diff options
| -rw-r--r-- | R/TAGS | 64 |
1 files changed, 41 insertions, 23 deletions
@@ -92,7 +92,7 @@ nn.scenarios51,1333 rrecov.adj52,1352 pparams53,1367 -./calibrate_tranches_BC.R,410 +./calibrate_tranches_BC.R,413 nn.int15,419 NNgrid17,478 aaux19,492 @@ -113,9 +113,9 @@ tthetas80,2844 rrhos81,2895 ccorr0182,2944 ddurations83,2995 -EEL84,3049 -rrisk.numbers123,4651 -ddata131,5138 +EELmat84,3049 +rrisk.numbers123,4657 +ddata131,5144 ./calibration.R,95 bbuildSC3,35 @@ -348,10 +348,10 @@ pprocesszipfiles41,1106 ggetconfig69,2244 ggetdealcf79,2579 ggetcusipcf167,6883 -ccompute.delta227,10088 -ccfdata255,11237 -ccusipdata259,11442 -ssave.dir260,11499 +ccompute.delta227,10072 +ccfdata255,11221 +ccusipdata259,11426 +ssave.dir260,11483 ./load_futures_data.R,180 bbbgCon11,202 @@ -449,21 +449,21 @@ BBClossdist622,22094 BBClossdistC649,23003 BBCtranche.legs660,23579 BBCtranche.pv666,23903 -ttheta.adjust.skew694,24938 -BBCtranche.theta704,25301 -BBCtranche.delta716,25752 -BBCtranche.corr01750,27161 -EEL758,27418 -EELtrunc773,28112 -BBCstrikes788,28949 -sskewmapping799,29327 -ttranche.factor810,29683 -MMFupdate.prob816,29913 -MMFupdate.probC828,30317 -MMFlossrecovdist.prepay841,30825 -MMFlossdist.joint868,31982 -MMFlossdist.prepay.joint900,33336 -MMFtranche.pv928,34468 +aadjust.skew694,24938 +ttheta.adjust.skew722,25994 +BBCtranche.theta731,26345 +BBCtranche.delta748,26944 +BBCtranche.corr01782,28353 +EEL790,28610 +EELtrunc805,29304 +BBCstrikes813,29725 +ttranche.factor824,30094 +MMFupdate.prob830,30324 +MMFupdate.probC842,30728 +MMFlossrecovdist.prepay855,31236 +MMFlossdist.joint882,32393 +MMFlossdist.prepay.joint914,33747 +MMFtranche.pv942,34879 ./LS.R,139 rr1,0 @@ -631,6 +631,24 @@ pprotectionsize86,1551 ccl90,1614 ppl96,1766 +./tranches_RV_BC_et.R,276 +nn.int13,384 +NNgrid15,443 +aaux17,457 +aalldates22,597 +bbus.dates23,671 +oorigpv25,772 +ffirstpv26,786 +ssecondpv27,801 +rrandates28,817 +iindex.name31,878 +iindex.name132,899 +kk34,922 +bbigmat35,929 +ttemp101,3066 +ttranche.names102,3128 +bbigmat103,3186 + ./transactions.R,98 ttransdir1,0 ttranssave2,31 |