diff options
| -rw-r--r-- | R/load_cf.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index eb8e64da..e1f5de2a 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -19,7 +19,7 @@ source("interpweights.R") source("serenitasdb.R") source("creditIndex.R") source("tranche_functions.R") -index <- creditIndex("hy31") +index <- creditIndex("hy33") index <- set.index.desc(index, tradedate) calibration.date <- addBusDay(tradedate, -1) @@ -161,9 +161,8 @@ getdealcf <- function(dealnames, zipfiles, tradedate=Sys.Date()){ cf <- cf+cfdata[[dealname]][[tranche]][,"Cashflow"] } cf <- cf-min(dealdata$"Principal Bal", 0) - cfdata[[dealname]]$price <- cf/dealdata$mv - cfdata[[dealname]]$wapbasis <- (mean(cf)- dealdata$mv)/dealdata$mv - cfdata[[dealname]]$weight + cfdata[[dealname]]$price <- cf / dealdata$mv + cfdata[[dealname]]$wapbasis <- (mean(cf) - dealdata$mv) / dealdata$mv cfdata[[dealname]] <- tryCatch({cfdata[[dealname]]$weight <- KLfit(t(cf)/1e8, rep(1/n.scenarios, n.scenarios), dealdata$mv/1e8)$weight; |