1 files changed, 13 insertions, 12 deletions
diff --git a/R/build_SC.R b/R/build_SC.R
index 681afc63..49ca301c 100644
--- a/R/build_SC.R
+++ b/R/build_SC.R
@@ -45,8 +45,8 @@ 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")
+calibration.date <- Sys.Date()
 
 cusipdata <- cusip.data()
 do <- function(deal.name){
@@ -60,7 +60,7 @@ 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="_"))
+    save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"))
     if(!file.exists(save.dir)){
         dir.create(save.dir)
     }
@@ -70,7 +70,7 @@ do <- function(deal.name){
 }
 
 load.portfolio <- function(dealname){
-    load(file.path(root.dir, "Scenarios", paste("Portfolios", Sys.Date(), sep="_"), paste0(dealname, ".RData")), .GlobalEnv)
+    load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"), paste0(dealname, ".RData")), .GlobalEnv)
 }
 
 ## build portfolio data
@@ -78,7 +78,6 @@ for(deal.name in dealnames){
     do(deal.name)
 }
 
-calibration.date <- "2013-01-04"
 calibration <- read.table(file.path(root.dir, "Scenarios", paste0("calibration-", calibration.date,".csv")),
                           sep=",", header=T)
 Z <- calibration$Z
@@ -92,7 +91,7 @@ support <- seq(0, 1, length=Ngrid)
 
 useCluster <- TRUE
 for(deal.name in dealnames){
-    load(file.path(root.dir, "Scenarios", "Portfolios", paste(deal.name, "RData", sep=".")))
+    load(file.path(root.dir, "Scenarios", paste("Portfolios",calibrarion.date, sep="_"), paste(deal.name, "RData", sep=".")))
 
     dp <- A$DP
     pp <- A$PP
@@ -165,16 +164,18 @@ for(deal.name in dealnames){
         cdrmonthly[i,] <- approx(deal.dates, cdr[i,], deal.datesmonthly, rule=2)$y
         recoverymonthly[i,] <- approx(deal.dates, intexrecov[i,], deal.datesmonthly, rule=2)$y
     }
-
-    write.table(cdrmonthly, file=file.path(root.dir, "Scenarios", "Intex curves", "csv",
-                            paste0(deal.name,"-cdr.csv")),
+    save.dir <- file.path(root.dir, "Scenarios", paste("Intex curves", calibration.date, sep="_"), "csv")
+    if(!file.exists(save.dir)){
+        dir.create(save.dir)
+    }
+    write.table(cdrmonthly,
+                file= file.path(save.dir, paste0(deal.name,"-cdr.csv")),
                 row.names=F, col.names=F, sep=",")
-    write.table(recoverymonthly * 100, file=file.path(root.dir, "Scenarios", "Intex curves", "csv",
-                                       paste0(deal.name,"-recovery.csv")),
+    write.table(recoverymonthly * 100,
+                file=file.path(save.dir, paste0(deal.name,"-recovery.csv")),
                 row.names=F, col.names=F, sep=",")
     write.table(rbind(100*reinvloanprice, 100*reinvbondprice),
-                file = file.path(root.dir, "Scenarios", "Intex curves", "csv",
-                paste0(deal.name,"-reinvprices.csv")),
+                file = file.path(save.dir, paste0(deal.name,"-reinvprices.csv")),
                 row.names=F, col.names=F, sep=",")
     cat("generated scenarios for:", deal.name, "\n")
 }