diff options
Diffstat (limited to 'R/build_portfolios.R')
| -rw-r--r-- | R/build_portfolios.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 4fd2d561..cd056dba 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -71,7 +71,7 @@ global.params$beta <- 15 global.params$shape <- function(T)0.5+(1-0.5)*(1-exp(-T/5))
global.params$reinvflag <- TRUE
cusipdata <- cusip.data()
-cashspread.discount <- 0.01
+cashspread.discount <- 0
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
for(i in seq_along(dealnames)){
@@ -95,7 +95,7 @@ for(i in seq_along(dealnames)){ S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
deal.dates <- getdealschedule(deal.data)
- deal.spread5y <- portfoliospread(deal.portfolio, hy19$maturity)
+ deal.spread5y <- portfoliospread(deal.portfolio, hy21$maturity)
deal.spreadatmaturity <- portfoliospread(deal.portfolio)
save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
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