diff options
| -rw-r--r-- | docs/process.rst | 15 |
1 files changed, 9 insertions, 6 deletions
diff --git a/docs/process.rst b/docs/process.rst index 1e726d8b..11dbc68a 100644 --- a/docs/process.rst +++ b/docs/process.rst @@ -26,21 +26,24 @@ be edited so that it loads the correct date. Next, we go the Collat Detail tab in Collateral, make sure Asset detail
is selected, and export all bonds to a text file. It probably needs to
be cut in a few chunks. We extract the zip file generated by intex in
-a folder inside ``./`` named ``Collaterals_%Y-%m%d``. It should be the same
+a folder inside ``./`` named ``Collaterals_%Y-%m-%d``. It should be the same
date as for the ``clo_universe_intex_%Y-%m-%d.txt`` file.
Next, we have to load all the cusip information into the
``cusip_universe`` table. To get the list of cusips from the
``clo_universe`` table, we can use the query: ``SELECT UNNEST("Deal
-Cusip List") FROM latest_clo_universe;``. The resulting list of cusips
-needs to be set up as a new portfolio in intex, and exported to text
-files. The script to load them in the database is called
-``cusip_universe.py``.
+Cusip List") FROM latest_clo_universe;``. The R function
+``cusipsfromdealnames`` in ``intex_deal_functions.R`` is a convenient
+wrapper around. The resulting list of cusips needs to be set up as a
+new portfolio in intex, and the All Tranches tab exported as text
+files. They are saved in the ``Trinfo_%Y-%m-%d`` folder. The script to
+load them in the database is called ``cusip_universe.py``.
Steps to build the model
------------------------
- first we need to calibrate the implied factor distribution. This is done
by using ``calibrate_tranches.R`` inside ``code/R``. The spreads
- data is generated from the markit
+ data is generated from two excel spreadsheets in the
+ ``NewSpreadsheet`` directory.
-
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