diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 3 | ||||
| -rw-r--r-- | etc/runs.yml | 2 | ||||
| -rw-r--r-- | python/insert_tranche_quotes.py | 2 |
3 files changed, 5 insertions, 2 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 9793fcbf..b94fd5e9 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -60,7 +60,8 @@ for(i in seq_along(runs$name)){ ig9 = as.Date("2013-01-01"),
ig19 = as.Date("2013-05-01"),
ig21 = as.Date("2013-09-26"),
- ig23 = as.Date("2014-10-14"))
+ ig23 = as.Date("2014-10-14"),
+ hy23 = as.Date("2014-10-16"))
}
if(begin.date > as.Date(args$until)){
next
diff --git a/etc/runs.yml b/etc/runs.yml index 001bafff..09d6c87e 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -9,6 +9,7 @@ name: - ig9 - ig23 - ig23 +- hy23 tenor: - 5yr - 5yr @@ -20,3 +21,4 @@ tenor: - 10yr - 3yr - 5yr +- 5yr diff --git a/python/insert_tranche_quotes.py b/python/insert_tranche_quotes.py index aaada0f7..9c5f9f78 100644 --- a/python/insert_tranche_quotes.py +++ b/python/insert_tranche_quotes.py @@ -117,7 +117,7 @@ def insert_quotes(year=2014, quote_dir=None): except TypeError:
trancherunning = None
trancheupfrontbid = trancheupfrontmid = trancheupfrontask = 0
- if series in [19, 21]:
+ if series in [19, 21, 22]:
if attach<=3:
trancherunningbid = trancherunningask = trancherunningmid = 500 if series==19 else 100
trancheupfrontbid = convert(csvdict['Upfront Bid'])
|