diff options
| -rw-r--r-- | R/build_scenarios.R | 16 |
1 files changed, 14 insertions, 2 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index be450ef2..e12abacb 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -194,11 +194,23 @@ for(j in seq_along(dealnames)){ ##reinvest tweak
coupon <- coupon-0.01
+ ## reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly), .combine=c) %dopar% {
+ ## 100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
+ ## min(date+rollingmaturity*30, deal.data$maturity),
+ ## asset$coupontype, coupon, asset$liborfloor/100)
+
reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly), .combine=c) %dopar% {
- 100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
+ 100 * forwardportfolioprice(deal.portfolio, date,
min(date+rollingmaturity*30, deal.data$maturity),
- asset$coupontype, coupon, asset$liborfloor/100)
+ asset$coupontype, coupon, asset$liborfloor/100)
}
+ ## for(i in seq_along(deal.datesmonthly)){
+ ## date <- deal.datesmonthly[i]
+ ## reinvprices[[assetname]] <-
+ ## 100 * forwardportfolioprice(cdrmonthly.dt, recoverymonthly.dt, date,
+ ## min(date+rollingmaturity*30, deal.data$maturity),
+ ## asset$coupontype, coupon, asset$liborfloor/100)
+
}
}
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