diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 8 | ||||
| -rw-r--r-- | R/cds_functions_generic.R | 2 |
2 files changed, 7 insertions, 3 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index e0174aac..be5b20f6 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -4,6 +4,10 @@ if(.Platform$OS.type == "unix"){ }else{
root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
+library(logging)
+basicConfig()
+removeHandler('basic.stdout')
+addHandler(writeToFile, file=file.path(root.dir, "logs", "calibrate_tranches_BC.log"))
library(optparse)
option_list <- list(
make_option(c("-u", "--update"), action="store_true", default=FALSE,
@@ -64,7 +68,7 @@ for(i in seq_along(runs$name)){ for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
- cat("calibrating", index.name, tenor, "for", as.character(tradedate), "\n", sep=" ")
+ loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
exportYC(tradedate)
index <- creditIndex(index.name, tenor)
index <- set.index.desc(index, tradedate)
@@ -97,6 +101,6 @@ for(i in seq_along(runs$name)){ cat(csvheaders(index), "\n", file=filename)
}
cat(tocsv(index), "\n", file=filename, append=TRUE)
- cat("done\n")
+ loginfo("done")
}
}
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index d6623bd0..cdab10ae 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -640,7 +640,7 @@ tweakcurves <- function(index, tradedate=Sys.Date()){ }
epsilon[i] <- optimize(f, c(-0.15, 0.15), index, tol=1e-6)$minimum
index$portfolio <- tweakportfolio(index$portfolio, epsilon[i], forward.tweak=forward.tweak)
- cat("tweak = ", epsilon[i], "\n")
+ loginfo(paste("tweak =", epsilon[i]))
}
return( list(portfolio=index$portfolio, basis=epsilon) )
}
|