diff options
Diffstat (limited to 'R/build_scenarios.R')
| -rw-r--r-- | R/build_scenarios.R | 19 |
1 files changed, 10 insertions, 9 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 67e1ffca..c5225059 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -180,24 +180,25 @@ for(j in seq_along(dealnames)){ coupon <- reinvfixed
}
##reinvest tweak
- coupon <- coupon-0.01
-
- ## reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly), .combine=c) %dopar% {
- ## 100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
- ## min(date+rollingmaturity*30, deal.data$maturity),
- ## asset$coupontype, coupon, asset$liborfloor/100)
+ #coupon <- coupon-0.01
reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly), .combine=c) %dopar% {
- 100 * forwardportfolioprice(deal.portfolio, date,
+ 100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
min(date+rollingmaturity*30, deal.data$maturity),
- asset$coupontype, coupon, asset$liborfloor/100)
+ asset$coupontype, coupon, asset$liborfloor/100)
}
+ ## reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly), .combine=c) %dopar% {
+ ## 100 * forwardportfolioprice(deal.portfolio, date,
+ ## min(date+rollingmaturity*30, deal.data$maturity),
+ ## asset$coupontype, coupon, asset$liborfloor/100)
+ ## }
## for(i in seq_along(deal.datesmonthly)){
## date <- deal.datesmonthly[i]
## reinvprices[[assetname]] <-
- ## 100 * forwardportfolioprice(cdrmonthly.dt, recoverymonthly.dt, date,
+ ## 100 * forwardportfolioprice2(cdrmonthly.dt, recoverymonthly.dt, date,
## min(date+rollingmaturity*30, deal.data$maturity),
## asset$coupontype, coupon, asset$liborfloor/100)
+ ## }
}
}
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