diff options
Diffstat (limited to 'R/calibrate_tranches_BC.R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index f9cc6262..1796007e 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -61,7 +61,8 @@ for(i in seq_along(runs$name)){ ig19 = as.Date("2013-05-01"),
ig21 = as.Date("2013-09-26"),
ig23 = as.Date("2014-10-14"),
- hy23 = as.Date("2014-10-16"))
+ hy23 = as.Date("2014-10-16"),
+ xo22 = as.Date("2014-10-20"))
}
if(begin.date > as.Date(args$until)){
next
@@ -72,7 +73,12 @@ for(i in seq_along(runs$name)){ for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
- exportYC(tradedate)
+ if(substr(index.name,1,2) %in% c("xo", "eu")){
+ curr <- "EUR"
+ }else{
+ curr <- "USD"
+ }
+ exportYC(tradedate, curr)
index <- creditIndex(index.name, tenor)
index <- set.index.desc(index, tradedate)
## calibrate the single names curves
|