diff options
| -rw-r--r-- | R/TAGS | 304 |
1 files changed, 151 insertions, 153 deletions
@@ -1,16 +1,4 @@ -./backtest.R,200 -hhostname11,181 -gget.indexquotes22,495 -gget.indexmaturity34,1136 -ffastduration43,1487 -ffasttheta61,1978 -cconvertNA84,2736 -iindex93,2846 -ttenors94,2860 -rrecov95,2893 -ssqlstr96,2906 - ./backtest_tranches.R,69 aargs1,0 bbps18,543 @@ -79,16 +67,16 @@ pprep.data62,2278 ssqlstr65,2441 tticker_company75,2878 -./build_portfolios.R,184 +./build_portfolios.R,187 aargs4,38 -ccode.dir5,77 -ccalibration.date36,972 -iindex38,1043 -iindex39,1072 -gglobal.params40,1121 -ccusipdata42,1204 -ccashspread.discount43,1230 -ccurrdealnames44,1255 +ccode.dir11,201 +ccalibration.date39,1017 +iindex41,1088 +iindex42,1117 +gglobal.params43,1166 +ccusipdata45,1249 +ccashspread.discount46,1275 +ccurrdealnames47,1300 ./build_scenarios.R,235 hhostname4,35 @@ -111,19 +99,18 @@ iindex.name25,678 aalldates26,699 bbus.dates27,773 -./calibrate_tranches_BC.R,50 +./calibrate_tranches_BC.R,35 ooption_list12,321 aargs22,914 -ccmd126,5206 ./calibrate_tranches_MF.R,109 aargs5,54 -ccode.dir17,365 -iindex36,1021 -iindex37,1057 -iindex38,1099 -iindex40,1167 -ddist43,1294 +ccode.dir17,367 +iindex36,1023 +iindex37,1059 +iindex38,1101 +iindex40,1169 +ddist43,1296 ./calibration.R,141 bbuildSC3,35 @@ -240,7 +227,7 @@ ppricesBBB74,2436 ppricesBB79,2576 ppricesNA84,2712 -./creditIndex.R,194 +./creditIndex.R,211 nn.int8,145 ggh9,158 NNgrid10,178 @@ -251,6 +238,7 @@ pprint.creditIndex34,895 lload.index59,1886 ccsvheaders72,2292 ttocsv92,3168 +ttosql105,3796 ./deal_pricer.R,92 ddrv2,21 @@ -262,9 +250,8 @@ ppricingcoverage19,1058 ./ema.R,10 ema1,0 -./etdb.R,24 -ddrv2,21 -ddbCon3,51 +./etdb.R,13 +ddbCon2,13 ./filterruns.R,103 llcds1,0 @@ -306,32 +293,32 @@ cclipr107,2749 ssclipr111,2798 iinverse115,2865 -./intex_deal_functions.R,678 +./intex_deal_functions.R,679 hhostname7,98 ggetdealdata17,280 -ggetcollateral31,1063 -llistdealnames41,1396 -ccusip.data46,1550 -rrecovery58,2000 -ddealnamefromcusip78,2786 -ccusipsfromdealnames86,3047 -ffithazardrate.fast93,3311 -vvanillabondprice105,3843 -ddvanillabondprice120,4515 -ffithazardrate128,4867 -sstackcurve140,5330 -bbuildSC.matured166,6568 -bbuildSC178,7039 -bbuildSC.portfolio246,10368 -ccdrfromscenarios274,11950 -rrecoveryfromscenarios284,12338 -rrecoveryfromscenarios.fast309,13311 -sseverityfromscenarios315,13513 -gget.reinvassets333,14205 -ggetpayday346,14626 -ggetdealschedule365,15333 -iintexportfolio.forwardprice384,16006 -ccompute.reinvprices414,17623 +ggetcollateral39,1290 +llistdealnames49,1623 +ccusip.data54,1777 +rrecovery66,2227 +ddealnamefromcusip86,3013 +ccusipsfromdealnames94,3274 +ffithazardrate.fast101,3538 +vvanillabondprice113,4070 +ddvanillabondprice128,4742 +ffithazardrate136,5094 +sstackcurve148,5557 +bbuildSC.matured174,6795 +bbuildSC186,7266 +bbuildSC.portfolio254,10595 +ccdrfromscenarios284,12295 +rrecoveryfromscenarios294,12683 +rrecoveryfromscenarios.fast319,13656 +sseverityfromscenarios325,13858 +gget.reinvassets343,14550 +ggetpayday356,14971 +ggetdealschedule375,15678 +iintexportfolio.forwardprice394,16351 +ccompute.reinvprices424,17968 ./latestprices.R,453 cconn2,15 @@ -372,37 +359,28 @@ aaddcurves21,819 mmultcurves29,1100 sspreadfrombondprice37,1382 -./load_cds_data.R,220 +./load_cds_data.R,71 ddownload.cdscurves4,39 wwrite.tranchedata21,749 bbbgConn35,1319 -hhy2239,1440 -hhy2140,1536 -hhy1941,1632 -hhy1742,1728 -iig2143,1824 -iig1944,1920 -iig945,2016 -ddrv48,2133 -ddbCon49,2163 -hhy1752,2290 -./load_cf.R,297 +./load_cf.R,319 aargs7,122 -iindex31,923 -iindex32,952 -ccalibration.date34,995 -ccs36,1067 -ddm38,1167 -ssanitize.column39,1175 -pprocesszipfiles46,1392 -ggetconfig74,2530 -ggetdealcf84,2865 -ggetcusipcf174,6919 -ccompute.delta243,10542 -ccfdata274,11759 -ccusipdata278,11964 -ssave.dir279,12021 +iindex31,925 +iindex32,954 +ccalibration.date34,997 +ccs36,1069 +ddm38,1169 +ssanitize.column39,1177 +pprocesszipfiles46,1394 +ggetconfig74,2532 +ggetdealcf84,2867 +ggetcusipcf174,6921 +ccompute.delta248,10730 +ccfdata279,11947 +ccusipdata283,12152 +ssave.dir284,12209 +ssqlstring289,12393 ./load_futures_data.R,180 bbbgCon11,202 @@ -453,39 +431,42 @@ lloan.data268,2110 mmaturities69,2170 ttest270,2222 -lossdistrib/R/distrib.R,850 +lossdistrib/R/distrib.R,911 GGHquad25,1100 llossdistrib44,1729 llossdistrib.fft68,2578 llossdistrib286,3252 llossdistrib2.truncated109,3791 -rrecovdist144,4971 -llossdist.joint177,6050 -llossdist.prepay.joint216,7567 -llossdistC277,10163 -llossdistCblas283,10429 -llossdistCZ289,10704 -llossdistC.truncated297,11045 -rrecovdistC303,11307 -llossdistC.joint309,11522 -llossdistC.jointblas315,11811 -llossdistC.jointZ321,12109 -llossdistC.prepay.jointblas334,12666 -llossdistC.prepay.jointZ341,13001 -llossrecovdist357,13674 -llossrecovdist.term370,14169 -llossrecovdist.joint.term390,14890 -ddist.transform407,15573 -sshockprob429,16272 -sshockseverity448,16977 -ddshockprob457,17301 -ddqnorm461,17405 -ffit.prob465,17453 -ffit.probC490,18136 -sstochasticrecov496,18325 -sstochasticrecovC507,18775 -BBClossdist514,19072 -BBClossdistC541,19981 +rrecovdist144,4968 +llossdist.joint177,6047 +llossdist.prepay.joint216,7564 +llossdistC277,10160 +llossdistCblas283,10426 +llossdistCZ289,10701 +llossdistC.truncated297,11042 +eexp.trunc305,11363 +rrec.trunc312,11576 +rrecovdistC323,11887 +llossdistC.joint329,12102 +llossdistC.jointblas335,12391 +llossdistC.jointZ341,12689 +llossdistC.prepay.jointblas354,13246 +llossdistC.prepay.jointZ361,13581 +llossrecovdist377,14254 +llossrecovdist.term390,14749 +llossrecovdist.joint.term410,15470 +ddist.transform427,16153 +sshockprob449,16852 +sshockseverity468,17557 +ddshockprob477,17881 +ddqnorm481,17985 +ffit.prob485,18033 +ffit.probC510,18716 +sstochasticrecov517,18941 +sstochasticrecovC528,19391 +BBClossdist535,19688 +BBClossdistC566,20773 +BBCER580,21469 ./LS.R,139 rr1,0 @@ -519,30 +500,27 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -./new_index_series.R,417 -ddrv4,54 -ddbCon5,84 -bbbgConn8,211 -nnewbasketID11,339 -iindexname26,1007 -iindextype27,1037 -sseries28,1078 -iindex31,1137 -ttickers32,1243 -ccds.fields34,1265 -ddata35,1357 -ddata36,1414 -uunique.tickers37,1443 -ccdscurves38,1536 -ccurves39,1613 -pprep.data40,1693 -aall.companyids44,1929 -ccurves45,2003 -pprep.data46,2075 -ssqlstr48,2268 -ssqlstr57,2677 -bbasketid58,2755 -ssqlstr60,2853 +./new_index_series.R,369 +bbbgConn4,39 +nnewbasketID7,167 +iindexname28,1003 +iindextype30,1065 +nnewseries31,1083 +iindex34,1147 +ttickers35,1253 +ccds.fields37,1275 +ddata38,1367 +ddata39,1424 +pprep.data40,1453 +aall.companyids45,1717 +pprep.data46,1797 +ccdscurves48,1876 +ccurves49,1961 +ccurves52,2043 +ssqlstr54,2230 +ssqlstr66,2793 +ssqlstr70,3027 +bbasketid71,3113 ./optimization.R,294 "blkdiag3,33 @@ -608,17 +586,31 @@ rrho32,934 QQvec33,946 QQresult47,1342 -./serenitasdb.R,219 -ddrv2,21 -sserenitasdb3,51 -nnameToBasketID6,190 -sset.index.desc12,389 -ccdslist26,1014 -aarr.convert32,1247 -gget.indexquotes40,1558 -iindexsplit49,1968 -gget.tranchequotes58,2290 -ccouponfromindex110,4676 +./serenitasdb.R,267 +sserenitasdb2,13 +ssqlArray7,199 +ssqlQuote12,320 +nnameToBasketID16,421 +sset.index.desc22,620 +ccdslist38,1315 +aarr.convert44,1560 +gget.indexquotes52,1885 +iindexsplit62,2317 +gget.tranchequotes67,2477 +ccouponfromindex122,4894 +ggetlastdate129,5171 + +./thetas-durations.R,212 +hhostname11,181 +gget.indexquotes22,495 +gget.indexmaturity38,1263 +ffastduration47,1637 +ffasttheta65,2128 +iindex88,2886 +ttenors89,2900 +rrecov90,2933 +ssqlstr.duration91,2946 +ssqlstr.theta93,3092 ./time_of_default.R,364 sspreads1,0 @@ -710,13 +702,19 @@ sstripext4,93 ppurchased17,458 ssold22,633 -./VaR.R,93 -ddata15,556 -rrho16,644 -sskew.shocks17,693 -ttradedate18,739 -iindex19,765 -rr20,811 +./VaR.R,205 +ddata18,588 +rrho19,691 +sskew.shocks20,740 +ttradedate21,786 +iindex22,812 +rr23,858 +sshock.prices25,898 +oorig.price26,944 +pportfolio.orig27,977 +bbefore28,1011 +ss29,1041 +eepsvec30,1081 ./xmltotab.R,39 iinput3,70 |