diff options
| -rw-r--r-- | R/TAGS | 261 |
1 files changed, 74 insertions, 187 deletions
@@ -1,12 +1,12 @@ -/home/share/CorpCDOs/code/R/backtest_tranches.R,69 +./backtest_tranches.R,69 aargs1,0 bbps18,543 ffiles19,555 ddates20,648 bbasis21,688 -/home/share/CorpCDOs/code/R/bandits.R,484 +./bandits.R,484 cconn2,20 ddata4,42 sspy9,200 @@ -40,7 +40,7 @@ ffixed.rebal82,2166 mmemb94,2436 ttickerslist109,2847 -/home/share/CorpCDOs/code/R/build_cds_database.R,459 +./build_cds_database.R,459 ddrv3,35 ddbCon4,65 bbbgConn7,182 @@ -67,7 +67,7 @@ pprep.data62,2260 ssqlstr65,2423 tticker_company75,2860 -/home/share/CorpCDOs/code/R/build_portfolios.R,150 +./build_portfolios.R,150 aargs4,38 hhy2116,450 ccalibration.date35,959 @@ -76,7 +76,7 @@ ccusipdata40,1112 ccashspread.discount41,1138 ccurrdealnames42,1163 -/home/share/CorpCDOs/code/R/build_scenarios.R,217 +./build_scenarios.R,217 hhostname5,56 aargs12,186 ccalibration.date45,1201 @@ -90,7 +90,7 @@ nn.scenarios55,1579 rrecov.adj56,1598 pparams57,1613 -/home/share/CorpCDOs/code/R/calibrate_tranches_BC.R,102 +./calibrate_tranches_BC.R,102 nn.int15,491 NNgrid17,526 aalldates19,540 @@ -98,13 +98,13 @@ rrhomat20,614 ddeltasmat21,628 bbus.dates22,645 -/home/share/CorpCDOs/code/R/calibration.R,97 +./calibration.R,97 bbuildSC9,248 gget.cdsSchedule20,678 sset.singlenamesdata29,1051 -sset.tranchedata44,1834 +sset.tranchedata44,1837 -/home/share/CorpCDOs/code/R/cds_functions_generic.R,2134 +./cds_functions_generic.R,1430 sabstractcurve18,412 sflatcurve20,464 sshapedcurve23,652 @@ -113,35 +113,35 @@ sdefaultprepaycurve26,910 screditcurve27,1005 sshapedtodpc30,1165 scouponleg40,1533 -scouponleg,data.frame,flatcurve45,1674 -scouponleg,data.frame,defaultcurve59,2254 -scouponleg,data.frame,defaultprepaycurve79,3206 +scouponleg45,1674 +scouponleg59,2254 +scouponleg79,3206 kk101,4405 -scouponleg,data.frame,shapedcurve108,4614 +scouponleg108,4614 sdcouponleg120,5306 -sdcouponleg,data.frame,flatcurve,missing124,5400 -sdcouponleg,data.frame,defaultcurve,numeric137,5955 -sdcouponleg,data.frame,shapedcurve,missing152,6670 +sdcouponleg124,5400 +sdcouponleg137,5955 +sdcouponleg152,6670 scdsduration185,8293 -scdsduration,abstractcurve,Date190,8438 +scdsduration190,8438 sdefaultleg199,8912 -sdefaultleg,data.frame,flatcurve,numeric204,9066 -sdefaultleg,data.frame,defaultcurve,numeric216,9631 -sdefaultleg,data.frame,defaultprepaycurve,numeric228,10258 -sdefaultleg,data.frame,shapedcurve,numeric244,11141 +sdefaultleg204,9066 +sdefaultleg216,9631 +sdefaultleg228,10258 +sdefaultleg244,11141 sddefaultleg251,11474 -sddefaultleg,data.frame,flatcurve,numeric,missing255,11580 -sddefaultleg,data.frame,defaultcurve,numeric,numeric268,12222 -sddefaultleg,data.frame,shapedcurve,numeric,missing281,12906 +sddefaultleg255,11580 +sddefaultleg268,12222 +sddefaultleg281,12906 scontingentleg305,14152 -scontingentleg,data.frame,flatcurve,numeric310,14315 -scontingentleg,data.frame,defaultcurve,numeric323,14950 -scontingentleg,data.frame,defaultprepaycurve,numeric335,15595 -scontingentleg,data.frame,shapedcurve,numeric352,16582 +scontingentleg310,14315 +scontingentleg323,14950 +scontingentleg335,15595 +scontingentleg352,16582 sdcontingentleg359,16912 -sdcontingentleg,data.frame,defaultcurve,numeric,numeric363,17024 -sdcontingentleg,data.frame,defaultcurve,numeric,missing377,17782 -sdcontingentleg,data.frame,shapedcurve,numeric,missing391,18508 +sdcontingentleg363,17024 +sdcontingentleg377,17782 +sdcontingentleg391,18508 ccdspv409,19536 ccdsspread414,19703 ddcdspv421,19985 @@ -166,7 +166,7 @@ DDP2692,30331 SSPmatrix2709,31091 ccreditcurve.maturity724,31689 -/home/share/CorpCDOs/code/R/cds_utils.R,201 +./cds_utils.R,201 ttoday3,22 aaddBusDay7,62 cconvertTenor11,238 @@ -178,7 +178,7 @@ ccdsMaturity139,5375 yyearFrac143,5473 lload.index149,5705 -/home/share/CorpCDOs/code/R/clopricer.R,272 +./clopricer.R,272 rrootdir1,0 sstripext5,75 ttoday9,147 @@ -195,21 +195,21 @@ ppricesBBB74,2436 ppricesBB79,2576 ppricesNA84,2712 -/home/share/CorpCDOs/code/R/deal_pricer.R,92 +./deal_pricer.R,92 ddrv2,21 ddbCon3,51 ddealnames4,128 ppricingcoverage5,196 ppricingcoverage19,1058 -/home/share/CorpCDOs/code/R/ema.R,10 +./ema.R,10 ema1,0 -/home/share/CorpCDOs/code/R/etdb.R,24 +./etdb.R,24 ddrv2,21 ddbCon3,51 -/home/share/CorpCDOs/code/R/filterruns.R,103 +./filterruns.R,103 llcds1,0 bblcds2,12 uupfront4,71 @@ -218,14 +218,14 @@ qquotes14,513 rrunning15,535 qquotes16,579 -/home/share/CorpCDOs/code/R/hf.R,83 +./hf.R,83 cconn2,14 hhyg.ticker3,59 hhy21.ticker4,89 hhy21data6,121 hhygdata38,273 -/home/share/CorpCDOs/code/R/interpweights_2.R,160 +./interpweights_2.R,160 iinterpweights1,0 aadjust_scenario10,278 aadjust_weights14,362 @@ -234,7 +234,7 @@ ooptimize23,643 iinterpweightsadjust38,978 ttransformweightslike44,1211 -/home/share/CorpCDOs/code/R/interpweights.R,284 +./interpweights.R,284 iinterpweights1,0 iinterpvalues10,281 iinterpvalues.distr47,1179 @@ -249,7 +249,7 @@ cclipr107,2749 ssclipr111,2798 iinverse115,2865 -/home/share/CorpCDOs/code/R/intex_deal_functions.R,658 +./intex_deal_functions.R,658 hhostname8,127 ggetdealdata24,503 ggetcollateral38,1302 @@ -275,7 +275,7 @@ ggetdealschedule353,14835 iintexportfolio.forwardprice374,15690 ccompute.reinvprices404,17307 -/home/share/CorpCDOs/code/R/latestprices.R,453 +./latestprices.R,453 cconn2,15 ddeltas.hist3,47 ddeltas.live4,165 @@ -301,7 +301,7 @@ wwalduration40,2176 ddeltas41,2242 ddata42,2304 -/home/share/CorpCDOs/code/R/loadcashflows.R,186 +./loadcashflows.R,186 ccusips1,0 ccfdir2,145 ttest3,183 @@ -314,12 +314,12 @@ aaddcurves21,819 mmultcurves29,1100 sspreadfrombondprice37,1382 -/home/share/CorpCDOs/code/R/load_cds_data.R,71 +./load_cds_data.R,71 ddownload.cdscurves4,33 wwrite.tranchedata21,721 bbbgConn35,1291 -/home/share/CorpCDOs/code/R/load_cf.R,252 +./load_cf.R,252 aargs7,122 ccalibration.date29,747 ddm32,820 @@ -333,7 +333,7 @@ ccfdata256,11208 ccusipdata260,11413 ssave.dir261,11470 -/home/share/CorpCDOs/code/R/load_futures_data.R,180 +./load_futures_data.R,180 bbbgCon11,202 ffields.corp13,251 ccorpcusips18,501 @@ -345,7 +345,7 @@ ddataCorp24,782 ddataCorp26,891 ffh27,951 -/home/share/CorpCDOs/code/R/load_loanprices_data.R,183 +./load_loanprices_data.R,183 ffields.corp13,339 ccorpcusips17,588 ccorpcusips18,673 @@ -357,7 +357,7 @@ ddataCorp25,978 ffh27,1062 sstrdate31,1244 -/home/share/CorpCDOs/code/R/loan_universe.R,401 +./loan_universe.R,401 MMarkitData10,201 LL1m11,233 LL2m12,277 @@ -382,7 +382,7 @@ lloan.data268,2110 mmaturities69,2170 ttest270,2222 -/home/share/CorpCDOs/code/R/lossdistrib/R/tranche_functions.R,1495 +lossdistrib/R/tranche_functions.R,1495 GGHquad13,733 llossdistrib22,903 llossdistrib.fft34,1170 @@ -429,19 +429,19 @@ BBClossdist622,22094 BBClossdistC649,23003 BBCtranche.pv660,23579 BBCtranche.delta682,24465 -EEL716,26186 -EELtrunc725,26627 -BBCstrikes740,27464 -sskewmapping751,27906 -ddelta.factor762,28262 -MMFupdate.prob770,28597 -MMFupdate.probC782,29001 -MMFlossrecovdist.prepay795,29509 -MMFlossdist.joint822,30666 -MMFlossdist.prepay.joint854,32020 -MMFtranche.pv882,33152 +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 -/home/share/CorpCDOs/code/R/LS.R,139 +./LS.R,139 rr1,0 TT2,12 ssigma3,33 @@ -454,7 +454,7 @@ pplus10,137 eeuropean14,176 aamerican15,200 -/home/share/CorpCDOs/code/R/mapping_fast.R,288 +./mapping_fast.R,288 ddrv5,87 ddbCon6,117 mmarkitdata7,216 @@ -473,7 +473,7 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -/home/share/CorpCDOs/code/R/mlpdb.R,110 +./mlpdb.R,110 ddrv2,21 ddbCon3,51 nnameToBasketID6,168 @@ -481,7 +481,7 @@ ccdslist14,449 aarr.convert20,653 gget.indexquotes24,790 -/home/share/CorpCDOs/code/R/optimization.R,294 +./optimization.R,294 "blkdiag4,48 llinfit16,379 llinfit138,1103 @@ -499,7 +499,7 @@ iinvchol421,11770 ssolveswm429,11917 nnorm438,12136 -/home/share/CorpCDOs/code/R/parse_intex.R,138 +./parse_intex.R,138 rroot1,0 ddealnames4,132 ccusips5,167 @@ -509,7 +509,7 @@ nn.scenarios9,377 ooffset10,396 rr11,408 -/home/share/CorpCDOs/code/R/plot_deltas.R,132 +./plot_deltas.R,132 iindexpv1,0 KK5,136 ttranchespv6,167 @@ -520,7 +520,7 @@ ccol120,536 ccol221,570 ccol322,604 -/home/share/CorpCDOs/code/R/plot_distributions.R,116 +./plot_distributions.R,116 llossdist4,147 llossdist.orig11,381 RRstoch15,677 @@ -529,7 +529,7 @@ ddist29,1160 ddist30,1197 ddistw31,1245 -/home/share/CorpCDOs/code/R/reinvestingdistribution.R,190 +./reinvestingdistribution.R,190 pp3,31 SS4,47 llu5,66 @@ -545,7 +545,7 @@ rrho32,934 QQvec33,946 QQresult47,1342 -/home/share/CorpCDOs/code/R/script_calibrate_tranches.R,347 +./script_calibrate_tranches.R,347 aargs6,74 nn.credit35,841 NNgrid36,876 @@ -570,7 +570,7 @@ LL98,2872 RR99,2918 ddist108,3216 -/home/share/CorpCDOs/code/R/time_of_default.R,364 +./time_of_default.R,364 sspreads1,0 zz12,32 rrho4,48 @@ -600,7 +600,7 @@ pprotectionsize86,1551 ccl90,1614 ppl96,1766 -/home/share/CorpCDOs/code/R/tranche_mapping.R,267 +./tranche_mapping.R,267 nn.int14,454 bbps15,467 ttradedate18,502 @@ -617,7 +617,7 @@ KK102,4039 rrhofun103,4070 KKmapped105,4114 -/home/share/CorpCDOs/code/R/transactions.R,98 +./transactions.R,98 ttransdir1,0 ttranssave2,31 ddealnames3,76 @@ -625,127 +625,14 @@ sstripext4,93 ppurchased17,458 ssold22,633 -/home/share/CorpCDOs/code/R/xmltotab.R,39 +./xmltotab.R,39 iinput3,70 ttop4,132 ttable5,154 -/home/share/CorpCDOs/code/R/yieldcurve.R,108 +./yieldcurve.R,108 ggetMarkitIRData2,19 tthirdwed36,1531 nnextthirdwed42,1656 bbuildMarkitYC47,1741 eexportYC93,4098 - -/home/share/CorpCDOs/code/R/lossdistrib/src/lossdistrib.c,713 -#define MIN(7,103 -void GHquad(18,693 -void lossdistrib(46,1389 -void lossdistrib_blas(94,2613 -void lossdistrib_Z(143,3955 -void lossdistrib_truncated(159,4492 -void lossdistrib_joint(205,5728 -void lossdistrib_joint_blas(274,7705 -void recovdist(348,9923 -void lossdistrib_prepay_joint(402,11372 -void lossdistrib_prepay_joint_blas(489,13998 -double shockprob(579,17022 -double dqnorm(587,17265 -double dshockprob(591,17346 -void shockprobvec2(595,17508 -double shockseverity(606,17851 -double quantile(614,18039 -void fitprob(627,18250 -void stochasticrecov(655,19036 -void lossdistrib_prepay_joint_Z(674,19641 -void lossdistrib_joint_Z(704,20693 -void BCloss_recov_dist(731,21526 -void BCloss_dist(793,23830 - -/home/share/CorpCDOs/code/R/lossdistrib/src/lossdistrib.h,0 - -lossdistrib/R/tranche_functions.R,1495 -GGHquad13,733 -llossdistrib22,903 -llossdistrib.fft34,1170 -llossdistrib245,1554 -llossdistrib2.truncated74,2344 -rrecovdist109,3524 -llossdist.joint142,4594 -llossdist.prepay.joint181,6111 -llossdistC242,8707 -llossdistCblas248,8973 -llossdistCZ254,9248 -llossdistC.truncated261,9552 -rrecovdistC267,9814 -llossdistC.joint273,10029 -llossdistC.jointblas279,10318 -llossdistC.jointZ286,10617 -llossdistC.prepay.joint299,11174 -llossdistC.prepay.jointZ306,11500 -llossrecovdist320,12105 -llossrecovdist.term341,12886 -llossrecovdist.joint.term361,13607 -ddist.transform389,14611 -sshockprob411,15310 -sshockseverity430,16015 -ddshockprob439,16339 -ddqnorm443,16443 -ffit.prob447,16491 -ffit.probC472,17174 -sstochasticrecov478,17363 -sstochasticrecovC489,17813 -ppos496,18110 -ttrancheloss500,18148 -ttrancherecov504,18217 -ttranche.cl508,18294 -ttranche.cl.scenarios528,19091 -ffunded.tranche.pv546,19794 -ttranche.pl565,20472 -ttranche.pl.scenarios582,20962 -ttranche.pv598,21397 -ttranche.pv.scenarios602,21541 -aadjust.attachments608,21710 -ttranche.pvvec614,21900 -BBClossdist622,22094 -BBClossdistC649,23003 -BBCtranche.pv660,23579 -BBCtranche.delta682,24465 -EEL716,26186 -EELtrunc725,26627 -BBCstrikes740,27464 -sskewmapping751,27906 -ddelta.factor762,28262 -MMFupdate.prob770,28597 -MMFupdate.probC782,29001 -MMFlossrecovdist.prepay795,29509 -MMFlossdist.joint822,30666 -MMFlossdist.prepay.joint854,32020 -MMFtranche.pv882,33152 - -lossdistrib/src/lossdistrib.c,713 -#define MIN(7,103 -void GHquad(18,693 -void lossdistrib(46,1389 -void lossdistrib_blas(94,2613 -void lossdistrib_Z(143,3955 -void lossdistrib_truncated(159,4492 -void lossdistrib_joint(205,5728 -void lossdistrib_joint_blas(274,7705 -void recovdist(348,9923 -void lossdistrib_prepay_joint(402,11372 -void lossdistrib_prepay_joint_blas(489,13998 -double shockprob(579,17022 -double dqnorm(587,17265 -double dshockprob(591,17346 -void shockprobvec2(595,17508 -double shockseverity(606,17851 -double quantile(614,18039 -void fitprob(627,18250 -void stochasticrecov(655,19036 -void lossdistrib_prepay_joint_Z(674,19641 -void lossdistrib_joint_Z(704,20693 -void BCloss_recov_dist(731,21526 -void BCloss_dist(793,23830 - -lossdistrib/src/lossdistrib.h,0 |