diff options
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 2 | ||||
| -rw-r--r-- | etc/runs.yml | 3 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 1 |
4 files changed, 5 insertions, 3 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 72e19714..c19d475e 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -27,7 +27,7 @@ if(interactive()) { calibration.date <- addBusDay(workdate, -1) exportYC(calibration.date) -index <- creditIndex("hy35") +index <- creditIndex("hy37") index <- set.index.desc(index, calibration.date) global.params <- yaml.load_file(file.path(config.dir, "params.yml"), handlers = list(expr = function(x) eval(parse(text = x)))) diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index 86975c0a..b9f43c64 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -22,7 +22,7 @@ tradedate <- if(length(args) >= 1) as.Date(args[1]) else addBusDay(Sys.Date(), - exportYC(tradedate) ## calibrate HY29 ## calibrate the single names curves -index <- creditIndex("hy35", "5yr") +index <- creditIndex("hy37", "5yr") index <- set.index.desc(index, tradedate) index <- set.singlenamesdata(index, tradedate) ## load tranche data diff --git a/etc/runs.yml b/etc/runs.yml index b0a17739..bcb15c0c 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -12,6 +12,7 @@ runs: - [hy31, 5yr, bottomup] - [hy33, 5yr, bottomup] - [hy35, 5yr, bottomup] + - [hy37, 5yr, bottomup] - [xo26, 5yr, bottomup] - [xo28, 5yr, bottomup] - [xo30, 5yr, bottomup] @@ -23,4 +24,4 @@ runs: - [eu30, 5yr, bottomup] - [eu32, 5yr, bottomup] - [eu34, 5yr, bottomup] - - [eu36, 5yr, bottomup] + - [eu36, 5yr, bottomup] diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 7f071b8b..d860a514 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -95,6 +95,7 @@ if __name__ == "__main__": "hy31": datetime.date(2018, 10, 2), "hy33": datetime.date(2019, 10, 1), "hy35": datetime.date(2020, 10, 2), + "hy37": datetime.date(2021, 10, 1), "ig9": datetime.date(2013, 1, 1), "ig19": datetime.date(2013, 5, 1), "ig21": datetime.date(2013, 9, 26), |