diff options
| -rw-r--r-- | R/load_cf.R | 12 |
1 files changed, 8 insertions, 4 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index c68a8abf..58769094 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -22,8 +22,8 @@ source(file.path(root.dir, "code", "R", "intex_deal_functions.R")) source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "interpweights.R"))
-
-MarkitData <- getMarkitIRData(workdate)
+calibration.date <- prevBusDay(workdate)
+MarkitData <- getMarkitIRData(calibration.date)
L1m <- buildMarkitYC(MarkitData, dt = 1/12)
L2m <- buildMarkitYC(MarkitData, dt = 1/6)
L3m <- buildMarkitYC(MarkitData)
@@ -165,7 +165,7 @@ getcusipcf <- function(cusips, cfdata, dist, workdate=Sys.Date()){ schedule <- getdealschedule(dealdata)
r <- matrix(0, n.scenarios, 5)
colnames(r) <- c(fields, "wal", "duration")
- sqlstring <- sprintf("select curr_balance, spread from cusip_universe where cusip = '%s'", cusip)
+ sqlstring <- sprintf("select curr_balance, spread from latest_cusip_universe where cusip = '%s'", cusip)
indicdata <- dbGetQuery(dbCon, sqlstring)
cusipdata[[cusip]]$currbal <- indicdata$curr_balance
cusipdata[[cusip]]$spread <- indicdata$spread
@@ -277,7 +277,7 @@ compute.delta <- function(indexdist, dealweight, cusip.pv, workdate=Sys.Date()){ cfdata <- getdealcf(dealnames, workdate)
availablecusips <- cusips[dealnamefromcusip(cusips) %in% names(cfdata)]
-load(file.path(root.dir, "Scenarios", "Calibration", sprintf("marketdata-%s.RData", workdate)))
+load(file.path(root.dir, "Scenarios", "Calibration", sprintf("marketdata-%s.RData", calibration.date)))
cusipdata <- getcusipcf(availablecusips, cfdata, dist, workdate)
## upload wapbasis
for(dealname in names(cfdata)){
@@ -289,6 +289,10 @@ for(dealname in names(cfdata)){ dbSendQuery(dbCon, sqlstring)
}
+save.dir <- file.path(root.dir, "Scenarios", paste0("Prices_", workdate))
+save(cusipdata, cfdata, file=file.path(save.dir, "cashflows.RData"),
+ compress="xz")
+
## upload model data
for(cusip in names(cusipdata)){
sqlstring <- sprintf(paste0("SELECT updatedate from et_cusip_model_numbers",
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