diff options
| -rw-r--r-- | R/TAGS | 309 |
1 files changed, 161 insertions, 148 deletions
@@ -43,102 +43,101 @@ ttickerslist109,2847 ./build_cds_database.R,463 ddrv3,35 ddbCon4,65 -bbbgConn7,182 -nnewbasketID9,240 -iig.indices24,760 -iigpattern25,799 -hhy.indices26,838 -hhypattern27,890 -iitraxx.indices28,933 -iitraxxpattern29,971 -aEU945,1428 -aall.names47,1492 -aall.indices48,1509 -ttickers53,1698 -ttickers54,1731 -ddata55,1771 -ddata56,1879 -uunique.tickers57,1908 -ccdscurves58,2001 -ttemp159,2078 -ttemp260,2136 -ccurves61,2188 -pprep.data62,2268 -ssqlstr65,2431 -tticker_company75,2868 +bbbgConn7,192 +nnewbasketID9,250 +iig.indices24,770 +iigpattern25,809 +hhy.indices26,848 +hhypattern27,900 +iitraxx.indices28,943 +iitraxxpattern29,981 +aEU945,1438 +aall.names47,1502 +aall.indices48,1519 +ttickers53,1708 +ttickers54,1741 +ddata55,1781 +ddata56,1889 +uunique.tickers57,1918 +ccdscurves58,2011 +ttemp159,2088 +ttemp260,2146 +ccurves61,2198 +pprep.data62,2278 +ssqlstr65,2441 +tticker_company75,2878 ./build_portfolios.R,167 aargs4,38 ccode.dir5,77 -iindex16,425 -ccalibration.date35,935 -gglobal.params38,1007 -ccusipdata40,1090 -ccashspread.discount41,1116 -ccurrdealnames42,1141 +iindex16,431 +ccalibration.date35,941 +gglobal.params38,1013 +ccusipdata40,1096 +ccashspread.discount41,1122 +ccurrdealnames42,1147 ./build_scenarios.R,234 hhostname5,56 aargs12,186 ccode.dir19,353 -ccalibration.date41,955 -ssettledate42,1000 -ccalibration43,1038 -ZZ45,1217 -ww46,1236 -NNgrid49,1283 -ssupport50,1296 -nn.scenarios51,1333 -rrecov.adj52,1352 -pparams53,1367 +ccalibration.date41,961 +ssettledate42,1006 +ccalibration43,1044 +ZZ45,1223 +ww46,1242 +NNgrid49,1289 +ssupport50,1302 +nn.scenarios51,1339 +rrecov.adj52,1358 +pparams53,1373 -./calibrate_tranches_BC_et.R,375 -nn.int15,419 -NNgrid17,478 -ttenor20,518 -iindex.name21,533 -aalldates22,554 -bbus.dates23,628 -nn.tranches26,777 -qquotes31,839 -ttranche.names42,1292 -AAttach45,1490 -iindexEL47,1547 -iindexTheta48,1584 -ddeltas49,1624 -ggammas50,1675 -tthetas51,1726 -rrhos52,1777 -ccorr0153,1826 -ddurations54,1877 -EELmat55,1931 -rrisk.numbers80,2865 -ddata88,3355 +./calibrate_tranches_BC_et.R,395 +nn.int15,425 +NNgrid17,484 +uupdateflag20,524 +ttenor21,544 +iindex.name22,559 +aalldates23,580 +bbus.dates24,654 +nn.tranches27,803 +qquotes32,865 +ttranche.names43,1293 +AAttach46,1475 +iindexEL48,1533 +iindexTheta49,1570 +ddeltas50,1610 +ggammas51,1661 +tthetas52,1712 +rrhos53,1763 +ccorr0154,1812 +ddurations55,1863 +EELmat56,1917 +rrisk.numbers85,3129 +ddata93,3487 -./calibrate_tranches_BC.R,79 +./calibrate_tranches_BC.R,47 aargs2,32 uupdateflag23,806 ttenor24,826 -nn.int68,2029 -NNgrid70,2088 ./calibrate_tranches_MF.R,120 aargs6,74 ccode.dir14,238 -nn.int33,763 -NNgrid35,822 -iindex36,835 -iindex37,899 -iindex39,967 -ddist42,1094 +nn.int33,769 +NNgrid35,828 +iindex36,841 +iindex37,905 +iindex39,973 +ddist42,1100 -./calibration.R,140 +./calibration.R,141 bbuildSC3,35 gget.cdsSchedule14,418 sset.singlenamesdata27,918 sset.tranchedata52,2173 -bbuild.skew90,4049 -bbuild.MFdist122,5491 +bbuild.skew100,4484 +bbuild.MFdist132,5931 ./cds_functions_generic.R,1451 sabstractcurve12,258 @@ -195,13 +194,13 @@ iindextheta587,26601 pportfoliospread597,26962 pportfolioduration623,28122 ttweakcurves628,28347 -ssurvivalProbability1648,29167 -ssurvivalProbability.exact671,30085 -SSP693,30787 -SSPmatrix700,31020 -DDP2716,31584 -SSPmatrix2733,32344 -ccreditcurve.maturity750,33030 +ssurvivalProbability1648,29172 +ssurvivalProbability.exact671,30090 +SSP693,30792 +SSPmatrix700,31025 +DDP2716,31589 +SSPmatrix2733,32349 +ccreditcurve.maturity750,33035 ./cds_utils.R,179 ttoday3,22 @@ -209,10 +208,10 @@ aaddBusDay7,62 cconvertTenor11,238 aaddTenor31,916 ccouponSchedule49,1574 -IIMMDate111,4219 -ccdsAccrued137,5185 -ccdsMaturity142,5357 -yyearFrac148,5488 +IIMMDate113,4254 +ccdsAccrued139,5220 +ccdsMaturity144,5392 +yyearFrac150,5523 ./clopricer.R,272 rrootdir1,0 @@ -231,6 +230,18 @@ ppricesBBB74,2436 ppricesBB79,2576 ppricesNA84,2712 +./creditIndex.R,194 +nn.int8,145 +ggh9,158 +NNgrid10,178 +ccreditIndex12,192 +`$<-.creditIndex19,474 +cc.creditIndex26,606 +pprint.creditIndex30,751 +lload.index54,1666 +ccsvheaders61,1911 +ttocsv80,2730 + ./deal_pricer.R,92 ddrv2,21 ddbCon3,51 @@ -351,24 +362,24 @@ mmultcurves29,1100 sspreadfrombondprice37,1382 ./load_cds_data.R,71 -ddownload.cdscurves4,33 -wwrite.tranchedata21,727 -bbbgConn35,1297 +ddownload.cdscurves4,39 +wwrite.tranchedata21,749 +bbbgConn35,1319 ./load_cf.R,267 aargs7,122 -iindex28,779 -ccalibration.date30,808 -ddm33,881 -ssanitize.column34,889 -pprocesszipfiles41,1106 -ggetconfig69,2244 -ggetdealcf79,2579 -ggetcusipcf167,6883 -ccompute.delta227,10072 -ccfdata255,11221 -ccusipdata259,11426 -ssave.dir260,11483 +iindex28,785 +ccalibration.date30,814 +ddm33,887 +ssanitize.column34,895 +pprocesszipfiles41,1112 +ggetconfig69,2250 +ggetdealcf79,2585 +ggetcusipcf167,6889 +ccompute.delta227,10078 +ccfdata255,11227 +ccusipdata259,11432 +ssave.dir260,11489 ./load_futures_data.R,180 bbbgCon11,202 @@ -465,26 +476,26 @@ BBClossdist615,22012 BBClossdistC642,22921 BBCtranche.legs653,23497 BBCtranche.pv672,24347 -MMFtranche.pv699,25229 -aadjust.skew718,25796 -ttheta.adjust.skew767,27542 -BBCtranche.theta776,27893 -BBCtranche.delta793,28565 -MMFtranche.delta825,29939 -BBCtranche.corr01858,31315 -EEL866,31636 -BBCindex.pv881,32333 -EELtrunc899,33085 -PProbtrunc907,33505 -BBCstrikes916,33812 -ttranche.factor927,34181 -MMFupdate.prob933,34411 -MMFupdate.probC945,34815 -MMFlossrecovdist.prepay958,35323 -MMFlossdist.joint985,36480 -MMFlossdist.prepay.joint1017,37834 -MMFrecovery1043,38895 -MMFlossdist1057,39413 +MMFtranche.pv699,25230 +aadjust.skew718,25798 +ttheta.adjust.skew767,27565 +BBCtranche.theta776,27916 +BBCtranche.delta793,28604 +MMFtranche.delta825,29978 +BBCtranche.corr01858,31354 +EEL866,31675 +BBCindex.pv881,32372 +EELtrunc899,33124 +PProbtrunc907,33544 +BBCstrikes916,33851 +ttranche.factor927,34220 +MMFupdate.prob933,34450 +MMFupdate.probC945,34854 +MMFlossrecovdist.prepay958,35362 +MMFlossdist.joint985,36519 +MMFlossdist.prepay.joint1017,37873 +MMFrecovery1044,39008 +MMFlossdist1058,39526 ./LS.R,139 rr1,0 @@ -518,17 +529,6 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -./mlpdb.R,185 -ddrv2,21 -mmlpdbCon3,51 -nnameToBasketID6,171 -lload.index12,367 -ccdslist25,1047 -aarr.convert31,1277 -gget.indexquotes39,1588 -iindexsplit48,1995 -gget.tranchequotes57,2317 - ./optimization.R,294 "blkdiag4,48 llinfit16,379 @@ -593,6 +593,17 @@ rrho32,934 QQvec33,946 QQresult47,1342 +./serenitasdb.R,192 +ddrv2,21 +sserenitasdb3,51 +nnameToBasketID6,190 +sset.index.desc12,389 +ccdslist26,1014 +aarr.convert32,1247 +gget.indexquotes40,1558 +iindexsplit49,1968 +gget.tranchequotes58,2290 + ./time_of_default.R,364 sspreads1,0 zz12,32 @@ -623,24 +634,26 @@ pprotectionsize86,1551 ccl90,1614 ppl96,1766 -./tranches_RV_BC_et.R,293 -nn.int13,384 -NNgrid15,443 -aaux17,457 -aalldates22,597 -bbus.dates23,671 -oorigpv25,772 -ffirstpv26,786 -ssecondpv27,801 -tthirdpv28,817 -rrandates29,832 -iindex.name32,893 -iindex.name133,914 -kk35,937 -bbigmat36,944 -ttemp102,3352 -ttranche.names103,3414 -bbigmat104,3472 +./tranches_RV_BC_et.R,340 +nn.int13,390 +NNgrid15,449 +aaux17,463 +aalldates22,603 +bbus.dates23,677 +oorigpv25,778 +ffirstpv26,792 +ssecondpv27,807 +tthirdpv28,823 +rrandates29,838 +iindex.name42,1085 +iindex.name143,1106 +iindextenor44,1128 +iindex1tenor45,1148 +kk50,1216 +bbigmat51,1223 +ttemp117,3637 +ttranche.names118,3699 +bbigmat119,3757 ./transactions.R,98 ttransdir1,0 |