diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 468b37e1..4fd2d561 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -11,6 +11,7 @@ if(.Platform$OS.type == "unix"){ source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
source(file.path(root.dir, "code", "R", "index_definitions.R"))
source(file.path(root.dir, "code", "R", "cds_utils.R"))
+source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
if(length(args) >=2){
dealnames <- args[-1]
@@ -70,7 +71,7 @@ global.params$beta <- 15 global.params$shape <- function(T)0.5+(1-0.5)*(1-exp(-T/5))
global.params$reinvflag <- TRUE
cusipdata <- cusip.data()
-
+cashspread.discount <- 0.01
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
for(i in seq_along(dealnames)){
@@ -89,6 +90,7 @@ for(i in seq_along(dealnames)){ next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
+ ##deal.portfolio$SC <- tweakportfolio(deal.portfolio$SC, -cashspread.discount, multiplicative=FALSE)
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)
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