diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 14 | ||||
| -rw-r--r-- | R/calibration.R | 2 |
2 files changed, 8 insertions, 8 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 9ce020c8..a1ccc1b9 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -44,7 +44,7 @@ source("serenitasdb.R") source("creditIndex.R") source("tranche_functions.R") -for(run in config$runs){ +for(run in config$runs) { index.name <- run[1] tenor <- run[2] filename <- file.path(tranchedata.dir, "Runs", @@ -52,8 +52,8 @@ for(run in config$runs){ ## if(!file.exists(filename)){ ## args$update <- FALSE ## } - if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))){ - }else{ + if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))) { + } else { begin.date <- switch(index.name, hy10 = as.Date("2014-08-11"), hy15 = as.Date("2014-06-10"), @@ -83,20 +83,20 @@ for(run in config$runs){ eu26 = as.Date("2016-09-27"), eu28 = as.Date("2017-09-28")) } - if(begin.date > as.Date(args$until)){ + if(begin.date > as.Date(args$until)) { next } alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day") - if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){ + if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")) { curr <- "EUR" cal <- Calendar$new("TARGET") - }else{ + } else { curr <- "USD" cal <- Calendar$new("UnitedStates/GovernmentBond") } bus.dates <- alldates[cal$isBusinessDay(alldates)] - for(j in seq_along(bus.dates)){ + for(j in seq_along(bus.dates)) { tradedate <- bus.dates[j] loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate))) exportYC(tradedate, curr) diff --git a/R/calibration.R b/R/calibration.R index e5d9cb50..38f7d329 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -92,7 +92,7 @@ set.tranchedata <- function(index, tradedate){ index$portfolio <- NULL index <- c(index, tweak) index$defaultprob <- 1 - SPmatrix(index$portfolio, index$cs$dates) - negprob <- which(index$defaultprob<0, arr.ind=T) + negprob <- which(index$defaultprob < 0, arr.ind=T) if(nrow(negprob) > 0){ stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data")) } |