1 files changed, 117 insertions, 108 deletions
diff --git a/R/TAGS b/R/TAGS
index 648efa21..e16acd54 100644
--- a/R/TAGS
+++ b/R/TAGS
@@ -67,52 +67,55 @@ pprep.data62,2268
 ssqlstr65,2431
 tticker_company75,2868
 
-./build_portfolios.R,150
+./build_portfolios.R,151
 aargs4,38
-hhy2116,450
-ccalibration.date35,959
-gglobal.params38,1031
-ccusipdata40,1112
-ccashspread.discount41,1138
-ccurrdealnames42,1163
+hhy2117,502
+ccalibration.date36,1011
+gglobal.params39,1083
+ccusipdata41,1164
+ccashspread.discount42,1190
+ccurrdealnames43,1215
 
-./build_scenarios.R,217
+./build_scenarios.R,232
 hhostname5,56
 aargs12,186
-ccalibration.date45,1201
-ssettledate46,1246
-ccalibration47,1284
-ZZ49,1463
-ww50,1482
-NNgrid53,1529
-ssupport54,1542
-nn.scenarios55,1579
-rrecov.adj56,1598
-pparams57,1613
+hhy2144,1233
+ccalibration.date46,1261
+ssettledate47,1306
+ccalibration48,1344
+ZZ50,1523
+ww51,1542
+NNgrid54,1589
+ssupport55,1602
+nn.scenarios56,1639
+rrecov.adj57,1658
+pparams58,1673
 
-./calibrate_tranches_BC_et.R,307
-nn.int15,491
-NNgrid17,526
-aalldates19,540
-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
+./calibrate_tranches_BC_et.R,340
+nn.int15,496
+NNgrid17,531
+aalldates19,545
+ddeltasmat21,620
+ggammasmat22,637
+rrhomat23,654
+ddealerdeltamat24,668
+ddurmat25,690
+bbigmat26,704
+ddeltanames34,854
+ggammasmatnames35,951
+rrhonames36,1028
+ddealerdeltanames37,1093
+ddurmatnames38,1200
+bbus.dates40,1267
+kk41,1367
+iindex.name42,1372
+bbigmat89,3145
 
 ./calibration.R,97
 bbuildSC9,248
-gget.cdsSchedule20,678
-sset.singlenamesdata29,1051
-sset.tranchedata43,1749
+gget.cdsSchedule20,631
+sset.singlenamesdata33,1118
+sset.tranchedata50,1915
 
 ./cds_functions_generic.R,1430
 sabstractcurve18,412
@@ -162,19 +165,19 @@ ccdshazardrate.shaped454,21241
 ccdshazardrate464,21628
 bbondhazardrate.shaped498,22951
 ttweakportfolio527,24101
-iindexpv546,24700
-iindexduration564,25413
-iindexspread570,25647
-pportfoliospread582,26123
-pportfolioduration608,27283
-ttweakcurves613,27508
-ssurvivalProbability1624,27914
-ssurvivalProbability.exact647,28832
-SSP669,29534
-SSPmatrix676,29767
-DDP2692,30331
-SSPmatrix2709,31091
-ccreditcurve.maturity724,31689
+iindexpv551,24785
+iindexduration569,25501
+iindexspread575,25735
+pportfoliospread587,26211
+pportfolioduration613,27371
+ttweakcurves618,27596
+ssurvivalProbability1629,28004
+ssurvivalProbability.exact652,28922
+SSP674,29624
+SSPmatrix681,29857
+DDP2697,30421
+SSPmatrix2714,31181
+ccreditcurve.maturity729,31779
 
 ./cds_utils.R,179
 ttoday3,22
@@ -185,7 +188,7 @@ ccouponSchedule49,1574
 IIMMDate111,4219
 ccdsAccrued134,5203
 ccdsMaturity139,5375
-yyearFrac143,5473
+yyearFrac145,5506
 
 ./clopricer.R,272
 rrootdir1,0
@@ -325,22 +328,23 @@ sspreadfrombondprice37,1382
 
 ./load_cds_data.R,71
 ddownload.cdscurves4,33
-wwrite.tranchedata21,721
-bbbgConn35,1291
+wwrite.tranchedata21,727
+bbbgConn35,1297
 
-./load_cf.R,252
+./load_cf.R,267
 aargs7,122
-ccalibration.date29,747
-ddm32,820
-ssanitize.column33,828
-pprocesszipfiles40,1045
-ggetconfig68,2183
-ggetdealcf78,2518
-ggetcusipcf166,6822
-ccompute.delta226,10027
-ccfdata256,11208
-ccusipdata260,11413
-ssave.dir261,11470
+iindex28,779
+ccalibration.date30,808
+ddm33,881
+ssanitize.column34,889
+pprocesszipfiles41,1106
+ggetconfig69,2244
+ggetdealcf79,2579
+ggetcusipcf167,6883
+ccompute.delta227,10088
+ccfdata257,11270
+ccusipdata261,11475
+ssave.dir262,11532
 
 ./load_futures_data.R,180
 bbbgCon11,202
@@ -437,18 +441,18 @@ ttranche.pvvec614,21900
 BBClossdist622,22094
 BBClossdistC649,23003
 BBCtranche.pv660,23579
-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
+BBCtranche.delta687,24563
+EEL750,27561
+EELtrunc759,28002
+BBCstrikes774,28839
+sskewmapping785,29281
+ddelta.factor796,29637
+MMFupdate.prob804,29972
+MMFupdate.probC816,30376
+MMFlossrecovdist.prepay829,30884
+MMFlossdist.joint856,32041
+MMFlossdist.prepay.joint888,33395
+MMFtranche.pv916,34527
 
 ./LS.R,139
 rr1,0
@@ -482,14 +486,16 @@ llevdist34,1737
 rratio35,1796
 iindex36,1877
 
-./mlpdb.R,131
+./mlpdb.R,184
 ddrv2,21
-ddbCon3,51
-nnameToBasketID6,168
-lload.index12,350
-ccdslist20,757
-aarr.convert26,973
-gget.indexquotes30,1110
+mmlpdbCon3,51
+nnameToBasketID6,171
+lload.index12,367
+ccdslist20,789
+aarr.convert26,1019
+gget.indexquotes34,1330
+iindexsplit43,1737
+gget.tranchequotes52,2059
 
 ./optimization.R,294
 "blkdiag4,48
@@ -555,30 +561,33 @@ rrho32,934
 QQvec33,946
 QQresult47,1342
 
-./script_calibrate_tranches.R,347
+./script_calibrate_tranches.R,391
 aargs6,74
-nn.credit35,841
-NNgrid36,876
-aacc37,902
-bbottomup39,986
-ttopdown40,1002
-nn.int41,1017
-nn.credit42,1030
-eerrvec43,1065
-qquadrature44,1079
-ww45,1107
-ZZ46,1125
-ww.mod47,1143
-pp48,1154
-rrho49,1176
-rresult50,1203
-eerr51,1233
-RRstoch89,2566
-LLw96,2812
-RRw97,2842
-LL98,2872
-RR99,2918
-ddist108,3216
+hhy2120,588
+hhy2132,809
+hhy2133,854
+nn.credit36,917
+NNgrid37,952
+aacc38,978
+bbottomup40,1062
+ttopdown41,1078
+nn.int42,1093
+nn.credit43,1106
+eerrvec44,1141
+qquadrature45,1155
+ww46,1183
+ZZ47,1201
+ww.mod48,1219
+pp49,1230
+rrho50,1252
+rresult51,1279
+eerr52,1309
+RRstoch90,2642
+LLw97,2888
+RRw98,2918
+LL99,2948
+RR100,2994
+ddist109,3292
 
 ./time_of_default.R,364
 sspreads1,0