library(survival)

source("index.r")
source("stock.r")
source("bonds.r")
source("fx.r")
source("famfr.r")

assets <- merge(x=index, y=stock, by.x="caldt", by.y="caldt", all=TRUE)
assets <- merge(x=assets, y=bonds, by.x="caldt", by.y="caldt", all=TRUE)
assets <- merge(x=assets, y=fx, by.x="caldt", by.y="caldt", all=TRUE)

caldt <- assets$caldt
assets <- 100.0*assets;
assets$caldt <- caldt

assets <- merge(x=assets, y=famfr, by.x="caldt", by.y="caldt", all=TRUE)

rm(index,stock,bonds,fx,famfr)

assets <- assets[assets$caldt > 19710000,]

crashXLM.idx <- (assets$sp500 < -4.5) & (!is.na(assets$sp500))

tmp <- assets[crashXLM.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
crashXLM <- tmp

write.table(crashXLM,file="crashXLM.csv",quote=F,sep=",",na="",row.names=F)

rallyXLM.idx <- (assets$sp500 >  4.5) & (!is.na(assets$sp500))

tmp <- assets[rallyXLM.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
rallyXLM <- tmp

write.table(rallyXLM,file="rallyXLM.csv",quote=F,sep=",",na="",row.names=F)

crash80.idx <- (assets$sp500 < -3.5) & (!is.na(assets$sp500)) &
               (assets$caldt > 19800000) & (assets$caldt < 19900000)

tmp <- assets[crash80.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
crash80 <- tmp

write.table(crash80,file="crash80.csv",quote=F,sep=",",na="",row.names=F)

rally80.idx <- (assets$sp500 >  3.5) & (!is.na(assets$sp500)) &
               (assets$caldt > 19800000) & (assets$caldt < 19900000)

tmp <- assets[rally80.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
rally80 <- tmp

write.table(rally80,file="rally80.csv",quote=F,sep=",",na="",row.names=F)

crash90.idx <- (assets$sp500 < -3.5) & (!is.na(assets$sp500)) &
               (assets$caldt > 19900000) & (assets$caldt < 20000000)

tmp <- assets[crash90.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
crash90 <- tmp

write.table(crash90,file="crash90.csv",quote=F,sep=",",na="",row.names=F)

rally90.idx <- (assets$sp500 >  3.5) & (!is.na(assets$sp500)) &
               (assets$caldt > 19900000) & (assets$caldt < 20000000)

tmp <- assets[rally90.idx,]
dat <- paste("Day",tmp$caldt,sep="")
tmp <- tmp[,-1]
lab <- names(tmp)
tmp <- t(tmp)
tmp <- cbind(lab,tmp)
tmp <- data.frame(tmp)
names(tmp) <- c("PORTFOLIO",dat)
rally90 <- tmp

write.table(rally90,file="rally90.csv",quote=F,sep=",",na="",row.names=F)