1 files changed, 14 insertions, 5 deletions
diff --git a/R/build_SC.R b/R/build_SC.R
index 9807b2de..681afc63 100644
--- a/R/build_SC.R
+++ b/R/build_SC.R
@@ -39,14 +39,15 @@ global.params$rollingmaturity <- 7 * 365
 global.params$defaultedlag <- 90
 global.params$defaultcorr <- 0.4
 global.params$defaultbondhazardrate <- 500 * bps
-global.params$defaultloanhazardrate <- 400 * bps
+global.params$defaultloanhazardrate <- 500 * bps
 global.params$alpha <- 0.25
 global.params$beta <- 15
 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")
+
 cusipdata <- cusip.data()
 do <- function(deal.name){
     deal.data <- getdealdata(deal.name)
@@ -59,17 +60,25 @@ do <- function(deal.name){
     deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
     deal.dates <- getdealschedule(deal.data)
     deal.spread <- portfoliospread(deal.portfolio, hy19$maturity)
+    save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", Sys.Date(), sep="_"))
+    if(!file.exists(save.dir)){
+        dir.create(save.dir)
+    }
     save(deal.portfolio, A, S, deal.weights, deal.dates, deal.spread,
-         file=file.path(root.dir, "Scenarios", "Portfolios", paste0(deal.name, ".RData")))
+         file=file.path(save.dir, paste0(deal.name, ".RData")))
     cat(deal.name, "... done\n")
 }
 
+load.portfolio <- function(dealname){
+    load(file.path(root.dir, "Scenarios", paste("Portfolios", Sys.Date(), sep="_"), paste0(dealname, ".RData")), .GlobalEnv)
+}
+
 ## build portfolio data
 for(deal.name in dealnames){
     do(deal.name)
 }
 
-calibration.date <- "2012-12-11"
+calibration.date <- "2013-01-04"
 calibration <- read.table(file.path(root.dir, "Scenarios", paste0("calibration-", calibration.date,".csv")),
                           sep=",", header=T)
 Z <- calibration$Z
@@ -82,7 +91,7 @@ clusterExport(cl, list("root.dir", "shockprob", "lossdistC.prepay.joint", "lossr
 support <- seq(0, 1, length=Ngrid)
 
 useCluster <- TRUE
-for(deal.name in c("oceant2", "atr4cdo")){
+for(deal.name in dealnames){
     load(file.path(root.dir, "Scenarios", "Portfolios", paste(deal.name, "RData", sep=".")))
 
     dp <- A$DP