diff options
Diffstat (limited to 'R/calibrate_tranches_BC.R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 16 |
1 files changed, 8 insertions, 8 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index a1ccc1b9..64aad871 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -30,8 +30,8 @@ if(!interactive()){ ## args <- list(config=yaml::yaml.load_file(file.path(code.dir, "etc", "runs.yml")), ## until = Sys.Date()-1, ## update = TRUE) - args <- list(update=TRUE, until = Sys.Date()-1) - config <- list(runs=list(c("hy21", "3yr"))) + args <- list(update = F, until = Sys.Date()-1) + config <- list(runs = list(c("hy29", "5yr"))) options(error=recover) } @@ -63,7 +63,7 @@ for(run in config$runs) { hy23 = as.Date("2014-10-16"), hy25 = as.Date("2015-10-01"), hy27 = as.Date("2016-10-04"), - hy29 = as.Date("2016-10-03"), + hy29 = as.Date("2017-10-03"), ig9 = as.Date("2013-01-01"), ig19 = as.Date("2013-05-01"), ig21 = as.Date("2013-09-26"), @@ -112,7 +112,7 @@ for(run in config$runs) { } temp <- BCindex.pv(index) index$EL <- -temp$pl - index$duration <- temp$cl-cdsAccrued(tradedate, 1) + index$duration <- temp$cl - cdsAccrued(tradedate, 1) index$theta <- indextheta(index, tradedate) ## calibrate the tranches using base correlation @@ -130,7 +130,7 @@ for(run in config$runs) { temp <- BCtranche.pv(index, protection=TRUE) index$tranches$duration <- (temp$cl-cdsAccrued(tradedate, index$tranches$running))/index$tranches$running - index$tranches$EL <- -temp$pl*diff(index$K) + index$tranches$EL <- -temp$pl * diff(index$K) ## save the index object save(index, file=file.path(tranchedata.dir, "Objects", @@ -141,9 +141,9 @@ for(run in config$runs) { cat(csvheaders(index), sep="\n", file=filename) } cat(tocsv(index), sep="\n", file=filename, append=TRUE) - r <- with(tosql(index), - tryCatch(dbGetQuery(serenitasdb, stmt, params), - error = function(e) logerror(e$message))) + tryCatch(dbWriteTable(serenitasdb, "risk_numbers_new", + as.data.frame(index), append=TRUE), + error = function(e) logerror(e$message)) loginfo("done") } } |