Rei?, Schoenmakers (2003)
# Chapter 5 in Gundlach/Lehrbass (2003), p.74-75
# Author: Dr. Matthias Fischer & Kevin Jakob
# Last Modified: 24/06/2013
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # if it is not called from crp.CSFP()
if(this@Niter.max==0 && this@alpha.max>0 && this@alpha.max<1){ # calculate CDF until alpha.max level is reached
this@M=min(this@Niter.max.global,sum(this@nu)) # loss distribution should be calculated till certain confidenc level.
cat("Calculate the loss distribution till ",this@alpha.max,"-confidence level is reached.",sep="","\n") # It has no effect if Niter.max > 1 is set manuelly.
}
else{
this@M=this@Niter.max
this@alpha.max=1
cat("Number of probabilities to be calculated (Niter.max): ",this@Niter.max,sep="","\n")
}
cat("Loss unit: ",fo(this@loss.unit),"\n",sep="")
A=matrix(0,ncol=(this@M+1),nrow=this@NS) # Make all needed variables local to this
B=A # function instead of going up the environment
a=rep(0,this@M+1) # every calling of 'this' . This will increase
PDF=rep(0,this@M+1) # speed but needs more memory.
CDF=rep(0,this@M+1)
sigma_k=this@sigma_k
mu.k=this@mu.k
nu=this@nu
W=this@W
PD=this@PD.crp
##############################################################################################################
# 1. Calculation of PDF
##############################################################################################################
if(sum(W[,2:(this@NS+1)])==0){ # just idiosyncratic
a[1]=-sum(W[,1]*PD)
PDF[1]=exp(a[1])
CDF[1]=PDF[1]
for(j in 1:this@M){
if(CDF[j]<1){
SELECT=which(nu==j)
sum1=0
if(length(SELECT)>0)
sum1=sum(W[SELECT,1]*PD[SELECT])
a[j+1]=sum1
PDF[j+1]=sum((1:j)/j*a[2:(j+1)]*PDF[j:1])
CDF[j+1]=CDF[j]+PDF[j+1]
}
}
}
else{ # standard case
for(k in 1:this@NS){
A[k,1]=1+sigma_k[k]^2*mu.k[k]
B[k,1]=-log(A[k,1])
}
a[1]=-sum(W[,1]*PD)+sum(B[,1]/(sigma_k[1:this@NS]^2))
PDF[1]=exp(a[1])
CDF[1]=PDF[1]
j=0
while(j<this@M && CDF[j+1]<this@alpha.max){
j=j+1
if(j%%1e3==0)
cat(" it=",j," CDF=",CDF[j],";")
SELECT=which(nu==j)
for(k in 1:this@NS){
if(length(SELECT)>0)
A[k,j+1]=sigma_k[k]^2*sum(W[SELECT,k+1]*PD[SELECT])
if(j+1==2)
B[k,2]=A[k,2]/A[k,1]
else
B[k,j+1]=1/A[k,1]*(A[k,j+1]+(1/j*sum((1:(j-1))*B[k,2:j]*A[k,j:2])))
}
sum1=0
if(length(SELECT)>0)
sum1=sum(W[SELECT,1]*PD[SELECT])
a[j+1]=sum1+sum(B[,j+1]/(sigma_k[1:this@NS]^2))
PDF[j+1]=sum((1:j)/j*a[2:(j+1)]*PDF[j:1])
CDF[j+1]=CDF[j]+PDF[j+1]
}
cat("\n")
remove(list=c("A","SELECT","W","sigma_k","mu.k","PD","nu"))
this@PDF=PDF
remove(PDF)
this@CDF=CDF
remove(CDF)
this@a=a
remove(a)
this@B=B
remove(B)
}
length(this@CDF)=j+1 # cut off the variables to the needed length
length(this@a)=j+1
length(this@PDF)=j+1
this@B=matrix(this@B[,-((j+1):(this@M+1))],nrow=this@NS)
##############################################################################################################
# 3. Summarize
##############################################################################################################
this@loss=(0:j)*this@loss.unit # create losses
this@alpha.max=this@CDF[length(this@CDF)]
this@M=j
cat("Reached level of confidence: ",this@alpha.max," ( iterations actually done: ",this@M," )\n",sep="")
cat("Calculation completed...\n")
if(this@save.memory && !this@calc.rc){ # delete data a and B if not needed anymore
this@B=matrix()
this@a=0
}
if(this@save.memory){ # don't store loss and CDF permanently in
this@loss=0 # save.memory mode
this@CDF=0
}
this@changes.loss=FALSE
gc()
return(this)
}
)
setGeneric("measure",function(this) standardGeneric("measure"))
setMethod(f="measure",signature=c("crp.CSFP"),definition=function(this){
#
# <measure> Calculate portfolio measures out of the calculated distribution.
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(length(this@loss)==1 && this@save.memory) # recreate losses if not available
this@loss=this@loss.unit*(0:this@M)
if(length(this@CDF)==1 && this@save.memory) # recalculate CDF if not available
this@CDF=cumsum(this@PDF)
cat("Calculating portfolio statistics....\n")
this@EL.crp=sum(as.numeric(this@loss*this@PDF)) # crp. expected loss
cat("CR+ portfolio expected loss:",fo(this@EL.crp),"\n")
cat("Expected loss difference:",fo(this@EL.crp-this@EL),"\n")
cat("CR+ Exceedance Probability of the expected loss:",1-this@CDF[floor(this@EL/this@loss.unit)],"\n")
this@SD.crp=sqrt(sum(as.numeric(this@PDF*(this@loss-this@EL.crp)^2))) # crp. standard deviation
cat("CR+ portfolio standard deviation:",fo(this@SD.crp),"\n")
L.alpha=length(this@alpha)
this@VaR=rep(0,L.alpha)
this@EC=rep(0,L.alpha)
this@VaR.pos=rep(0,L.alpha)
for(i in 1:L.alpha){
if(this@alpha.max>this@alpha[i]){ # check if alpha-quantile exists
this@VaR.pos[i]=min(which(this@CDF>this@alpha[i])) # save position of alpha-quantile and VaR
this@VaR[i]=round(this@loss[this@VaR.pos[i]],0)
cat("CR+ portfolio Value-at-risk(",this@alpha[i],"): ",fo(this@VaR[i]),sep="","\n")
}
else{
cat("WARNING: Value-at-risk(",this@alpha[i],") is not available, increase loss.unit or Niter.max",sep="","\n")
this@VaR[i]=0
}
}
this@EC=this@VaR-this@EL.crp
for(i in 1:L.alpha){
if(this@EC[i]>0)
cat("CR+ portfolio economic capital(",this@alpha[i],"): ",fo(this@EC[i]),sep="","\n")
}
for(i in 1:L.alpha){
if(this@alpha.max>this@alpha[i]){ # check if alpha-quantiles exists
if(this@VaR.pos[i]==1)
this@ES[i]=this@EL # calculate ES
else
this@ES[i]=(this@EL-sum(this@loss[1:(this@VaR.pos[i]-1)]*this@PDF[1:(this@VaR.pos[i]-1)]))/(1-this@CDF[this@VaR.pos[i]-1]) # calculate ES
cat("CR+ portfolio Expected Shortfall(",this@alpha[i],"): ",fo(this@ES[i]),sep="","\n") # "backwards" because of EL/EL.crp difference
}
else{
cat("WARNING: Expected Shortfall (",this@alpha[i],") is not available, increase loss.unit or Niter.max",sep="","\n")
this@VaR.pos[i]=0
this@ES[i]=0
}
}
this@alpha.crp=this@CDF[this@VaR.pos] # save crp. alphas for further calculations
ES.EL=(this@EL-sum(this@loss[1:floor(this@EL/this@loss.unit)]*this@PDF[1:floor(this@EL/this@loss.unit)])) /(1-this@CDF[floor(this@EL/this@loss.unit)])
cat("CR+ portfolio mean expected loss exceedance: ",fo(ES.EL),sep="","\n")
if(this@save.memory){
this@loss=0
this@CDF=0
}
this@changes.measure=FALSE
gc()
return(this)
}
)
setMethod("plot","crp.CSFP",function(x,y=""){
#
# <plot> Plotting the calculated loss distribution together with key numbers from measure
# Author: Dr. Matthias Fischer & Kevin Jakob
# Last Modified: 24/06/2013
#
if(x@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(x@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(x@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(x@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(x@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
if(deparse(substitute(x))!="x") # synchronize model name to the calling model
x@name=deparse(substitute(x)) # if it is not called from crp.CSFP()
if(length(x@loss)==1 && x@save.memory) # recreate losses if not available
x@loss=x@loss.unit*(0:x@M)
if(length(x@CDF)==1 && x@save.memory) # recalculate CDF if not available
x@CDF=cumsum(x@PDF)
if(x@PLOT.range.x[1]<1 && x@PLOT.range.x[1]>0) # convert plot intervall of confidence levels
x@PLOT.range.x[1]=x@loss[min(which(x@CDF>x@PLOT.range.x[1]))] # into an intervall of absolute losses
if(x@PLOT.range.x[2]<1 && x@PLOT.range.x[2]>0)
x@PLOT.range.x[2]=x@loss[min(which(x@CDF>x@PLOT.range.x[2]))]
unit=fo(x@PLOT.scale)
PLOT.TITLE.XLAB=paste("Loss in ",unit,sep="")
PLOT.TITLE.YLAB="Probability"
PLOT.TITLE=x@name
title=("CSFP-model")
if(all((x@PLOT.range.x==c(0,0) & x@PLOT.range.y==c(0,0))==TRUE)) # distinguish if x-/y ranges are given or choosen by R automatically
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3)
else if(any((x@PLOT.range.x!=c(0,0))==TRUE))
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,xlim=x@PLOT.range.x/x@PLOT.scale)
else if(any((x@PLOT.range.y!=c(0,0))==TRUE))
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,ylim=x@PLOT.range.y)
else
plot(x@loss/x@PLOT.scale,x@PDF,type="l",main=paste("Portfolio Credit Loss (",PLOT.TITLE,")\n",title,sep=""),xlab=PLOT.TITLE.XLAB,ylab=PLOT.TITLE.YLAB,cex.axis=1.3,cex.main=1.3,lwd=3,cex.lab=1.3,ylim=x@PLOT.range.y,xlim=x@PLOT.range.x/x@PLOT.scale)
nVaR=0
nES=0
if(x@EL.crp>0) # check if EL, VaR and ES exists
lines=c(x@EL.crp)
for(i in 1:length(x@VaR)){
if(x@VaR[i]>0){
lines=c(lines,x@VaR[i])
nVaR=i
}
}
for(i in 1:length(x@ES)){
if(x@ES[i]>0){
lines=c(lines,x@ES[i])
nES=i
}
}
abline(v=c(x@EL.crp,x@VaR,x@ES)/x@PLOT.scale,col=c("green",rep("blue",nVaR),rep("red",nES))) # add lines for EL, VaR and ES
legend("topright",c("EL.crp","VaR","ES"),col=c("green","blue","red"),lwd=1) # add legend
if(x@save.memory){ # dont store loss and CDF permanently in
x@loss=0 # save.memory mode
x@CDF=0
}
x@changes.plot=FALSE
gc()
return(x)
}
)
setGeneric("rc.vares",function(this) standardGeneric("rc.vares"))
setMethod(f="rc.vares",signature=c("crp.CSFP"),definition=function(this){
#
# <rc.vares> Calculation of contributions to VaR and Expected Shortfall
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
l=length(this@VaR.pos)
if(!(this@VaR.pos[l]>0 && this@ES[l]>0) || length(this@CDF)<=this@VaR.pos){ # check if VaR and ES exists
cat("VaR and ES contributions are not available. \n")
this@rc.OK=FALSE
return(this)
}
if(length(this@a)==0 || all(dim(this@B)==1)){ # check if required data exists
cat("Necessary data for calculation of risk contributions (VaR/ES) are not availabel, probably you`re running in save.memory mode. \n Change save.memory to FALSE or calc.rc to TRUE, run loss and start calculation of risk contributions (VaR/ES) again.\n")
return(this)
}
if(l>1)
alpha=this@alpha[l] # calculate RC just for last alpha
cat("Calculating VaR and ES contributions....\n")
Z=length(this@PDF) # initialization
VaR.K=numeric(this@NC)
VaR.K=this@VaR.pos[l]-this@PL.crp/this@loss.unit
alpha.M=matrix(0,nrow=this@NS+1,ncol=this@VaR.pos[l])
PLH=matrix(0,nrow=this@NS+1,ncol=Z)
PLH[1,]=this@PDF
PDVAR=this@PDF[this@VaR.pos[l]]
VaR.cont=numeric(this@NC) # Make all needed variables local to this
ES.cont=numeric(this@NC) # function instead of going up the environment
a=this@a # every calling of 'this' . This will increase
B=this@B # speed.
VaR.pos=this@VaR.pos
PL=this@PL.crp
PD=this@PD.crp
NS=this@NS
W=this@W
NC=this@NC # probability of the VaR
if (NS==1)
B=matrix(nrow=1,B)
a1=a[1]+B[,1] # for details please see SAS documentation or p.87-90 in "Credit Risk in the Banking Industry".
PLH[2:(NS+1),1]=exp(a1) # calculation of the "distorted" PDF for each sector
for(h in 2:(NS+1)){
alpha.M[h,]=a[1:VaR.pos[l]]+B[h-1,1:VaR.pos[l]]
for(j in 2:VaR.pos[l])
PLH[h,j]=sum((1:(j-1))/(j-1)*alpha.M[h,2:j]*PLH[h,(j-1):1])
}
CLH=PLH
for(x in 1:(NS+1)) # calculation of the CDF
CLH[x,]=cumsum(PLH[x,])
alpha=this@alpha.crp[l]-this@PDF[this@VaR.pos[l]]
for(i in 1:NC){ # Verify if the exposure is equal or bigger than the VaR
if(VaR.K[i]<=0){
VaR.cont[i]=0
ES.cont[i]=(PL[i]*PD[i])/(1-alpha)
}
else if(VaR.K[i]==1){
VaR.cont[i]=(PL[i]*PD[i]*sum(W[i,]*PLH[1:(NS+1),VaR.K[i]]))/PDVAR
ES.cont[i]=(PL[i]*PD[i])/(1-alpha)
}
else{
VaR.cont[i]=(PL[i]*PD[i]*sum(W[i,]*PLH[1:(NS+1),VaR.K[i]]))/PDVAR
ES.cont[i]=(PL[i]*PD[i]*sum(W[i,]*(1-CLH[1:(NS+1),(VaR.K[i]-1)])))/(1-alpha)
}
}
ES.alt=this@ES[l]
VaR=this@VaR[l]
ES=this@ES[l]
VaR.pos=this@VaR.pos[l]
alpha=this@alpha.crp[l]-this@PDF[VaR.pos]
while(VaR<ES){ # calculation of expected shortfall TAU
VaR.pos=VaR.pos-1
alpha=alpha-this@PDF[VaR.pos]
ES=(this@EL-sum((0:(VaR.pos-2))*this@loss.unit*this@PDF[1:(VaR.pos-1)]))/(1-alpha)
}
cat("CR+ Expected Shortfall TAU(",alpha+this@PDF[VaR.pos],"):",fo(ES),"\n")
VaR.K=VaR.pos-this@PL.crp/this@loss.unit # calculation of the contributions for ES TAU
ES.tau.cont=ES.cont # (analog to ES)
for(i in 1:NC){
if(VaR.K[i]<=1)
ES.tau.cont[i]=(PL[i]*PD[i])/(1)
else
ES.tau.cont[i]=(PL[i]*PD[i]*sum(W[i,]*(1-CLH[1:(NS+1),(VaR.K[i]-1)])))/(1-alpha)
}
cat("Scale Factor for TAU",sum(VaR.cont)/sum(ES.tau.cont),"\n")
ES.tau.cont=ES.tau.cont*sum(VaR.cont)/sum(ES.tau.cont) # upscaling
if(round(sum(VaR.cont),0)==round(VaR,0))
cat("Sum Check VaR: OK\n")
else
cat("Sum Check VaR: NOT OK, Difference:",fo(sum(VaR.cont)-VaR),"\n")
if(round(sum(ES.cont),0)==round(ES.alt,0))
cat("Sum Check ES: OK\n")
else
cat("Sum Check ES: NOT OK, Difference:",fo(sum(this@ES.cont)-ES.alt),"\n")
remove(list=c("a","B","VaR.pos","PL","PD","W"))
this@VaR.cont=VaR.cont
remove(VaR.cont)
this@ES.cont=ES.cont
remove(ES.cont)
this@ES.tau.cont=ES.tau.cont
remove(list=c("ES.tau.cont","alpha.M","PLH","CLH","VaR.K"))
this@rc.OK=TRUE
cat("Done....\n")
this@changes.rc.vares=FALSE
gc()
return(this)
}
)
setGeneric("rc.sd",function(this) standardGeneric("rc.sd"))
setMethod(f="rc.sd",signature="crp.CSFP",definition=function(this){
#
# <rc.sd> Calculation of SD Contributions
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
cat("Calculating SD contributions....\n")
NC=this@NC # Make all needed variables local to this
NS=this@NS # function instead of going up the environment
PL=this@PL.crp # every calling of 'this' . This will increase
PD=this@PD.crp # speed.
W=this@W
SD.cont=as.numeric(this@NC)
SD=this@SD
sigma_k=this@sigma_k
loss.k=this@loss.k
if(sum(W[,2:(NS+1)])==0){ # just ideosyncratic factor exists
for(i in 1:NC)
SD.cont[i]=(PL[i]*PD[i]/SD)*PL[i]
}
else{
for(i in 1:NC){ # calculation based on formula (2.27) in
k=sum(sigma_k^2*W[i,-1]*loss.k) # Gundlach/Lehrbass (2003)
SD.cont[i]=(PL[i]*PD[i]/SD)*(PL[i]+k)
}
}
if(round(sum(SD.cont),0)==round(SD,0))
cat("Sum Check SD: OK\n")
else
cat("Sum Check SD: NOT OK, Difference:",fo(sum(SD.cont)-SD),"\n")
remove(list=c("PL","PD","W","sigma_k","loss.k"))
this@SD.cont=SD.cont
remove(SD.cont)
cat("Done....\n")
this@changes.rc.sd=FALSE
gc()
return(this)
}
)
setGeneric("export",function(this) standardGeneric("export"))
setMethod(f="export",signature=c("crp.CSFP"),definition=function(this){
#
# <export> Export the calculated Risk Contributions to a CSV file
#
# Last Modified: 24/06/2013
# Author: Dr. Matthias Fischer, Stefan Kolb & Kevin Jakob
#
#
if(nchar(this@path.out)==0)
stop("path.out is unspecified!")
if(this@changes.read)
cat("WARNING: Inputparameter effecting 'read()' have been changed, without running 'read()' and the following routines afterwards.\n")
if(this@changes.plausi)
cat("WARNING: Inputparameter effecting 'plausi()' have been changed, without running 'plausi()' and the following routines afterwards.\n")
if(this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter effecting 'calc.portfolio.statistics()' have been changed, without running 'calc.portfolio.statistics()' and the following routines afterwards.\n")
if(this@changes.loss)
cat("WARNING: Inputparameter effecting 'loss()' have been changed, without running 'loss()' and the following routines afterwards.\n")
if(this@changes.measure)
cat("WARNING: Inputparameter effecting 'measure()' have been changed, without running 'measure()' and the following routines afterwards.\n")
if(this@changes.rc.vares)
cat("WARNING: Inputparameter effecting 'rc.vares()' have been changed, without running 'rc.vares()' and the following routines afterwards.\n")
if(this@changes.rc.sd)
cat("WARNING: Inputparameter effecting 'rc.sd()' have been changed, without running 'rc.sd()' and the following routines afterwards.\n")
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # if it is not called from crp.CSFP()
if(length(this@loss)==1 && this@save.memory) # recreate losses if not available
this@loss=this@loss.unit*(0:this@M)
if(length(this@CDF)==1 && this@save.memory) # recalculate CDF if not available
this@CDF=cumsum(this@PDF)
cat("Exporting loss distribution...\n")
FILE.TITLE="lossdist"
FILE.name=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep="")
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(matrix(cbind(this@loss,this@PDF,this@CDF),nrow=this@M+1,ncol=3,dimnames=list(1:length(this@PDF),c("Loss","PDF","CDF"))), file=FILE.name,row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(matrix(cbind(this@loss,this@PDF,this@CDF),nrow=this@M+1,ncol=3,dimnames=list(1:length(this@PDF),c("Loss","PDF","CDF"))), file=FILE.name,row.names=FALSE)
cat("Writing summary file...\n")
this=write.summary(this) # write input/output data to file
if(this@calc.rc && this@rc.OK){
cat("Exporting risk contributions...\n")
if(this@NS==1)
COL.nameS=c("CP.NR","PL","CP.rating","Sektor:1","RC_EL","SD","SD/SD_Gesamt","VaR","VaR/VaR_Gesamt","TAU","TAU/(SUMME TAU)","ES","ES/ES_Gesamt")
else
COL.nameS=c("CP.NR","PL","CP.rating","Sektor:1",as.character(c(2:this@NS)),"RC_EL","SD","SD/SD_Gesamt", "VaR","VaR/VaR_Gesamt","TAU","TAU/(SUMME TAU)","ES","ES/ES_Gesamt")
RC=matrix(,nrow=this@NC,ncol=12+this@NS,dimnames=list(1:this@NC,COL.nameS)) # collect risk contribution in one matrix
RC[,1]=this@CP.NR
RC[,2]=this@PL.crp
RC[,3]=this@CP.rating
RC[,4:(this@NS+3)]=this@W[,2:(this@NS+1)]
RC[,this@NS+4]=this@PL.crp*this@PD.crp
RC[,this@NS+5]=this@SD.cont
RC[,this@NS+6]=this@SD.cont/sum(this@SD.cont)
RC[,this@NS+7]=this@VaR.cont
RC[,this@NS+8]=this@VaR.cont/sum(this@VaR.cont)
RC[,this@NS+9]=this@ES.tau.cont
RC[,this@NS+10]=this@ES.tau.cont/sum(this@ES.tau.cont)
RC[,this@NS+11]=this@ES.cont
RC[,this@NS+12]=this@ES.cont/sum(this@ES.cont)
FILE.TITLE="RC"# File name of loss distribution
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(RC, file=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep=""),row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(RC, file=paste(this@path.out,this@name,"/",FILE.TITLE,".csv",sep=""),row.names=FALSE)
cat("Done....\n")
remove(RC)
}
if(this@save.memory){ # dont store risk contributions after export
this@ES.cont=0 # in save.memory mode
this@VaR.cont=0
this@ES.tau.cont=0
this@SD.cont=0
this@loss=0
this@CDF=0
}
this@changes.export=FALSE
gc()
return(this)
}
)
setGeneric("crp.CSFP",function(this,skip.read) standardGeneric("crp.CSFP"))
setMethod(f="crp.CSFP",signature=c("crp.CSFP","logical"),definition=function(this,skip.read){
#
# <crp.CSFP> Main routine of portfolio model
#
# Last Modified: 24/06/2013
# Author: Kevin Jakob
#
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this)) # synchronize model name to the calling model
org.save.memory=this@save.memory # save original state of save.memory and
this@save.memory=FALSE # change to FALSE during calculations in order
# to increase performance
if(!skip.read){
this=read(this)
if(!this@read.OK)
return(this)
}
this=plausi(this)
if(!this@plausi.OK)
return(this)
this=calc.portfolio.statistics(this)
this=loss.dist(this)
this=measure(this)
if(this@PLOT.PDF)
this=plot(this)
else
cat("You dont want to plot the PDF, otherwise set attribute PLOT.PDF=TRUE (default case)!\n")
if(this@calc.rc){
this=rc.vares(this)
this=rc.sd(this)
}
else
cat("You dont want to calculate the Risk Contributions otherwise set attribute calc.rc=TRUE!\n")
if(this@export.to.file)
this=export(this)
this@save.memory=org.save.memory # restore original save.memory state
if(this@save.memory && !this@calc.rc){
this@B=matrix()
this@a=0
this@ES.cont=0
this@VaR.cont=0
this@ES.tau.cont=0
this@SD.cont=0
}
if(this@save.memory){
this@loss=0
this@CDF=0
this@PD=0
this@PL=0
}
gc()
return(this)
}
)
setMethod(f="crp.CSFP",signature=c("crp.CSFP","missing"),definition=function(this){
if(deparse(substitute(this))!="this") # synchronize model name to the calling model
this@name=deparse(substitute(this))
crp.CSFP(this,skip.read=FALSE)})
setMethod(f="summary",signature=c("crp.CSFP"),definition=function(object){
S=list(name=object@name,sec.var.est=object@sec.var.est,
loss.unit=object@loss.unit,Niter.max=object@Niter.max,NC=object@NC,
NS=object@NS,EL=object@EL,EL.crp=object@EL.crp,SD=object@SD,
SD.crp=object@SD.crp,SIGMA.DIV=object@sigma_sqr_div,
SIGMA.SYST=object@sigma_sqr_syst,alpha.max=object@alpha.max,
PL=sum(object@PL),alpha=object@alpha,VaR=object@VaR,EC=object@EC,
ES=object@ES)
return(S)
}
)
setGeneric("write.summary",function(this) standardGeneric("write.summary"))
setMethod(f="write.summary",signature=c("crp.CSFP"),definition=function(this){
if(nchar(this@path.out)==0)
stop("path.out is unspecified!")
if(deparse(substitute(this))!="this")
this@name=deparse(substitute(this))
dir.create(paste(this@path.out,this@name,"/",sep=""),showWarnings=FALSE)
if(this@file.format=="csv")
write.csv(summary(this),paste(this@path.out,this@name,"/summary.csv",sep=""),row.names=FALSE)
else if(this@file.format=="csv2")
write.csv2(summary(this),paste(this@path.out,this@name,"/summary.csv",sep=""),row.names=FALSE)
return(this)
}
)
setGeneric("integrity.check",function(method,this) standardGeneric("integrity.check"))
setMethod(f="integrity.check",signature=c("character","crp.CSFP"),definition=function(method,this){
if(method=="read"){
if(this@changes.read)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="plausi"){
if(this@changes.read || this@changes.plausi)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="calc.portfolio.statistics"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="loss"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="measure"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="plot"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.plot)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="rc.vares"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.vares)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="rc.sd"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.sd)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
else if(method=="export"){
if(this@changes.read || this@changes.plausi || this@changes.calc.portfolio.statistics || this@changes.loss || this@changes.measure || this@changes.rc.vares || this@changes.rc.sd || this@changes.export)
cat("WARNING: Inputparameter possibly effecting this variable have been changed without running all necessary routines afterwards.\n ")
}
return()
}
)
setGeneric("set.changes",function(method,this) standardGeneric("set.changes"))
setMethod(f="set.changes",signature=c("character","crp.CSFP"),definition=function(method,this){
if(method=="read"){
this@changes.read=TRUE
this@changes.plausi=TRUE
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="plausi"){
this@changes.plausi=TRUE
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="calc.portfolio.statistics"){
this@changes.calc.portfolio.statistics=TRUE
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="loss"){
this@changes.loss=TRUE
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="measure"){
this@changes.measure=TRUE
this@changes.plot=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="plot"){
this@changes.plot=TRUE
}
if(method=="rc.vares"){
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.rc.vares=TRUE
if(!(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
if(method=="rc.sd"){
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.rc.sd=TRUE
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0))
this@changes.export=TRUE
}
if(method=="export"){
if(!(length(this@SD.cont)==1 && this@SD.cont[1]==0) || !(length(this@VaR.cont)==1 && this@VaR.cont[1]==0))
this@changes.export=TRUE
}
return(this)
})
setMethod("show", signature = "crp.CSFP", definition = function(object){
if(any(object@changes.read,object@changes.plausi,object@changes.calc.portfolio.statistics,object@changes.loss,object@changes.measure,object@changes.plot,object@changes.rc.vares,object@changes.rc.sd,object@changes.export))
cat("WARNING: Input parameters have been changed without recalculation of the model. Displayed results may be incorrect.\n")
S=summary(object)
cat("Model name:",S$name,"\n")
cat("Number of counterparties:",S$NC,"\n")
cat("Number of sectors:",S$NS,"\n")
cat("Expected loss:",fo(S$EL),"(analytical);",fo(S$EL.crp),"(discretized)\n")
cat(" SD loss:",fo(S$SD),"(analytical);",fo(S$SD.crp),"(discretized)\n")
cat("Systematic SD:",fo(sqrt(S$SIGMA.SYST)),"; Diversifiable SD:",fo(sqrt(S$SIGMA.DIV)),"\n")
temp=data.frame(S$alpha,fo(S$EC),fo(S$VaR),fo(S$ES))
colnames(temp)=c("alpha ","EC ","VaR ","ES ")
write.matrix(temp)
cat("Loss unit:",fo(S$loss.unit),"\n")
if(S$Niter.max<1)
cat("Maximum level of CDF:",S$Niter.max,"\n")
else
cat("Maximum number of iterations for loss distribution:",fo(S$Niter.max),"\n")
cat("Calculation of risk contributions:",object@calc.rc,"\n")
})
setGeneric("path.in",function(this) standardGeneric("path.in"))
setMethod(f="path.in",signature=c("crp.CSFP"),definition=function(this) this@path.in)
setGeneric("path.in<-",function(this,value) standardGeneric("path.in<-"))
setReplaceMethod(f="path.in",signature=c("crp.CSFP","character"),definition=function(this,value){this@path.in=value;this=set.changes("read",this);this})
setGeneric("path.out",function(this) standardGeneric("path.out"))
setMethod(f="path.out",signature=c("crp.CSFP"),definition=function(this) this@path.out)
setGeneric("path.out<-",function(this,value) standardGeneric("path.out<-"))
setReplaceMethod(f="path.out",signature=c("crp.CSFP","character"),definition=function(this,value){this@path.out=value;this=set.changes("export",this);this})
setGeneric("port.name",function(this) standardGeneric("port.name"))
setMethod(f="port.name",signature=c("crp.CSFP"),definition=function(this) this@port.name)
setGeneric("port.name<-",function(this,value) standardGeneric("port.name<-"))
setReplaceMethod(f="port.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@port.name=value;this=set.changes("read",this);this})
setGeneric("name",function(this) standardGeneric("name"))
setMethod(f="name",signature=c("crp.CSFP"),definition=function(this) this@name)
setGeneric("name<-",function(this,value) standardGeneric("name<-"))
setReplaceMethod(f="name",signature=c("crp.CSFP","character"),definition=function(this,value){this@name=value;this=set.changes("read",this);this})
setGeneric("rating.scale.name",function(this) standardGeneric("rating.scale.name"))
setMethod(f="rating.scale.name",signature=c("crp.CSFP"),definition=function(this) this@rating.scale.name)
setGeneric("rating.scale.name<-",function(this,value) standardGeneric("rating.scale.name<-"))
setReplaceMethod(f="rating.scale.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@rating.scale.name=value;this=set.changes("read",this);this})
setGeneric("sec.var.name",function(this) standardGeneric("sec.var.name"))
setMethod(f="sec.var.name",signature=c("crp.CSFP"),definition=function(this) this@sec.var.name)
setGeneric("sec.var.name<-",function(this,value) standardGeneric("sec.var.name<-"))
setReplaceMethod(f="sec.var.name",signature=c("crp.CSFP","character"),definition=function(this,value){this@sec.var.name=value;this=set.changes("read",this);this})
setGeneric("sec.var.est",function(this) standardGeneric("sec.var.est"))
setMethod(f="sec.var.est",signature=c("crp.CSFP"),definition=function(this) this@sec.var.est)
setGeneric("sec.var.est<-",function(this,value) standardGeneric("sec.var.est<-"))
setReplaceMethod(f="sec.var.est",signature=c("crp.CSFP","numeric"),definition=function(this,value){ if(value==5 || this@sec.var.est==5)
this=set.changes("read",this)
else
this=set.changes("calc.portfolio.statistics",this)
this@sec.var.est=value
this})
setGeneric("loss.unit",function(this) standardGeneric("loss.unit"))
setMethod(f="loss.unit",signature=c("crp.CSFP"),definition=function(this) this@loss.unit)
setGeneric("loss.unit<-",function(this,value) standardGeneric("loss.unit<-"))
setReplaceMethod(f="loss.unit",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(value<=0)
stop("Loss unit has to be positive!\n")
this@loss.unit=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("Niter.max",function(this) standardGeneric("Niter.max"))
setMethod(f="Niter.max",signature=c("crp.CSFP"),definition=function(this) this@Niter.max)
setGeneric("Niter.max<-",function(this,value) standardGeneric("Niter.max<-"))
setReplaceMethod(f="Niter.max",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(!value>0)
stop("Niter.max has to be positive!\n")
this@Niter.max=value
this=set.changes("loss",this)
this
})
setGeneric("alpha",function(this) standardGeneric("alpha"))
setMethod(f="alpha",signature=c("crp.CSFP"),definition=function(this) this@alpha)
setGeneric("alpha<-",function(this,value) standardGeneric("alpha<-"))
setReplaceMethod(f="alpha",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<=0) || any(value>=1))
stop("alpha has to be between 0 and 1!\n")
this@alpha=value
this=set.changes("measure",this)
this})
setGeneric("PLOT.PDF",function(x,...) standardGeneric("PLOT.PDF"))
setMethod(f="PLOT.PDF",signature="crp.CSFP",definition=function(x,...){return(x@PLOT.PDF)})
setGeneric("PLOT.PDF<-",function(x,value) standardGeneric("PLOT.PDF<-"))
setReplaceMethod(f="PLOT.PDF",signature=c("crp.CSFP","logical"),definition=function(x,value){x@PLOT.PDF=value;x=set.changes("plot",x);x})
setGeneric("export.to.file",function(this) standardGeneric("export.to.file"))
setMethod(f="export.to.file",signature=c("crp.CSFP"),definition=function(this) this@export.to.file)
setGeneric("export.to.file<-",function(this,value) standardGeneric("export.to.file<-"))
setReplaceMethod(f="export.to.file",signature=c("crp.CSFP","logical"),definition=function(this,value){this@export.to.file=value;this=set.changes("export",this);this})
setGeneric("calc.rc",function(this) standardGeneric("calc.rc"))
setMethod(f="calc.rc",signature=c("crp.CSFP"),definition=function(this) this@calc.rc)
setGeneric("calc.rc<-",function(this,value) standardGeneric("calc.rc<-"))
setReplaceMethod(f="calc.rc",signature=c("crp.CSFP","logical"),definition=function(this,value){this@calc.rc=value;this=set.changes("rc.vares",this);this})
setGeneric("save.memory",function(this) standardGeneric("save.memory"))
setMethod(f="save.memory",signature=c("crp.CSFP"),definition=function(this) this@save.memory)
setGeneric("save.memory<-",function(this,value) standardGeneric("save.memory<-"))
setReplaceMethod(f="save.memory",signature=c("crp.CSFP","logical"),definition=function(this,value){this@save.memory=value;this=set.changes("loss",this);this})
setGeneric("PLOT.range.x",function(x,...) standardGeneric("PLOT.range.x"))
setMethod(f="PLOT.range.x",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.range.x)
setGeneric("PLOT.range.x<-",function(x,value) standardGeneric("PLOT.range.x<-"))
setReplaceMethod(f="PLOT.range.x",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.range.x=value;x=set.changes("plot",x);x})
setGeneric("PLOT.range.y",function(x,...) standardGeneric("PLOT.range.y"))
setMethod(f="PLOT.range.y",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.range.y)
setGeneric("PLOT.range.y<-",function(x,value) standardGeneric("PLOT.range.y<-"))
setReplaceMethod(f="PLOT.range.y",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.range.y=value;x=set.changes("plot",x);x})
setGeneric("PLOT.scale",function(x,...) standardGeneric("PLOT.scale"))
setMethod(f="PLOT.scale",signature=c("crp.CSFP"),definition=function(x,...) x@PLOT.scale)
setGeneric("PLOT.scale<-",function(x,value) standardGeneric("PLOT.scale<-"))
setReplaceMethod(f="PLOT.scale",signature=c("crp.CSFP","numeric"),definition=function(x,value){x@PLOT.scale=value;x=set.changes("plot",x);x})
setGeneric("file.format",function(this) standardGeneric("file.format"))
setMethod(f="file.format",signature=c("crp.CSFP"),definition=function(this) this@file.format)
setGeneric("file.format<-",function(this,value) standardGeneric("file.format<-"))
setReplaceMethod(f="file.format",signature=c("crp.CSFP","character"),definition=function(this,value){
if(!(value=="csv" || value=="csv2")){
cat("Wrong specification of file.format. Choose between csv and csv2.\n")
return(this)
}
this@file.format=value;this=set.changes("read",this);this})
setGeneric("NS",function(this) standardGeneric("NS"))
setMethod(f="NS",signature=c("crp.CSFP"),definition=function(this){
integrity.check("read",this)
this@NS})
setGeneric("NC",function(this) standardGeneric("NC"))
setMethod(f="NC",signature=c("crp.CSFP"),definition=function(this){
integrity.check("read",this)
this@NC})
setGeneric("sec.var",function(this) standardGeneric("sec.var"))
setMethod(f="sec.var",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@sec.var})
setGeneric("sec.var<-",function(this,value) standardGeneric("sec.var<-"))
setReplaceMethod(f="sec.var",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NS)
stop("Length of new value (",length(value),") is unequal number of sectors in the model (",this@NS,")!\n")
if(any(value<=0))
stop("Sector variances have to be positive")
this@sec.var=value
this=set.changes("plausi",this)
this})
setGeneric("NEX",function(this) standardGeneric("NEX"))
setMethod(f="NEX",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@NEX})
setGeneric("NEX<-",function(this,value) standardGeneric("NEX<-"))
setReplaceMethod(f="NEX",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<0))
stop("NEX has to be non negative!\n")
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@NEX=value
this=set.changes("plausi",this)
this})
setGeneric("LGD",function(this) standardGeneric("LGD"))
setMethod(f="LGD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@LGD})
setGeneric("LGD<-",function(this,value) standardGeneric("LGD<-"))
setReplaceMethod(f="LGD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(any(value<0) || any(value>1))
stop("LGDs are supposed to be between 0 and 1!\n")
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@LGD=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("PL",function(this) standardGeneric("PL"))
setMethod(f="PL",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PL})
setGeneric("PD",function(this) standardGeneric("PD"))
setMethod(f="PD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PD})
setGeneric("EL",function(this) standardGeneric("EL"))
setMethod(f="EL",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@EL})
setGeneric("nu",function(this) standardGeneric("nu"))
setMethod(f="nu",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@nu})
setGeneric("PL.crp",function(this) standardGeneric("PL.crp"))
setMethod(f="PL.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PL.crp})
setGeneric("PD.crp",function(this) standardGeneric("PD.crp"))
setMethod(f="PD.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@PD.crp})
setGeneric("CP.rating",function(this) standardGeneric("CP.rating"))
setMethod(f="CP.rating",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@CP.rating})
setGeneric("CP.rating<-",function(this,value) standardGeneric("CP.rating<-"))
setReplaceMethod(f="CP.rating",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
for(i in 1:this@NC){
if(!is.element(value[i],this@rating))
stop("Counterparties ratings does not correspond to rating possible rating grades!\n")
}
this@CP.rating=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("CP.NR",function(this) standardGeneric("CP.NR"))
setMethod(f="CP.NR",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@CP.NR})
setGeneric("CP.NR<-",function(this,value) standardGeneric("CP.NR<-"))
setReplaceMethod(f="CP.NR",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=this@NC)
stop("Length of new value (",length(value),") and number of counterparties (",this@NC,") are unequal!\n")
this@CP.NR=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("W",function(this) standardGeneric("W"))
setMethod(f="W",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@W})
setGeneric("W<-",function(this,value) standardGeneric("W<-"))
setReplaceMethod(f="W",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(nrow(value)!=this@NC)
stop("Number of rows is unequal to number of counterparties in the model!\n")
if(ncol(value)!=this@NS)
stop("number of columns is unequal to number of sectors in the model!\n ")
if(this@NS>1){ # check if sector weights are plausible
if(sum(rowSums(value[,-1])<=1)!=nrow(value[,-1])|sum(value[,-1]>=0)!=nrow(value[,-1])*ncol(value[,-1]))
stop("Sum of weights have to be between 0 and 1 for each counterparty!\n")
}
else if(this@NS==1){
if(any(value>=0 & value<=1)==FALSE)
stop("Sum of weights have to be between 0 and 1 for each counterparty!\n")
}
this@W=value
this=set.changes("plausi",this)
this})
setGeneric("rating.PD",function(this) standardGeneric("rating.PD"))
setMethod(f="rating.PD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("plausi",this)
this@rating.PD})
setGeneric("rating.PD<-",function(this,value) standardGeneric("rating.PD<-"))
setReplaceMethod(f="rating.PD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating \n")
if(length(value)!=length(rating.SD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.SD \n")
if(any(diff(value)<0))
stop("PDs have to be in ascending order!\n")
this@rating.PD=value
this=set.changes("plausi",this)
this})
setGeneric("rating",function(this) standardGeneric("rating"))
setMethod(f="rating",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@rating})
setGeneric("rating<-",function(this,value) standardGeneric("rating<-"))
setReplaceMethod(f="rating",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating.PD))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating.PD \n")
if(length(value)!=length(rating.SD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.SD \n")
if(any(diff(value)<0))
stop("Rating classes have to be in ascending order!\n")
this@rating=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("rating.SD",function(this) standardGeneric("rating.SD"))
setMethod(f="rating.SD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@rating.SD})
setGeneric("rating.SD<-",function(this,value) standardGeneric("rating.SD<-"))
setReplaceMethod(f="rating.SD",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(length(value)!=length(this@rating))
cat("Warning: Slots rating and rating.PD are of different length! Please adjust rating \n")
if(length(value)!=length(rating.PD) && this@sec.var.est!=5)
cat("Warning: Slots rating and rating.SD are of different length! Please adjust rating.PD \n")
this@rating.SD=value
this=set.changes("calc.portfolio.statistics",this)
this})
setGeneric("M",function(this) standardGeneric("M"))
setMethod(f="M",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@M})
setGeneric("mu.k",function(this) standardGeneric("mu.k"))
setMethod(f="mu.k",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@mu.k})
setGeneric("loss.k",function(this) standardGeneric("loss.k"))
setMethod(f="loss.k",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@loss.k})
setGeneric("sigma_k",function(object,...) standardGeneric("sigma_k"))
setMethod(f="sigma_k",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_k})
setGeneric("sigma_sqr_div",function(object,...) standardGeneric("sigma_sqr_div"))
setMethod(f="sigma_sqr_div",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_sqr_div})
setGeneric("sigma_sqr_syst",function(object,...) standardGeneric("sigma_sqr_syst"))
setMethod(f="sigma_sqr_syst",signature=c("crp.CSFP"),definition=function(object,...){
integrity.check("calc.portfolio.statistics",object)
object@sigma_sqr_syst})
setGeneric("SD",function(this) standardGeneric("SD"))
setMethod(f="SD",signature=c("crp.CSFP"),definition=function(this){
integrity.check("calc.portfolio.statistics",this)
this@SD})
setGeneric("alpha.max",function(this) standardGeneric("alpha.max"))
setMethod(f="alpha.max",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@alpha.max})
setGeneric("alpha.max<-",function(this,value) standardGeneric("alpha.max<-"))
setReplaceMethod(f="alpha.max",signature=c("crp.CSFP","numeric"),definition=function(this,value){
if(value<=0 || value>1)
stop("alpha.max has to be between 0 and 1!\n")
this@alpha.max=value
this=set.changes("loss",this)
this})
setGeneric("a",function(this) standardGeneric("a"))
setMethod(f="a",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@a})
setGeneric("PDF",function(this) standardGeneric("PDF"))
setMethod(f="PDF",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@PDF})
setGeneric("CDF",function(this) standardGeneric("CDF"))
setMethod(f="CDF",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@CDF})
setGeneric("B",function(this) standardGeneric("B"))
setMethod(f="B",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@B})
setGeneric("loss",function(this) standardGeneric("loss"))
setMethod(f="loss",signature=c("crp.CSFP"),definition=function(this){
integrity.check("loss",this)
this@loss})
setGeneric("VaR",function(this) standardGeneric("VaR"))
setMethod(f="VaR",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@VaR})
setGeneric("EC",function(this) standardGeneric("EC"))
setMethod(f="EC",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@EC})
setGeneric("ES",function(this) standardGeneric("ES"))
setMethod(f="ES",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@ES})
setGeneric("VaR.cont",function(this) standardGeneric("VaR.cont"))
setMethod(f="VaR.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@VaR.cont})
setGeneric("ES.cont",function(this) standardGeneric("ES.cont"))
setMethod(f="ES.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@ES.cont})
setGeneric("ES.tau.cont",function(this) standardGeneric("ES.tau.cont"))
setMethod(f="ES.tau.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.vares",this)
this@ES.tau.cont})
setGeneric("EL.crp",function(this) standardGeneric("EL.crp"))
setMethod(f="EL.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@EL.crp})
setGeneric("SD.crp",function(this) standardGeneric("SD.crp"))
setMethod(f="SD.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@SD.crp})
setGeneric("VaR.pos",function(this) standardGeneric("VaR.pos"))
setMethod(f="VaR.pos",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@VaR.pos})
setGeneric("alpha.crp",function(this) standardGeneric("alpha.crp"))
setMethod(f="alpha.crp",signature=c("crp.CSFP"),definition=function(this){
integrity.check("measure",this)
this@alpha.crp})
setGeneric("SD.cont",function(this) standardGeneric("SD.cont"))
setMethod(f="SD.cont",signature=c("crp.CSFP"),definition=function(this){
integrity.check("rc.sd",this)
this@SD.cont})
setGeneric("changes.read",function(this) standardGeneric("changes.read"))
setMethod(f="changes.read",signature=c("crp.CSFP"),definition=function(this){
this@changes.read
})
setGeneric("changes.plausi",function(this) standardGeneric("changes.plausi"))
setMethod(f="changes.plausi",signature=c("crp.CSFP"),definition=function(this){
this@changes.plausi
})
setGeneric("changes.calc.portfolio.statistics",function(this) standardGeneric("changes.calc.portfolio.statistics"))
setMethod(f="changes.calc.portfolio.statistics",signature=c("crp.CSFP"),definition=function(this){
this@changes.calc.portfolio.statistics
})
setGeneric("changes.loss",function(this) standardGeneric("changes.loss"))
setMethod(f="changes.loss",signature=c("crp.CSFP"),definition=function(this){
this@changes.loss
})
setGeneric("changes.measure",function(this) standardGeneric("changes.measure"))
setMethod(f="changes.measure",signature=c("crp.CSFP"),definition=function(this){
this@changes.measure
})
setGeneric("changes.plot",function(this) standardGeneric("changes.plot"))
setMethod(f="changes.plot",signature=c("crp.CSFP"),definition=function(this){
this@changes.plot
})
setGeneric("changes.rc.vares",function(this) standardGeneric("changes.rc.vares"))
setMethod(f="changes.rc.vares",signature=c("crp.CSFP"),definition=function(this){
this@changes.rc.vares
})
setGeneric("changes.rc.sd",function(this) standardGeneric("changes.rc.sd"))
setMethod(f="changes.rc.sd",signature=c("crp.CSFP"),definition=function(this){
this@changes.rc.sd
})
setGeneric("changes.export",function(this) standardGeneric("changes.export"))
setMethod(f="changes.export",signature=c("crp.CSFP"),definition=function(this){
this@changes.export
})
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