diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 1 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 2 | ||||
| -rw-r--r-- | etc/runs.yml | 2 |
3 files changed, 4 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 91949bf6..50250056 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -63,6 +63,7 @@ for(run in config$runs){ hy23 = as.Date("2014-10-16"), hy25 = as.Date("2015-10-01"), hy27 = as.Date("2016-10-04"), + hy29 = as.Date("2016-10-03"), ig9 = as.Date("2013-01-01"), ig19 = as.Date("2013-05-01"), ig21 = as.Date("2013-09-26"), diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index f27ded47..3c3d2ed8 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -26,7 +26,7 @@ if(length(args) >= 1){ exportYC(tradedate) ## calibrate HY25 ## calibrate the single names curves -index <- creditIndex("hy27", "5yr") +index <- creditIndex("hy29", "5yr") index <- set.index.desc(index, tradedate) index <- set.singlenamesdata(index, tradedate) ## load tranche data diff --git a/etc/runs.yml b/etc/runs.yml index b2f5efe9..04ee2296 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -17,6 +17,8 @@ runs: - [hy25, 5yr] - [hy27, 3yr] - [hy27, 5yr] +- [hy29, 3yr] +- [hy29, 5yr] - [xo24, 5yr] - [xo26, 5yr] - [eu9, 10yr] |