diff options
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/calibrate_tranches_BC.R | 1 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 2 | ||||
| -rw-r--r-- | R/load_cf.R | 2 | ||||
| -rw-r--r-- | etc/runs.yml | 2 |
5 files changed, 6 insertions, 3 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index b4eb9997..498931da 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -27,7 +27,7 @@ if(interactive()) { calibration.date <- addBusDay(workdate, -1) exportYC(calibration.date) -index <- creditIndex("hy29") +index <- creditIndex("hy31") index <- set.index.desc(index, calibration.date) global.params <- yaml.load_file(file.path(code.dir, "etc", "params.yml"), handlers = list(expr = function(x) eval(parse(text = x)))) diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 260e4006..73747715 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -64,6 +64,7 @@ for(run in config$runs) { hy25 = as.Date("2015-10-01"), hy27 = as.Date("2016-10-04"), hy29 = as.Date("2017-10-03"), + hy31 = as.Date("2018-10-02"), ig9 = as.Date("2013-01-01"), ig19 = as.Date("2013-05-01"), ig21 = as.Date("2013-09-26"), diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index 4e4fadeb..4acd8896 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -26,7 +26,7 @@ tradedate <- if(length(args) >= 1) { exportYC(tradedate) ## calibrate HY29 ## calibrate the single names curves -index <- creditIndex("hy29", "5yr") +index <- creditIndex("hy31", "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 5ae87f2e..eb8e64da 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -19,7 +19,7 @@ source("interpweights.R") source("serenitasdb.R") source("creditIndex.R") source("tranche_functions.R") -index <- creditIndex("hy29") +index <- creditIndex("hy31") index <- set.index.desc(index, tradedate) calibration.date <- addBusDay(tradedate, -1) diff --git a/etc/runs.yml b/etc/runs.yml index d47f5c7b..02139404 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -23,6 +23,8 @@ runs: - [hy27, 5yr] - [hy29, 3yr] - [hy29, 5yr] + - [hy31, 3yr] + - [hy31, 5yr] - [xo24, 5yr] - [xo26, 5yr] - [xo28, 5yr] |