diff options
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/calibrate_tranches_BC.R | 14 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 2 | ||||
| -rw-r--r-- | R/load_cf.R | 2 | ||||
| -rw-r--r-- | etc/RVruns.yml | 2 | ||||
| -rw-r--r-- | etc/runs.yml | 2 |
6 files changed, 15 insertions, 9 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 008d49a7..86d943ac 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -36,7 +36,7 @@ if(interactive()) { calibration.date <- addBusDay(workdate, -1)
exportYC(calibration.date)
-index <- creditIndex("hy25")
+index <- creditIndex("hy27")
index <- set.index.desc(index, calibration.date)
global.params <- yaml.load_file(file.path(root.dir, "code", "etc", "params.yml"))
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 1075744c..7bc71471 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -51,9 +51,9 @@ for(run in config$runs){ tenor <- run[2]
filename <- file.path(root.dir, "Tranche_data", "Runs",
paste(tolower(index.name), tenor, "csv",sep="."))
- if(!file.exists(filename)){
- args$update <- FALSE
- }
+ ## if(!file.exists(filename)){
+ ## args$update <- FALSE
+ ## }
if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))){
}else{
begin.date <- switch(index.name,
@@ -64,20 +64,22 @@ for(run in config$runs){ hy21 = as.Date("2013-10-04"),
hy23 = as.Date("2014-10-16"),
hy25 = as.Date("2015-10-01"),
+ hy27 = as.Date("2016-10-04"),
ig9 = as.Date("2013-01-01"),
ig19 = as.Date("2013-05-01"),
ig21 = as.Date("2013-09-26"),
ig23 = as.Date("2014-10-14"),
ig25 = as.Date("2015-09-22"),
- ig27 = as.Date("2015-09-28"),
+ ig27 = as.Date("2016-09-27"),
xo22 = as.Date("2014-10-20"),
xo24 = as.Date("2015-09-28"),
- xo26 = as.Date("2015-09-28"),
+ xo26 = as.Date("2016-09-27"),
eu9 = as.Date("2014-09-15"),
eu19 = as.Date("2013-04-03"),
eu21 = as.Date("2014-03-27"),
eu22 = as.Date("2014-10-22"),
- eu24 = as.Date("2015-09-23"))
+ eu24 = as.Date("2015-09-23"),
+ eu26 = as.Date("2016-09-27"))
}
if(begin.date > as.Date(args$until)){
next
diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index 8817c2ba..badfba76 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -33,7 +33,7 @@ if(length(args) >= 1){ exportYC(tradedate)
## calibrate HY25
## calibrate the single names curves
-index <- creditIndex("hy25", "5yr")
+index <- creditIndex("hy27", "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 a3525da9..423a8b9e 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -24,7 +24,7 @@ source(file.path(root.dir, "code", "R", "interpweights.R")) source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "creditIndex.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
-index <- creditIndex("hy25")
+index <- creditIndex("hy27")
index <- set.index.desc(index, tradedate)
calibration.date <- addBusDay(tradedate, -1)
diff --git a/etc/RVruns.yml b/etc/RVruns.yml index 2ca8b5ed..e1d9cf68 100644 --- a/etc/RVruns.yml +++ b/etc/RVruns.yml @@ -16,3 +16,5 @@ mappings: - [eu24, 5yr, eu22, 5yr] - [ig25, 5yr, eu24, 5yr] - [ig23, 5yr, eu22, 5yr] +- [hy27, 5yr, hy25, 5yr] +- [ig27, 5yr, eu26, 5yr] diff --git a/etc/runs.yml b/etc/runs.yml index 9adb5467..2c317a51 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -15,6 +15,8 @@ runs: - [hy23, 5yr] - [hy25, 3yr] - [hy25, 5yr] +- [hy27, 3yr] +- [hy27, 5yr] - [xo22, 5yr] - [xo24, 5yr] - [xo26, 5yr] |