diff options
| -rw-r--r-- | R/VaR.R | 6 |
1 files changed, 3 insertions, 3 deletions
@@ -17,11 +17,11 @@ source(file.path(root.dir, "code", "R", "creditIndex.R")) source(file.path(root.dir, "code", "R", "tranche_functions.R")) #we load the index we want to shock -tradedate <- addBusDays(Sys.Date(), -1) +tradedate <- addBusDay(Sys.Date(), -1) index <- load.index("hy19", "5yr", tradedate) -rho <- get.skews('HY', 23, '5yr') -colnames(rho) <- c("15 Corr", "25 Corr", "35 Corr") +rho <- get.skews('HY23', '5yr') +colnames(rho) <- c("date", "15 Corr", "25 Corr", "35 Corr") skew.shocks <- apply(log(-log(rho)), 2, diff) pvshocks1 <- BCtranche.VaR(index, skew.shocks) |