Dear R helpers
exposure <- data.frame(id =
c(1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20),
ead = c(9483.686,50000,6843.4968,10509.37125,21297.8905,50000,706152.8354,
62670.5625, 687.801995,50641.4875,59227.125,43818.5778,52887.72534,601788.7937,
56813.14859,4012356.056,1419501.179,210853.4743,749961,6599.0862),
pd = c(0.0191,0.0050,0.0298,0.0449,0.0442,0.0479,0.0007,0.0203,0.0431,0.0069,
0.0122,0.0022,0.0016,0.0082,0.0109,0.0008,0.0142,0.0171,0.0276,0.0178),
lgd =
c(0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,0.45,
0.45,0.45,0.45,0.45))
param <- data.frame(alpha = 0.99, size = 50) # size is basically no of
simulations
n <-
length(exposure$id)
id <- exposure$id
ead <- exposure$ead
lgd <- exposure$lgd
pd <- exposure$pd
alpha <- param$alpha
samplesize <- param$size
## generate random numbers s.t. 1 = Default, 0 = no-default.
L <- matrix(data=NA, nrow=n, ncol=samplesize, byrow=TRUE)
for(i in 1:n)
L[i,] <- rbinom(n=samplesize, size=1, prob=exposure$pd[i])
# ________________________________________________________________
# compute for each simulation
p_loss <- e_loss <- u_loss <- NULL
for(i in 1:samplesize)
{
defaulting <- subset(data.frame(id=exposure$id, ead=exposure$ead,
lgd=exposure$lgd, pd=exposure$pd, loss=L[,i]),
loss==1)
p_loss[i] <- sum(defaulting$ead * defaulting$lgd)
e_loss[i] <- sum(defaulting$ead * defaulting$lgd * defaulting$pd)
u_loss[i] <- sum(sqrt((defaulting$ead*defaulting$lgd)^2*defaulting$pd -
(defaulting$ead * defaulting$lgd * defaulting$pd)^2))
sim_data <- data.frame(sim_no=rep(i,length(defaulting$id)), id=defaulting$id,
ead=defaulting$ead, lgd=defaulting$lgd, pd=defaulting$pd)
write.csv(sim_data, file='sim_data.csv', append=TRUE, row.names=FALSE)
}
For a given set of 0's and 1's (i.e. for each simulation and there are 50
simulations), first I filter all the entries corresponding to 0's i.e. for a
given simulation, I need to store ead, lgd and pd pertaining to only non-zeros
i.e. pertaining to 1. Thus, for each of these 50 simulations, I need to define
a data.frame giving me filtered ead, lgd and pd and in teh end write a single
file sim_data.csv
I get
following warnings.
Warning messages:
1: In write.csv(sim_data, file = "sim_data.csv", append = TRUE, ... :
attempt to set 'append' ignored
2: In write.csv(sim_data, file = "sim_data.csv", append = TRUE, ... :
attempt to set 'append' ignored
.....................................................................................................
.....................................................................................................
50: In write.csv(sim_data, file = "sim_data.csv", append = TRUE, ... :
attempt to set 'append' ignored
Kindly guide
Regards
Vincy
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