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 c19d475e..1309cb54 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -32,7 +32,7 @@ index <- set.index.desc(index, calibration.date) global.params <- yaml.load_file(file.path(config.dir, "params.yml"), handlers = list(expr = function(x) eval(parse(text = x)))) -cusipdata <- cusip.data(workdate) +tranchedata <- tranche.data(workdate) cashspread.discount <- 0 currdealnames <- etdb %>% tbl("et_deal_model_numbers") %>% filter(updatedate == !!workdate) %>% @@ -52,7 +52,7 @@ for(i in seq_along(dealnames)){ deal.data$maturity <= Sys.Date()+90){ next } - deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate) + deal.portfolio <- buildSC.portfolio(deal.name, deal.data, tranchedata, global.params, workdate) ##deal.portfolio$SC <- tweakportfolio(deal.portfolio$SC, -cashspread.discount, multiplicative=FALSE) mv <- crossprod(deal.portfolio$notional, deal.portfolio$price)/100 nullcurves <- unlist(lapply(deal.portfolio$SC, is.null)) |