diff options
| -rw-r--r-- | R/build_scenarios.R | 2 | ||||
| -rw-r--r-- | python/intex_scenarios.py | 4 |
2 files changed, 3 insertions, 3 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index b28f6ac1..577d6169 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -121,7 +121,7 @@ support <- seq(0, 1, length = Ngrid) recoverylag <- 90 ##days
## reinvestment parameters
## need to match parameters in build_portfolios.R
-reinvspread <- 0.025
+reinvspread <- 0.04
reinvfixed <- 0.07
basecase.rollingmaturity <- 84 ##months
reinvlag <- 3 ##months
diff --git a/python/intex_scenarios.py b/python/intex_scenarios.py index 5492bc3d..0451c407 100644 --- a/python/intex_scenarios.py +++ b/python/intex_scenarios.py @@ -124,7 +124,7 @@ def generate_scenarios(workdate, dealnames, conn, cursor): line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper())
if reinv_assets["REINV_TBA1"] == "Float":
- coupon = 2.5
+ coupon = 4
elif reinv_assets["REINV_TBA1"] == "Fixed":
coupon = 7
line = line + \
@@ -135,7 +135,7 @@ def generate_scenarios(workdate, dealnames, conn, cursor): if pattern12.match(line):
line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper())
if reinv_assets["REINV_TBA2"] == "Float":
- coupon = 2.5
+ coupon = 4
elif reinv_assets["REINV_TBA2"] == "Fixed":
coupon = 7
line = line + \
|