1 files changed, 137 insertions, 228 deletions
diff --git a/R/TAGS b/R/TAGS
index 0641717a..424120a9 100644
--- a/R/TAGS
+++ b/R/TAGS
@@ -1,4 +1,11 @@
 
+./backtest_tranches.R,69
+aargs1,0
+bbps18,543
+ffiles19,555
+ddates20,648
+bbasis21,688
+
 ./bandits.R,484
 cconn2,20
 ddata4,42
@@ -33,42 +40,35 @@ ffixed.rebal82,2166
 mmemb94,2436
 ttickerslist109,2847
 
-./build_portfolios.R,263
+./build_portfolios.R,150
 aargs4,38
-hhy2115,393
-ccalibration.date34,902
-MMarkitData35,946
-ffuturequotes36,994
-LL1m40,1257
-LL2m41,1319
-LL3m42,1380
-LL6m43,1432
-LL12m44,1493
-gglobal.params46,1554
-ccusipdata48,1635
-ccashspread.discount49,1661
-ccurrdealnames50,1686
+hhy2116,450
+ccalibration.date35,959
+gglobal.params38,1031
+ccusipdata40,1112
+ccashspread.discount41,1138
+ccurrdealnames42,1163
+
+./build_scenarios.R,217
+hhostname5,56
+aargs12,186
+ccalibration.date45,1201
+ssettledate46,1246
+ccalibration47,1284
+ZZ49,1463
+ww50,1482
+NNgrid53,1529
+ssupport54,1542
+nn.scenarios55,1579
+rrecov.adj56,1598
+pparams57,1613
 
-./build_scenarios.R,332
-hhostname3,34
-aargs10,164
-ccalibration.date42,1122
-ssettledate43,1167
-ccalibration44,1205
-ZZ46,1384
-ww47,1403
-MMarkitData50,1424
-ffuturequotes51,1472
-LL1m55,1735
-LL2m56,1797
-LL3m57,1858
-LL6m58,1910
-LL12m59,1971
-NNgrid61,2032
-ssupport62,2045
-nn.scenarios63,2082
-rrecov.adj64,2101
-pparams65,2116
+./calibrate_tranches_BC.R,75
+nn.int14,405
+qquadrature15,418
+ww16,446
+ZZ17,470
+aalldates20,494
 
 ./cds_functions_generic.R,2134
 sabstractcurve18,412
@@ -116,33 +116,33 @@ ddbondpv434,20462
 ccdshazardrate.flat442,20764
 ccdshazardrate.shaped454,21241
 ccdshazardrate464,21628
-bbondhazardrate.shaped498,23002
-ttweakportfolio527,24152
-iindexpv546,24751
-iindexduration564,25561
-iindexspread570,25795
-pportfoliospread582,26271
-pportfolioduration608,27431
-ttweakcurves613,27656
-ssurvivalProbability1624,28056
-ssurvivalProbability.exact647,28974
-SSP669,29676
-SSPmatrix676,29888
-DDP2693,30532
-SSPmatrix2710,31292
-ccreditcurve.maturity725,31890
+bbondhazardrate.shaped498,22951
+ttweakportfolio527,24101
+iindexpv546,24700
+iindexduration564,25510
+iindexspread570,25744
+pportfoliospread582,26220
+pportfolioduration608,27380
+ttweakcurves613,27605
+ssurvivalProbability1624,28038
+ssurvivalProbability.exact647,28956
+SSP669,29658
+SSPmatrix676,29891
+DDP2692,30455
+SSPmatrix2709,31215
+ccreditcurve.maturity724,31813
 
 ./cds_utils.R,201
 ttoday3,22
 aaddBusDay7,62
-cconvertTenor11,259
-aaddTenor31,937
-ccouponSchedule50,1669
-IIMMDate109,4139
-ccdsAccrued134,5176
-ccdsMaturity139,5348
-yyearFrac160,6023
-lload.index166,6255
+cconvertTenor11,238
+aaddTenor31,916
+ccouponSchedule49,1574
+IIMMDate111,4219
+ccdsAccrued134,5203
+ccdsMaturity139,5375
+yyearFrac143,5473
+lload.index149,5705
 
 ./clopricer.R,272
 rrootdir1,0
@@ -168,9 +168,6 @@ ddealnames4,128
 ppricingcoverage5,196
 ppricingcoverage19,1058
 
-./dumpdata.R,8
-yy1,0
-
 ./ema.R,10
  ema1,0
 
@@ -219,30 +216,30 @@ ssclipr111,2798
 iinverse115,2865
 
 ./intex_deal_functions.R,658
-hhostname7,106
-ggetdealdata25,603
-ggetcollateral39,1402
-llistdealnames49,1735
-ccusip.data54,1889
-rrecovery66,2339
-ddealnamefromcusip86,3125
-ccusipsfromdealnames94,3386
-ffithazardrate.fast101,3654
-vvanillabondprice113,4186
-ddvanillabondprice128,4858
-ffithazardrate136,5210
-sstackcurve148,5673
-bbuildSC.matured174,6911
-bbuildSC186,7382
-bbuildSC.portfolio251,10656
-ccdrfromscenarios279,12204
-rrecoveryfromscenarios289,12592
-rrecoveryfromscenarios.fast314,13565
-sseverityfromscenarios320,13767
-gget.reinvassets338,14459
-ggetdealschedule351,14880
-iintexportfolio.forwardprice372,15735
-ccompute.reinvprices402,17352
+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.portfolio250,10556
+ccdrfromscenarios278,12104
+rrecoveryfromscenarios288,12492
+rrecoveryfromscenarios.fast313,13465
+sseverityfromscenarios319,13667
+gget.reinvassets337,14359
+ggetdealschedule350,14780
+iintexportfolio.forwardprice371,15635
+ccompute.reinvprices401,17252
 
 ./latestprices.R,453
 cconn2,15
@@ -295,26 +292,19 @@ aaddcurves21,819
 mmultcurves29,1100
 sspreadfrombondprice37,1382
 
-./load_cf.R,366
+./load_cf.R,252
 aargs7,122
 ccalibration.date29,747
-MMarkitData30,792
-ffuturequotes31,840
-LL1m35,1103
-LL2m36,1165
-LL3m37,1226
-LL6m38,1278
-LL12m39,1339
-ddm41,1400
-ssanitize.column42,1408
-pprocesszipfiles49,1625
-ggetconfig77,2763
-ggetdealcf87,3098
-ggetcusipcf164,6722
-ccompute.delta224,9927
-ccfdata254,11108
-ccusipdata258,11313
-ssave.dir259,11370
+ddm32,820
+ssanitize.column33,828
+pprocesszipfiles40,1045
+ggetconfig68,2183
+ggetdealcf78,2518
+ggetcusipcf166,6822
+ccompute.delta226,10027
+ccfdata256,11208
+ccusipdata260,11413
+ssave.dir261,11470
 
 ./load_futures_data.R,180
 bbbgCon11,202
@@ -436,73 +426,46 @@ rrho32,934
 QQvec33,946
 QQresult47,1342
 
-./script_calibrate_tranches.R,768
-aargs4,52
-ffuturequotes26,658
-MMarkitData29,838
-LL1m30,879
-LL2m31,941
-LL3m32,1002
-LL6m33,1054
-ssinglenames.data39,1274
-nnondefaulted41,1439
-bbps42,1519
-ccdsdates44,1532
-hhy21portfolio49,1667
-iissuerweights61,2184
-KK64,2275
-KKmodified65,2306
-mmarket.data66,2365
-ttranche.upf69,2518
-ttranche.running70,2549
-hhy21portfolio.tweaked73,2662
-SSurvProb74,2731
-NNgrid76,2782
-rrecov77,2818
-ccs78,2875
-aacc79,2992
-bbottomup81,3076
-ttopdown82,3092
-nn.int83,3107
-nn.credit84,3120
-eerrvec85,3154
-qquadrature86,3168
-ww87,3215
-ZZ88,3239
-ww.mod89,3261
-ddefaultprob90,3272
-pp91,3300
-rrho92,3317
-rresult94,3345
-eerr95,3375
-RRstoch132,4595
-LLw139,4815
-RRw140,4845
-LL141,4875
-RR142,4916
-ddist151,5194
-
-./test.cds_functions.R,341
-rroot2,17
-ccs7,152
-hh9,333
-ddpc10,358
-eeps11,422
-ttest.flat12,434
-ttest.derivativeflat16,579
-hhvec21,810
-hhvecplus22,848
-hhvecminus23,895
-iindex24,944
-ddpc25,976
-ddpcplus26,1043
-ddpcminus27,1118
-ttest.derivativecurve29,1196
-ddpc34,1462
-ttest.prepay35,1558
-ddpcplus40,1722
-ddpcminus41,1822
-ddpc42,1925
+./script_calibrate_tranches.R,681
+aargs6,74
+ssinglenames.data30,691
+nnondefaulted32,856
+bbps33,936
+ccdsdates35,949
+hhy21portfolio40,1082
+ccs41,1103
+iissuerweights54,1749
+KK57,1840
+KKmodified58,1871
+mmarket.data59,1930
+ttranche.upf62,2083
+ttranche.running63,2114
+hhy21portfolio.tweaked66,2227
+ccs67,2306
+SSurvProb68,2423
+NNgrid70,2486
+rrecov71,2522
+aacc72,2579
+bbottomup74,2663
+ttopdown75,2679
+nn.int76,2694
+nn.credit77,2707
+eerrvec78,2741
+qquadrature79,2755
+ww80,2783
+ZZ81,2807
+ww.mod82,2829
+ddefaultprob83,2840
+pp84,2868
+rrho85,2885
+rresult87,2913
+eerr88,2943
+RRstoch125,4163
+LLw132,4383
+RRw133,4413
+LL134,4443
+RR135,4484
+ddist144,4762
 
 ./time_of_default.R,364
 sspreads1,0
@@ -534,62 +497,6 @@ pprotectionsize86,1551
 ccl90,1614
 ppl96,1766
 
-./tranche_functions.R,1440
-hhostname14,750
-llossdistrib16,795
-llossdistrib.fft28,1062
-llossdistrib239,1446
-llossdistrib2.truncated68,2236
-rrecovdist103,3416
-llossdist.joint136,4486
-llossdist.prepay.joint175,6003
-llossdistC236,8599
-llossdistCblas246,9069
-llossdistCZ256,9553
-llossdistC.truncated267,10063
-rrecovdistC278,10596
-llossdistC.joint289,11070
-llossdistC.jointblas300,11626
-llossdistC.jointZ312,12197
-llossdistC.prepay.joint330,13009
-llossdistC.prepay.jointZ342,13609
-llossrecovdist361,14490
-llossrecovdist.term382,15271
-llossrecovdist.joint.term402,15992
-ddist.transform430,16996
-sshockprob452,17695
-sshockseverity471,18400
-ddshockprob480,18724
-ddqnorm484,18828
-ffit.prob488,18876
-ffit.probC513,19559
-sstochasticrecov524,20005
-sstochasticrecovC535,20455
-ppos547,21017
-ttrancheloss551,21055
-ttrancherecov555,21124
-ttranche.cl559,21201
-ttranche.cl.scenarios579,21998
-ffunded.tranche.pv597,22701
-ttranche.pl616,23379
-ttranche.pl.scenarios633,23869
-ttranche.pv649,24304
-ttranche.pv.scenarios653,24448
-aadjust.attachments659,24617
-ttranche.pvvec665,24807
-BBClossdist673,25001
-BBClossdistC700,25939
-BBCtranche.pv715,26725
-BBCtranche.delta741,27841
-BBCstrikes769,29298
-ddelta.factor779,29701
-MMFupdate.prob787,30036
-MMFupdate.probC799,30440
-MMFlossrecovdist.prepay817,31205
-MMFlossdist.joint844,32362
-MMFlossdist.prepay.joint876,33716
-MMFtranche.pv904,34848
-
 ./transactions.R,98
 ttransdir1,0
 ttranssave2,31
@@ -603,7 +510,9 @@ iinput3,70
 ttop4,132
 ttable5,154
 
-./yieldcurve.R,71
+./yieldcurve.R,108
 ggetMarkitIRData2,19
-bbasic.advance36,1519
-bbuildMarkitYC45,1837
+tthirdwed36,1531
+nnextthirdwed42,1656
+bbuildMarkitYC47,1741
+eexportYC93,4098