diff options
Diffstat (limited to 'R/build_scenarios.R')
| -rw-r--r-- | R/build_scenarios.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 6fcfe618..e9fb0db6 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -50,7 +50,7 @@ Ngrid <- 201 support <- seq(0, 1, length = Ngrid)
n.scenarios <- 100
recov.adj <- 1
-params <- yaml.load_file(file.path(root.dir, "code", "R", "params.yml"))
+params <- yaml.load_file(file.path(root.dir, "code", "etc", "params.yml"))
for(j in seq_along(dealnames)){
load(file.path(root.dir, "Scenarios", paste("Portfolios", tradedate, sep="_"),
@@ -82,7 +82,7 @@ for(j in seq_along(dealnames)){ percentiles <- seq(0, 1, 1/n.scenarios)
for(t in 1:dim(distDR)[1]){
D <- rowSums(distDR[t,,])
- Dfun <- splinefun(c(0, cumsum(D)), c(0, support), "monoH.FC")
+ Dfun <- splinefun(c(0, cumsum(D)), c(0, support), "hyman")
Rfun <- approxfun(support, R[,t], rule=2)
for(i in 1:n.scenarios){
## this is roughtly E(D|D is in ith percentile)
|