diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 3c9b644a..ab657bce 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -12,12 +12,13 @@ source(file.path(root.dir, "code", "R", "intex_deal_functions.R")) if(length(args) >=2){
dealnames <- args[2:length(args)]
+ disablereinvflags <- rep(1, length(dealnames))
}else{
data <- read.table(file.path(root.dir, "scripts", "cusips_to_price.txt"))
dealnames <- dealnamefromcusip(data$V1)
uniqdealnames <- unique(dealnames)
uniqdealnames <- uniqdealnames[!is.na(uniqdealnames)]
- reinvflags <- data$V2[match(uniqdealnames, dealnames)]
+ disablereinvflags <- data$V2[match(uniqdealnames, dealnames)]
dealnames <- uniqdealnames
unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
}
@@ -75,7 +76,7 @@ currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal i <- 1
for(deal.name in dealnames){
if(exists("reinvflags")){
- global.params$reinvflag <- !reinvflags[i]
+ global.params$reinvflag <- !disablereinvflags[i]
}
i <- i+1
if(is.na(deal.name)){
@@ -88,7 +89,7 @@ for(deal.name in dealnames){ deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="3 months", workdate)
S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
- deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
+ deal.weights <- deal.portfolio$lossnotional/sum(deal.portfolio$lossnotional)
deal.dates <- getdealschedule(deal.data)
deal.spread5y <- portfoliospread(deal.portfolio, hy19$maturity)
deal.spreadatmaturity <- portfoliospread(deal.portfolio)
@@ -132,4 +133,4 @@ for(deal.name in dealnames){ }
}
-write.table(data.frame(dealnames, as.integer(!reinvflags)), file = file.path(root.dir, "scripts", "scenarios.txt"), row.names = F, col.names = F)
+write.table(data.frame(dealnames, as.integer(!disablereinvflags)), file = file.path(root.dir, "scripts", "scenarios.txt"), row.names = F, col.names = F)
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