diff options
| -rw-r--r-- | R/build_portfolios.R | 8 | ||||
| -rw-r--r-- | R/script_calibrate_tranches.R | 11 |
2 files changed, 12 insertions, 7 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 026dd740..ffab4f9f 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -4,6 +4,12 @@ library("yaml") args <- commandArgs(trailingOnly=TRUE)
code.dir <- Sys.getenv("CODE_DIR")
+if(.Platform$OS.type == "unix"){
+ root.dir <- "/home/share/CorpCDOs"
+}else{
+ root.dir <- "//WDSENTINEL/share/CorpCDOs"
+}
+
source(file.path(code.dir, "code", "R", "intex_deal_functions.R"), chdir=TRUE)
source(file.path(code.dir, "code", "R", "yieldcurve.R"))
source(file.path(code.dir, "code", "R", "mlpdb.R"))
@@ -59,7 +65,7 @@ for(i in seq_along(dealnames)){ deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
deal.spread5y <- portfoliospread(deal.portfolio, index$maturity)
deal.spreadatmaturity <- portfoliospread(deal.portfolio)
- save.dir <- file.path("/home/share/CorpCDOs/Scenarios", paste("Portfolios", workdate, sep="_"))
+ save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
dir.create(save.dir)
}
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index fdb0fa65..8aa8e196 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -11,12 +11,11 @@ if(.Platform$OS.type == "unix"){ root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
-source(file.path(root.dir, "code", "R", "cds_utils.R"))
-source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
-source(file.path(root.dir, "code", "R", "yieldcurve.R"))
-source(file.path(root.dir, "code", "R", "optimization.R"))
-source(file.path(root.dir, "code", "R", "calibration.R"))
-source(file.path(root.dir, "code", "R", "mlpdb.R"))
+code.dir <- Sys.getenv("CODE_DIR")
+source(file.path(code.dir, "code", "R", "yieldcurve.R"))
+source(file.path(code.dir, "code", "R", "optimization.R"))
+source(file.path(code.dir, "code", "R", "calibration.R"), chdir=TRUE)
+source(file.path(code.dir, "code", "R", "mlpdb.R"))
##figure out the tradedate
if(length(args) >= 1){
|