diff options
| -rw-r--r-- | R/build_scenarios.R | 21 |
1 files changed, 4 insertions, 17 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 266b03de..46d4ae3a 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -1,6 +1,3 @@ -library("RQuantLib")
-library("parallel")
-
if(.Platform$OS.type == "unix"){
root.dir <- "/home/share/CorpCDOs"
}else{
@@ -10,20 +7,8 @@ if(.Platform$OS.type == "unix"){ source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
source(file.path(root.dir, "code", "R", "index_definitions.R"))
-workdate <- '2013-01-24'
-calibration.date <- '2013-01-24'
-MarkitData <- getMarkitIRData(calibration.date)
-
-L1m <- buildMarkitYC(MarkitData, dt = 1/12)
-L2m <- buildMarkitYC(MarkitData, dt = 1/6)
-L3m <- buildMarkitYC(MarkitData)
-L6m <- buildMarkitYC(MarkitData, dt = 1/2)
-L12m <- buildMarkitYC(MarkitData, dt = 1)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
-
-today <- function(){
- return(as.Date(MarkitData$effectiveasof))
-}
+workdate <- as.Date('2013-01-24')
+calibration.date <- as.Date('2013-01-24')
calibration <- read.table(file.path(root.dir, "Scenarios", "Calibration",
paste0("calibration-", calibration.date,".csv")), sep=",", header=T)
@@ -35,6 +20,8 @@ Ngrid <- 201 dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Portfolios_", calibration.date)),
pattern="*.RData")
dealnames <- sapply(strsplit(dealnames, "\\."), function(x)x[1])
+
+support <- seq(0, 1, length = Ngrid)
for(deal.name in dealnames){
load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"),
paste(deal.name, "RData", sep=".")))
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