diff options
| -rw-r--r-- | R/build_portfolios.R | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 74709f14..f7d2af39 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -54,12 +54,12 @@ global.params$recovery.assumptions <- list("Loan"=0.7, "Adj_Covlite"=0.1,
"Credit Default Swap"=0)
-global.params$cdoprices <- list("Aaa"=90,
- "Aa"=88,
- "A"=80,
- "Baa"=75,
- "Ba"=70,
- "B"=65,
+global.params$cdoprices <- list("Aaa"=95,
+ "Aa"=90,
+ "A"=88,
+ "Baa"=85,
+ "Ba"=80,
+ "B"=75,
"NR"=50)
#reinvest in 7 years assets
global.params$rollingmaturity <- 7 * 365
|