diff options
| -rw-r--r-- | R/build_portfolios.R | 3 | ||||
| -rw-r--r-- | R/build_scenarios.R | 7 |
2 files changed, 6 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index f1299a7f..b4eb9997 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -29,7 +29,8 @@ calibration.date <- addBusDay(workdate, -1) exportYC(calibration.date) index <- creditIndex("hy29") index <- set.index.desc(index, calibration.date) -global.params <- yaml.load_file(file.path(code.dir, "etc", "params.yml")) +global.params <- yaml.load_file(file.path(code.dir, "etc", "params.yml"), + handlers = list(expr = function(x) eval(parse(text = x)))) cusipdata <- cusip.data(workdate) cashspread.discount <- 0 diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 7eb12a4d..05b02ba3 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -18,8 +18,8 @@ source("serenitasdb.R") source("tranche_functions.R") if(interactive()) { - tradedate <- as.Date("2017-07-07") - dealnames <- c("longf131") + tradedate <- as.Date("2018-04-05") + dealnames <- c("ares28") reinvflags <- c(TRUE) }else{ tradedate <- as.Date(args[1]) @@ -42,7 +42,8 @@ Ngrid <- 201 support <- seq(0, 1, length = Ngrid) n.scenarios <- 100 recov.adj <- 1 -params <- yaml.load_file(file.path(code.dir, "etc", "params.yml")) +params <- yaml.load_file(file.path(code.dir, "etc", "params.yml"), + handlers = list(expr = function(x) eval(parse(text = x)))) for(j in seq_along(dealnames)){ load(file.path(root.dir, "Scenarios", paste("Portfolios", tradedate, sep="_"), |