diff options
| -rw-r--r-- | R/build_portfolios.R | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 083febbe..8375ccb1 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -54,13 +54,13 @@ global.params$recovery.assumptions <- list("Loan"=0.7, "Adj_Covlite"=0.1,
"Credit Default Swap"=0)
-global.params$cdoprices <- list("Aaa"=95,
- "Aa"=90,
- "A"=88,
- "Baa"=85,
- "Ba"=80,
- "B"=75,
- "NR"=50)
+global.params$cdoprices <- list("Aaa"=97.55,
+ "Aa"=95,
+ "A"=92.5,
+ "Baa"=90,
+ "Ba"=85,
+ "B"=80,
+ "NR"=70)
#reinvest in 7 years assets
global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
|