diff options
| -rw-r--r-- | docs/process.rst | 37 |
1 files changed, 35 insertions, 2 deletions
diff --git a/docs/process.rst b/docs/process.rst index 6804adde..8a980fed 100644 --- a/docs/process.rst +++ b/docs/process.rst @@ -1,6 +1,39 @@ +Preamble
+--------
+
+In everything that follows the paths are relative from
+our directory ``//WDSENTINEL/share/CorpCDOs``.
+
+Load data from intex
+--------------------
+
+we need to fill up three tables:
+- cusip_universe table and the et_collateral
+- et_collateral
+- clo_universe
+
+This is driven by the ``clo_universe.xslx`` file in the data directory.
+It contains a clean deals tab. These deals need to be pasted as a
+portfolio in intex. I use a custom layout in the portfolio to export
+the column we need.
+
+First thing is to export the data as a text file from the portfolio
+tab and save it as ``clo_universe_intex_%Y-%m-%d.txt`` in the data
+directory. It can be loaded in the clo_universe table by using the
+python script: ``code/python/clo_universe.py``. It needs to be edited so
+that it loads the correct date.
+
+Next we go the Collat Detail tab in Collateral, make sure Asset detail
+is selected, and export all bonds to a text file. It probably needs to
+be cut in a few chunks. We extract the zip file generated by intex in
+a folder inside ``./`` named ``Collaterals_%Y-%m%d``. It should be the same
+date as for the ``clo_universe_intex_%Y-%m-%d.txt`` file.
+
+
+
Steps to build the model
------------------------
-- first we need to calibrate the modifying distribution. THis is done
- by using calibrate_tranches.R
+- first we need to calibrate the implied factor distribution. This is done
+ by using ``calibrate_tranches.R`` inside code
-
|