1 files changed, 11 insertions, 5 deletions
diff --git a/R/build_SC.R b/R/build_SC.R
index ccd272d0..2a2d07b4 100644
--- a/R/build_SC.R
+++ b/R/build_SC.R
@@ -47,6 +47,11 @@ global.params$shape <- function(T)0.25+(1-exp(-T/5))
 dealnames <- listdealnames()
 dealnames <- c("abcl071", "ammcclo5", "atr4cdo", "atr5cdo", "blumt3", "callid6", "goldl5", "limes", "oceant2", "symph4")
 calibration.date <- Sys.Date()
+r <- c()
+for(deal in dealnames){
+    load.portfolio(deal)
+    r <- rbind(r, c(sum(deal.portfolio$notional), crossprod(deal.portfolio$notional, deal.portfolio$price)/100))
+}
 
 cusipdata <- cusip.data()
 do <- function(deal.name){
@@ -70,7 +75,8 @@ do <- function(deal.name){
 }
 
 load.portfolio <- function(dealname){
-    load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"), paste0(dealname, ".RData")), .GlobalEnv)
+    load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"),
+                   paste0(dealname, ".RData")), .GlobalEnv)
 }
 
 ## build portfolio data
@@ -78,8 +84,9 @@ for(deal.name in dealnames){
     do(deal.name)
 }
 
-calibration <- read.table(file.path(root.dir, "Scenarios", paste0("calibration-", calibration.date,".csv")),
-                          sep=",", header=T)
+calibration <- read.table(file.path(root.dir, "Scenarios", "Calibration",
+                                    paste0("calibration-", calibration.date,".csv")), sep=",", header=T)
+
 Z <- calibration$Z
 w <- calibration$w
 
@@ -90,7 +97,7 @@ clusterExport(cl, list("root.dir", "shockprob", "lossdistC.prepay.joint", "lossr
 support <- seq(0, 1, length=Ngrid)
 
 useCluster <- TRUE
-for(deal.name in dealnames){
+for(deal.name in dealnames[10]){
     load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"), paste(deal.name, "RData", sep=".")))
 
     dp <- A$DP
@@ -147,7 +154,6 @@ for(deal.name in dealnames){
 
     cdr <- cdrfromscenarios(scenariosd, deal.dates)
     intexrecov <- recoveryfromscenarios(scenariosd, scenariosr)
-
     ## linear approximation for monthly scenarios
     deal.data <- getdealdata(deal.name)
     deal.datesmonthly <- getdealschedule(deal.data, "1 month")