diff options
| -rw-r--r-- | R/TAGS | 250 |
1 files changed, 120 insertions, 130 deletions
@@ -67,68 +67,56 @@ pprep.data62,2268 ssqlstr65,2431 tticker_company75,2868 -./build_portfolios.R,151 +./build_portfolios.R,167 aargs4,38 -hhy2117,502 -ccalibration.date36,1011 -gglobal.params39,1083 -ccusipdata41,1164 -ccashspread.discount42,1190 -ccurrdealnames43,1215 +ccode.dir5,77 +iindex16,425 +ccalibration.date35,935 +gglobal.params38,1007 +ccusipdata40,1088 +ccashspread.discount41,1114 +ccurrdealnames42,1139 -./build_scenarios.R,232 +./build_scenarios.R,235 hhostname5,56 aargs12,186 -hhy2144,1233 -ccalibration.date46,1261 -ssettledate47,1306 -ccalibration48,1344 -ZZ50,1523 -ww51,1542 -NNgrid54,1589 -ssupport55,1602 -nn.scenarios56,1639 -rrecov.adj57,1658 -pparams58,1673 +ccode.dir13,225 +ccalibration.date44,1157 +ssettledate45,1202 +ccalibration46,1240 +ZZ48,1419 +ww49,1438 +NNgrid52,1485 +ssupport53,1498 +nn.scenarios54,1535 +rrecov.adj55,1554 +pparams56,1569 -./calibrate_tranches_BC_et.R,619 -nn.int15,496 -NNgrid17,531 -ddeltasmat19,545 -ggammasmat20,562 -rrhomat21,579 -ddealerdeltamat22,593 -ddurmat23,615 -bbigmat24,629 -rrefmat25,643 -qquotemat26,657 -llossvsplmat27,673 -HHYquotesnames36,857 -HHYdeltanames37,941 -HHYgammasmatnames38,1040 -HHYrhonames39,1119 -HHYdealerdeltanames40,1186 -HHYdurmatnames41,1295 -IIGquotesnames43,1364 -IIGdeltanames44,1444 -IIGgammasmatnames45,1539 -IIGrhonames46,1614 -IIGdealerdeltanames47,1679 -IIGdurmatnames48,1784 -IIGlossvsplnames49,1848 -aaux51,1988 -aalldates56,2192 -bbus.dates58,2267 -kk59,2367 -iindex.name60,2372 -bbigmat152,5552 - -./calibrate_tranches_BC.R,80 -nn.int13,384 -NNgrid15,443 -aalldates17,457 -aaux18,491 -bbus.dates23,631 +./calibrate_tranches_BC.R,431 +nn.int15,427 +NNgrid17,486 +aaux19,500 +aargs23,639 +iindex.name25,679 +uupdateflag32,791 +bbegin.date38,1055 +aalldates44,1333 +bbus.dates49,1517 +nn.tranches52,1666 +qquotes53,1682 +ttranche.names64,2135 +AAttach67,2333 +iindexEL69,2390 +iindexTheta70,2427 +ddeltas71,2467 +ggammas72,2518 +tthetas73,2569 +rrhos74,2620 +ccorr0175,2669 +ddurations76,2720 +EEL77,2774 +rrisk.numbers116,4370 +ddata124,4857 ./calibration.R,95 bbuildSC3,35 @@ -187,17 +175,17 @@ ttweakportfolio521,23947 iindexpv541,24665 iindexduration567,25854 iindexspread573,26083 -iindextheta585,26529 -pportfoliospread594,26844 -pportfolioduration620,28004 -ttweakcurves625,28229 -ssurvivalProbability1645,29049 -ssurvivalProbability.exact668,29967 -SSP690,30669 -SSPmatrix697,30902 -DDP2713,31466 -SSPmatrix2730,32226 -ccreditcurve.maturity745,32824 +iindextheta586,26584 +pportfoliospread596,26945 +pportfolioduration622,28105 +ttweakcurves627,28330 +ssurvivalProbability1647,29150 +ssurvivalProbability.exact670,30068 +SSP692,30770 +SSPmatrix699,31003 +DDP2715,31567 +SSPmatrix2732,32327 +ccreditcurve.maturity747,32925 ./cds_utils.R,179 ttoday3,22 @@ -281,31 +269,31 @@ cclipr107,2749 ssclipr111,2798 iinverse115,2865 -./intex_deal_functions.R,658 +./intex_deal_functions.R,657 hhostname8,127 -ggetdealdata24,503 -ggetcollateral38,1302 -llistdealnames48,1635 -ccusip.data53,1789 -rrecovery65,2239 -ddealnamefromcusip85,3025 -ccusipsfromdealnames93,3286 -ffithazardrate.fast100,3554 -vvanillabondprice112,4086 -ddvanillabondprice127,4758 -ffithazardrate135,5110 -sstackcurve147,5573 -bbuildSC.matured173,6811 -bbuildSC185,7282 -bbuildSC.portfolio253,10611 -ccdrfromscenarios281,12159 -rrecoveryfromscenarios291,12547 -rrecoveryfromscenarios.fast316,13520 -sseverityfromscenarios322,13722 -gget.reinvassets340,14414 -ggetdealschedule353,14835 -iintexportfolio.forwardprice374,15690 -ccompute.reinvprices404,17307 +ggetdealdata18,309 +ggetcollateral32,1108 +llistdealnames42,1441 +ccusip.data47,1595 +rrecovery59,2045 +ddealnamefromcusip79,2831 +ccusipsfromdealnames87,3092 +ffithazardrate.fast94,3360 +vvanillabondprice106,3892 +ddvanillabondprice121,4564 +ffithazardrate129,4916 +sstackcurve141,5379 +bbuildSC.matured167,6617 +bbuildSC179,7088 +bbuildSC.portfolio247,10417 +ccdrfromscenarios275,11965 +rrecoveryfromscenarios285,12353 +rrecoveryfromscenarios.fast310,13326 +sseverityfromscenarios316,13528 +gget.reinvassets334,14220 +ggetdealschedule347,14641 +iintexportfolio.forwardprice368,15496 +ccompute.reinvprices398,17113 ./latestprices.R,453 cconn2,15 @@ -415,7 +403,7 @@ lloan.data268,2110 mmaturities69,2170 ttest270,2222 -lossdistrib/R/tranche_functions.R,1580 +lossdistrib/R/tranche_functions.R,1609 GGHquad13,733 llossdistrib22,903 llossdistrib.fft34,1170 @@ -465,17 +453,18 @@ BBCtranche.pv666,23903 ttheta.adjust.skew694,24938 BBCtranche.theta704,25301 BBCtranche.delta714,25636 -EEL754,27214 -EELtrunc769,27908 -BBCstrikes784,28745 -sskewmapping795,29123 -ddelta.factor806,29479 -MMFupdate.prob814,29814 -MMFupdate.probC826,30218 -MMFlossrecovdist.prepay839,30726 -MMFlossdist.joint866,31883 -MMFlossdist.prepay.joint898,33237 -MMFtranche.pv926,34369 +BBCtranche.corr01748,26975 +EEL756,27232 +EELtrunc771,27926 +BBCstrikes786,28763 +sskewmapping797,29141 +ddelta.factor808,29497 +MMFupdate.prob816,29832 +MMFupdate.probC828,30236 +MMFlossrecovdist.prepay841,30744 +MMFlossdist.joint868,31901 +MMFlossdist.prepay.joint900,33255 +MMFtranche.pv928,34387 ./LS.R,139 rr1,0 @@ -584,33 +573,34 @@ rrho32,934 QQvec33,946 QQresult47,1342 -./script_calibrate_tranches.R,396 +./script_calibrate_tranches.R,412 aargs6,74 -iindex28,707 -iindex32,826 -iindex33,873 -nn.credit36,938 -NNgrid37,974 -aacc38,1000 -bbottomup41,1146 -ttopdown42,1162 -nn.int43,1177 -nn.credit44,1190 -eerrvec45,1226 -qquadrature46,1240 -ww47,1268 -ZZ48,1286 -ww.mod49,1304 -pp50,1315 -rrho51,1338 -rresult52,1365 -eerr53,1395 -RRstoch91,2742 -LLw98,2992 -RRw99,3022 -LL100,3052 -RR101,3099 -ddist110,3401 +ccode.dir14,238 +iindex27,630 +iindex31,749 +iindex32,796 +nn.credit35,861 +NNgrid36,897 +aacc37,923 +bbottomup40,1069 +ttopdown41,1085 +nn.int42,1100 +nn.credit43,1113 +eerrvec44,1149 +qquadrature45,1163 +ww46,1191 +ZZ47,1209 +ww.mod48,1227 +pp49,1238 +rrho50,1261 +rresult51,1288 +eerr52,1318 +RRstoch90,2665 +LLw97,2915 +RRw98,2945 +LL99,2975 +RR100,3022 +ddist109,3324 ./time_of_default.R,364 sspreads1,0 |