diff options
| -rw-r--r-- | R/TAGS | 366 |
1 files changed, 187 insertions, 179 deletions
@@ -70,28 +70,28 @@ tticker_company75,2878 ./build_portfolios.R,187 aargs4,38 ccode.dir11,201 -ccalibration.date38,1016 -iindex40,1087 -iindex41,1116 -gglobal.params42,1165 -ccusipdata44,1248 -ccashspread.discount45,1274 -ccurrdealnames46,1299 +ccalibration.date35,1028 +iindex37,1099 +iindex38,1128 +gglobal.params39,1177 +ccusipdata41,1260 +ccashspread.discount42,1286 +ccurrdealnames43,1311 -./build_scenarios.R,235 +./build_scenarios.R,234 hhostname4,35 aargs11,165 ccode.dir18,332 -ccalibration.date38,1004 -ssettledate39,1049 -ccalibration40,1087 -ZZ42,1266 -ww43,1285 -NNgrid46,1332 -ssupport47,1345 -nn.scenarios48,1382 -rrecov.adj49,1401 -pparams50,1416 +ccalibration.date37,965 +ssettledate38,1010 +ccalibration39,1048 +ZZ41,1227 +ww42,1246 +NNgrid45,1293 +ssupport46,1306 +nn.scenarios47,1343 +rrecov.adj48,1362 +pparams49,1377 ./calibrate_tranches_BC_et.R,72 ttenor24,663 @@ -99,9 +99,10 @@ iindex.name25,678 aalldates26,699 bbus.dates27,773 -./calibrate_tranches_BC.R,35 -ooption_list12,321 -aargs22,914 +./calibrate_tranches_BC.R,51 +rroot.dir2,32 +ooption_list12,313 +aargs22,906 ./calibrate_tranches_MF.R,109 aargs5,54 @@ -116,9 +117,9 @@ ddist43,1296 bbuildSC3,35 gget.cdsSchedule14,418 sset.singlenamesdata24,836 -sset.tranchedata60,2503 -bbuild.skew140,6296 -bbuild.MFdist172,7743 +sset.tranchedata60,2509 +bbuild.skew140,6302 +bbuild.MFdist172,7749 ./cds_functions_generic.R,1681 sabstractcurve12,258 @@ -176,21 +177,21 @@ iindexpv598,27225 iindexduration637,28907 iindexspread645,29242 iindextheta658,29743 -pportfoliospread668,30110 -pportfolioduration694,31314 -ttweakcurves699,31539 -ssurvivalProbability1719,32368 -ssurvivalProbability.exact742,33285 -FFEP760,33860 -SSP768,34202 -SSPmatrix775,34435 -DDP2791,34999 -SSPmatrix2808,35759 -ccreditcurve.maturity825,36445 -fforward.cl838,36776 -fforward.prot845,37018 -ddefaultAdjustedForwardIndexPrice852,37260 -fforwardflatcds861,37680 +pportfoliospread671,30164 +pportfolioduration697,31368 +ttweakcurves702,31593 +ssurvivalProbability1722,32422 +ssurvivalProbability.exact745,33339 +FFEP763,33914 +SSP771,34256 +SSPmatrix778,34489 +DDP2794,35053 +SSPmatrix2811,35813 +ccreditcurve.maturity828,36499 +fforward.cl841,36830 +fforward.prot848,37072 +ddefaultAdjustedForwardIndexPrice855,37314 +fforwardflatcds864,37734 ./cds_tester.R,172 ccurrency6,93 @@ -204,16 +205,17 @@ ddata21,687 ccouponleg239,1435 pprotectionleg247,1647 -./cds_utils.R,178 +./cds_utils.R,198 ttoday4,41 aaddBusDay8,81 cconvertTenor12,257 aaddTenor25,640 ccouponSchedule36,977 IIMMDate102,3845 -ccdsAccrued128,4811 -ccdsMaturity133,4983 -yyearFrac139,5114 +IIMMDate2128,4811 +ccdsAccrued149,5707 +ccdsMaturity154,5879 +yyearFrac166,6171 ./clopricer.R,272 rrootdir1,0 @@ -246,6 +248,9 @@ ccsvheaders73,2318 ttocsv93,3194 ttosql106,3822 +./db.R,14 +ddbConn3,14 + ./deal_pricer.R,92 ddrv2,21 ddbCon3,51 @@ -256,9 +261,6 @@ ppricingcoverage19,1058 ./ema.R,10 ema1,0 -./etdb.R,13 -ddbCon2,13 - ./filterruns.R,103 llcds1,0 bblcds2,12 @@ -299,32 +301,33 @@ cclipr107,2749 ssclipr111,2798 iinverse115,2865 -./intex_deal_functions.R,679 -hhostname7,98 -ggetdealdata17,280 +./intex_deal_functions.R,693 +hhostname6,81 +eetdb15,260 +ggetdealdata17,282 ggetcollateral36,1110 -llistdealnames48,1540 -ccusip.data53,1694 -rrecovery65,2144 -ddealnamefromcusip85,2930 -ccusipsfromdealnames93,3191 -ffithazardrate.fast100,3455 -vvanillabondprice112,3987 -ddvanillabondprice127,4659 -ffithazardrate135,5011 -sstackcurve147,5474 -bbuildSC.matured173,6712 -bbuildSC185,7183 -bbuildSC.portfolio253,10512 -ccdrfromscenarios281,12094 -rrecoveryfromscenarios291,12482 -rrecoveryfromscenarios.fast316,13455 -sseverityfromscenarios322,13657 -gget.reinvassets340,14349 -ggetpayday352,14750 -ggetdealschedule371,15457 -iintexportfolio.forwardprice390,16130 -ccompute.reinvprices420,17747 +llistdealnames48,1538 +ccusip.data53,1691 +rrecovery65,2140 +ddealnamefromcusip85,2926 +ccusipsfromdealnames93,3186 +ffithazardrate.fast100,3449 +vvanillabondprice112,3981 +ddvanillabondprice127,4653 +ffithazardrate135,5005 +sstackcurve147,5468 +bbuildSC.matured173,6706 +bbuildSC185,7177 +bbuildSC.portfolio253,10506 +ccdrfromscenarios281,12088 +rrecoveryfromscenarios291,12476 +rrecoveryfromscenarios.fast316,13449 +sseverityfromscenarios322,13651 +gget.reinvassets340,14343 +ggetpayday352,14743 +ggetdealschedule371,15450 +iintexportfolio.forwardprice390,16123 +ccompute.reinvprices420,17740 ./latestprices.R,453 cconn2,15 @@ -370,23 +373,27 @@ ddownload.cdscurves4,39 wwrite.tranchedata21,749 bbbgConn35,1319 -./load_cf.R,318 -aargs6,82 -iindex29,867 -iindex30,896 -ccalibration.date32,939 -ccs34,1011 -ddm36,1111 -ssanitize.column37,1119 -pprocesszipfiles44,1336 -ggetconfig72,2474 -ggetdealcf82,2809 -ggetcusipcf179,7228 -ccompute.delta257,11239 -ccfdata288,12456 -ccusipdata292,12661 -ssave.dir293,12718 -ssqlstring298,12902 +./load_cf.R,402 +aargs7,97 +rroot.dir9,137 +ttradedate15,253 +iindex25,813 +iindex26,842 +ccalibration.date28,885 +ccs30,957 +ddm33,1096 +ssanitize.column34,1104 +pprocesszipfiles41,1321 +ggetconfig69,2459 +ggetdealcf79,2794 +ggetcusip_indicdata181,7470 +ggetcusipcf202,8400 +ccompute.delta280,12535 +ccfdata311,13752 +ccusipdata315,13957 +ssave.dir316,14014 +ssqlstring321,14198 +ddawndb331,14600 ./load_futures_data.R,180 bbbgCon11,202 @@ -438,41 +445,41 @@ mmaturities69,2170 ttest270,2222 lossdistrib/R/distrib.R,911 -GGHquad25,1100 -llossdistrib44,1729 -llossdistrib.fft68,2578 -llossdistrib286,3252 -llossdistrib2.truncated109,3791 -rrecovdist144,4968 -llossdist.joint177,6047 -llossdist.prepay.joint216,7564 -llossdistC277,10160 -llossdistCblas283,10426 -llossdistCZ289,10701 -llossdistC.truncated297,11042 -eexp.trunc305,11363 -rrec.trunc312,11576 -rrecovdistC323,11887 -llossdistC.joint329,12102 -llossdistC.jointblas335,12391 -llossdistC.jointZ341,12689 -llossdistC.prepay.jointblas354,13246 -llossdistC.prepay.jointZ361,13581 -llossrecovdist377,14254 -llossrecovdist.term390,14749 -llossrecovdist.joint.term410,15470 -ddist.transform427,16153 -sshockprob449,16852 -sshockseverity468,17557 -ddshockprob477,17881 -ddqnorm481,17985 -ffit.prob485,18033 -ffit.probC510,18716 -sstochasticrecov517,18941 -sstochasticrecovC528,19391 -BBClossdist535,19688 -BBClossdistC566,20773 -BBCER580,21469 +GGHquad25,1188 +llossdistrib44,1817 +llossdistrib.fft68,2666 +llossdistrib286,3340 +llossdistrib2.truncated121,4466 +rrecovdist143,5079 +llossdist.joint189,6813 +llossdist.prepay.joint216,7771 +llossdistC277,10367 +llossdistCblas283,10633 +llossdistCZ289,10908 +llossdistC.truncated297,11249 +eexp.trunc305,11570 +rrec.trunc312,11783 +rrecovdistC323,12094 +llossdistC.joint329,12309 +llossdistC.jointblas335,12598 +llossdistC.jointZ341,12896 +llossdistC.prepay.jointblas354,13453 +llossdistC.prepay.jointZ361,13788 +llossrecovdist377,14461 +llossrecovdist.term390,14956 +llossrecovdist.joint.term410,15677 +ddist.transform427,16360 +sshockprob449,17059 +sshockseverity468,17764 +ddshockprob477,18088 +ddqnorm481,18192 +ffit.prob485,18240 +ffit.probC510,18923 +sstochasticrecov517,19148 +sstochasticrecovC528,19598 +BBClossdist535,19895 +BBClossdistC566,20980 +BBCER583,21770 ./LS.R,139 rr1,0 @@ -507,10 +514,10 @@ rratio35,1796 iindex36,1877 ./new_index_series.R,83 -bbbgname8,147 -nnewbasketID22,540 -nnewcurves42,1529 -mmarkit.mappings97,4051 +bbbgname8,146 +nnewbasketID22,539 +nnewcurves42,1528 +mmarkit.mappings98,4112 ./optimization.R,294 "blkdiag3,33 @@ -560,6 +567,10 @@ ddist29,1160 ddist30,1197 ddistw31,1245 +./pretty_plots.R,39 +wwthrs4.dist2,80 +ssaturn.dist4,186 + ./reinvestingdistribution.R,190 pp3,31 SS4,47 @@ -576,19 +587,21 @@ rrho32,934 QQvec33,946 QQresult47,1342 -./serenitasdb.R,267 -sserenitasdb2,13 -ssqlArray7,199 -ssqlQuote12,315 -nnameToBasketID16,416 -sset.index.desc22,615 -ccdslist37,1272 -aarr.convert43,1517 -gget.indexquotes51,1842 -iindexsplit61,2274 -gget.tranchequotes66,2434 -ccouponfromindex121,4851 -ggetlastdate128,5128 +./serenitasdb.R,320 +sserenitasdb3,32 +ssqlArray5,70 +ssqlQuote10,186 +nnameToBasketID14,253 +sset.index.desc20,452 +ccdslist35,1109 +aarr.convert41,1354 +gget.singlenamesquotes58,1802 +iindexsplit69,2324 +gget.tranchequotes74,2481 +ccouponfromindex126,4641 +ggetlastdate133,4921 +gget.indexquotes142,5265 +gget.skews148,5542 ./test_options.R,244 rroot.dir1,0 @@ -607,17 +620,15 @@ ffp236,1619 ccalib42,1846 ooption50,2184 -./thetas-durations.R,212 -hhostname11,181 -gget.indexquotes22,495 -gget.indexmaturity36,1241 -ffastduration45,1615 -ffasttheta63,2106 -iindex86,2890 -ttenors87,2904 -rrecov88,2937 -ssqlstr.duration89,2950 -ssqlstr.theta91,3096 +./thetas-durations.R,185 +rroot.dir7,87 +hhostname13,203 +gget.indexquotes.table20,484 +gget.indexmaturity31,1034 +ffastduration40,1408 +ffasttheta56,1864 +ssqlstr.duration79,2648 +ssqlstr.theta81,2794 ./time_of_default.R,364 sspreads1,0 @@ -672,17 +683,17 @@ MMFtranche.delta292,10170 BBCtranche.corr01325,11546 BBCtranche.VaR333,11871 EEL346,12321 -BBCindex.pv361,13018 -EELtrunc379,13786 -PProbtrunc387,14206 -BBCstrikes396,14513 -ttranche.factor407,14837 -MMFupdate.prob413,15067 -MMFlossrecovdist.prepay426,15533 -MMFlossdist.joint453,16690 -MMFlossdist.prepay.joint485,18044 -MMFrecovery512,19179 -MMFlossdist526,19697 +BBCindex.pv368,13180 +EELtrunc392,14049 +PProbtrunc400,14469 +BBCstrikes409,14776 +ttranche.factor420,15100 +MMFupdate.prob426,15330 +MMFlossrecovdist.prepay439,15796 +MMFlossdist.joint466,16953 +MMFlossdist.prepay.joint498,18307 +MMFrecovery525,19442 +MMFlossdist539,19960 ./tranches_RV_BC_et.R,202 nname146,2011 @@ -709,19 +720,16 @@ sstripext4,93 ppurchased17,458 ssold22,633 -./VaR.R,205 -ddata18,588 -rrho19,691 -sskew.shocks20,740 -ttradedate21,786 -iindex22,812 -rr23,858 -sshock.prices25,898 -oorig.price26,944 -pportfolio.orig27,977 -bbefore28,1011 -ss29,1041 -eepsvec30,1081 +./VaR.R,162 +rroot.dir2,32 +ttradedate20,617 +iindex21,657 +rrho23,704 +sskew.shocks25,790 +ppvshocks126,836 +sshock.spreads28,884 +bbefore29,957 +ppv.shocks230,987 ./xmltotab.R,39 iinput3,70 @@ -730,7 +738,7 @@ ttable5,154 ./yieldcurve.R,109 ggetMarkitIRData9,154 -tthirdwed43,1657 -nnextthirdwed49,1782 -bbuildMarkitYC54,1867 -eexportYC93,3528 +tthirdwed43,1682 +nnextthirdwed49,1807 +bbuildMarkitYC54,1892 +eexportYC93,3553 |