diff options
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 4 | ||||
| -rw-r--r-- | R/load_cf.R | 2 |
3 files changed, 4 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 1309cb54..ca1651ef 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -27,7 +27,7 @@ if(interactive()) { calibration.date <- addBusDay(workdate, -1) exportYC(calibration.date) -index <- creditIndex("hy37") +index <- creditIndex("hy39") index <- set.index.desc(index, calibration.date) global.params <- yaml.load_file(file.path(config.dir, "params.yml"), handlers = list(expr = function(x) eval(parse(text = x)))) diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index b9f43c64..c87d20b1 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -20,9 +20,9 @@ source("tranche_functions.R") tradedate <- if(length(args) >= 1) as.Date(args[1]) else addBusDay(Sys.Date(), -1) exportYC(tradedate) -## calibrate HY29 +## calibrate HY39 ## calibrate the single names curves -index <- creditIndex("hy37", "5yr") +index <- creditIndex("hy39", "5yr") index <- set.index.desc(index, tradedate) index <- set.singlenamesdata(index, tradedate) ## load tranche data diff --git a/R/load_cf.R b/R/load_cf.R index c8b98a16..e0a75450 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -19,7 +19,7 @@ source("interpweights.R") source("serenitasdb.R") source("creditIndex.R") source("tranche_functions.R") -index <- creditIndex("hy37") +index <- creditIndex("hy39") index <- set.index.desc(index, tradedate) calibration.date <- addBusDay(tradedate, -1) |