5 files changed, 16 insertions, 12 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R
index f7da2e25..7c7687b5 100644
--- a/R/build_portfolios.R
+++ b/R/build_portfolios.R
@@ -13,6 +13,7 @@ source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
 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", "mlpdb.R"))
 hy21 <- load.index("hy21")
 
 if(length(args) >=2){
diff --git a/R/build_scenarios.R b/R/build_scenarios.R
index 5cf54d83..d0dcd8bc 100644
--- a/R/build_scenarios.R
+++ b/R/build_scenarios.R
@@ -40,7 +40,8 @@ source(file.path(root.dir, "code", "R", "etdb.R"))
 source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
 source(file.path(root.dir, "code", "R", "cds_utils.R"))
 source(file.path(root.dir, "code", "R", "yieldcurve.R"))
-load.index("hy21")
+source(file.path(root.dir, "code", "R", "mlpdb.R"))
+hy21 <- load.index("hy21")
 
 calibration.date <- addBusDay(tradedate, -1)
 settledate <- addBusDay(tradedate, 3)
diff --git a/R/load_cf.R b/R/load_cf.R
index d3b8bcd5..8d806bb8 100644
--- a/R/load_cf.R
+++ b/R/load_cf.R
@@ -24,7 +24,8 @@ source(file.path(root.dir, "code", "R", "cds_utils.R"))
 source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
 source(file.path(root.dir, "code", "R", "optimization.R"))
 source(file.path(root.dir, "code", "R", "interpweights.R"))
-load.index("hy21")
+source(file.path(root.dir, "code", "R", "mlpdb.R"))
+index <- load.index("hy21")
 
 calibration.date <- addBusDay(tradedate, -1)
 exportYC(calibration.date)
@@ -227,7 +228,7 @@ compute.delta <- function(indexdist, dealweight, cusip.pv, tradedate=Sys.Date(),
     calibration.date <- addBusDay(tradedate)
     ## we assume the index is fully funded - need to be changed depending
     ## on how we fund the swaps (hence floating coupon instead of fixed)
-    cs <- couponSchedule(IMMDate(tradedate), hy21$maturity, "Q",
+    cs <- couponSchedule(IMMDate(tradedate), index$maturity, "Q",
                          "FLOAT", 0.05, 0, calibration.date)
     nT <- dim(indexdist$L)[2]
     Ngrid <- dim(indexdist$L)[1]
diff --git a/R/mlpdb.R b/R/mlpdb.R
index 0718d5b9..634151bb 100644
--- a/R/mlpdb.R
+++ b/R/mlpdb.R
@@ -1,18 +1,18 @@
 library(RPostgreSQL)
 drv <- dbDriver("PostgreSQL")
-dbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
+mlpdbCon <- dbConnect(drv, dbname="mlpdb", user="mlpdb_user", password="Serenitas1",
                    host="debian")
 
 nameToBasketID <- function(name, date){
     sqlstr <- "SELECT * from nametobasketid('%s', '%s')"
-    r <- dbGetQuery(dbCon, sprintf(sqlstr, name, date))
+    r <- dbGetQuery(mlpdbCon, sprintf(sqlstr, name, date))
     return(as.integer(r))
 }
 
-load.index <- function(name, date, tenor="Y5"){
+load.index <- function(name, date=Sys.Date(), tenor="5yr"){
     id <- nameToBasketID(name, date)
     sqlstr <- "SELECT indexfactor, cumulativeloss, maturity from index_desc where basketid=%s and tenor='%s'"
-    r <- as.list(dbGetQuery(dbCon, sprintf(sqlstr, id, tenor)))
+    r <- as.list(dbGetQuery(mlpdbCon, sprintf(sqlstr, id, tenor)))
     return(list(coupon=0.05, factor=r$indexfactor/100, maturity=r$maturity,
                 loss=r$cumulativeloss/100, recovery=0.4, name=name))
 }
@@ -20,7 +20,7 @@ load.index <- function(name, date, tenor="Y5"){
 cdslist <- function(indexname, date){
     basketid <- nameToBasketID(indexname, date)
     sqlstr <- "select * from CDS_Issuers where index_list @> '{%s}'"
-    return( dbGetQuery(dbCon, sprintf(sqlstr, basketid)))
+    return( dbGetQuery(mlpdbCon, sprintf(sqlstr, basketid)))
 }
 
 arr.convert <- function(arr){
@@ -28,7 +28,7 @@ arr.convert <- function(arr){
 }
 
 get.indexquotes <- function(indexname, date){
-    r <- dbGetQuery(dbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date))
+    r <- dbGetQuery(mlpdbCon, sprintf("select * from curve_quotes('%s', '%s')", indexname, date))
     r <- data.frame(r[,1], matrix(arr.convert(r[,2]), nrow(r), 8, byrow=T))
     colnames(r) <- c("ticker", "6m", "1y", "2y", "3y", "4y", "5y", "7y", "10y")
     return( r )
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R
index 12cb51f7..7b095924 100644
--- a/R/script_calibrate_tranches.R
+++ b/R/script_calibrate_tranches.R
@@ -16,7 +16,8 @@ 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"))
-load.index("hy21")
+source(file.path(root.dir, "code", "R", "mlpdb.R"))
+hy21 <- load.index("hy21")
 
 ##figure out the tradedate
 if(length(args) >= 1){
@@ -28,8 +29,8 @@ if(length(args) >= 1){
 exportYC(tradedate)
 ## calibrate HY21
 ## calibrate the single names curves
-set.singlenamesdata(hy21, tradedate)
-set.tranchedata(hy21, tradedate)
+hy21 <- set.singlenamesdata(hy21, tradedate)
+hy21 <- set.tranchedata(hy21, tradedate)
 
 ## load tranche data
 n.credit <- length(hy21$portfolio)