diff options
| -rw-r--r-- | R/TAGS | 98 |
1 files changed, 54 insertions, 44 deletions
@@ -40,32 +40,32 @@ ffixed.rebal82,2166 mmemb94,2436 ttickerslist109,2847 -./build_cds_database.R,459 +./build_cds_database.R,463 ddrv3,35 ddbCon4,65 bbbgConn7,182 nnewbasketID9,240 iig.indices24,760 -iigpattern25,794 -hhy.indices26,825 -hhypattern27,871 -iitraxx.indices28,902 -iitraxxpattern29,940 -aIG937,1153 -aEU946,1460 -aall.names48,1524 -aall.indices49,1541 -ttickers54,1730 -ddata55,1763 -ddata56,1871 -uunique.tickers57,1900 -ccdscurves58,1993 -ttemp159,2070 -ttemp260,2128 -ccurves61,2180 -pprep.data62,2260 -ssqlstr65,2423 -tticker_company75,2860 +iigpattern25,799 +hhy.indices26,838 +hhypattern27,890 +iitraxx.indices28,933 +iitraxxpattern29,971 +aEU945,1428 +aall.names47,1492 +aall.indices48,1509 +ttickers53,1698 +ttickers54,1731 +ddata55,1771 +ddata56,1879 +uunique.tickers57,1908 +ccdscurves58,2001 +ttemp159,2078 +ttemp260,2136 +ccurves61,2188 +pprep.data62,2268 +ssqlstr65,2431 +tticker_company75,2868 ./build_portfolios.R,150 aargs4,38 @@ -90,19 +90,29 @@ nn.scenarios55,1579 rrecov.adj56,1598 pparams57,1613 -./calibrate_tranches_BC.R,102 +./calibrate_tranches_BC_et.R,307 nn.int15,491 NNgrid17,526 aalldates19,540 -rrhomat20,614 -ddeltasmat21,628 -bbus.dates22,645 +ddeltasmat21,615 +ggammasmat22,632 +rrhomat23,649 +ddealerdeltamat24,663 +ddurmat25,685 +bbigmat26,699 +ddeltanames34,849 +ggammasmatnames35,946 +rrhonames36,1023 +ddealerdeltanames37,1088 +ddurmatnames38,1195 +bbus.dates40,1262 +bbigmat88,2963 ./calibration.R,97 bbuildSC9,248 gget.cdsSchedule20,678 sset.singlenamesdata29,1051 -sset.tranchedata44,1837 +sset.tranchedata43,1749 ./cds_functions_generic.R,1430 sabstractcurve18,412 @@ -166,7 +176,7 @@ DDP2692,30331 SSPmatrix2709,31091 ccreditcurve.maturity724,31689 -./cds_utils.R,201 +./cds_utils.R,179 ttoday3,22 aaddBusDay7,62 cconvertTenor11,238 @@ -176,7 +186,6 @@ IIMMDate111,4219 ccdsAccrued134,5203 ccdsMaturity139,5375 yyearFrac143,5473 -lload.index149,5705 ./clopricer.R,272 rrootdir1,0 @@ -428,18 +437,18 @@ ttranche.pvvec614,21900 BBClossdist622,22094 BBClossdistC649,23003 BBCtranche.pv660,23579 -BBCtranche.delta682,24465 -EEL715,26155 -EELtrunc724,26596 -BBCstrikes739,27433 -sskewmapping750,27875 -ddelta.factor761,28231 -MMFupdate.prob769,28566 -MMFupdate.probC781,28970 -MMFlossrecovdist.prepay794,29478 -MMFlossdist.joint821,30635 -MMFlossdist.prepay.joint853,31989 -MMFtranche.pv881,33121 +BBCtranche.delta682,24471 +EEL739,27481 +EELtrunc748,27922 +BBCstrikes763,28759 +sskewmapping774,29201 +ddelta.factor785,29557 +MMFupdate.prob793,29892 +MMFupdate.probC805,30296 +MMFlossrecovdist.prepay818,30804 +MMFlossdist.joint845,31961 +MMFlossdist.prepay.joint877,33315 +MMFtranche.pv905,34447 ./LS.R,139 rr1,0 @@ -473,13 +482,14 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -./mlpdb.R,110 +./mlpdb.R,131 ddrv2,21 ddbCon3,51 nnameToBasketID6,168 -ccdslist14,449 -aarr.convert20,653 -gget.indexquotes24,790 +lload.index12,350 +ccdslist20,757 +aarr.convert26,973 +gget.indexquotes30,1110 ./optimization.R,294 "blkdiag4,48 |