1 files changed, 44 insertions, 50 deletions
diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R
index badfba76..aa2c49bf 100644
--- a/R/calibrate_tranches_MF.R
+++ b/R/calibrate_tranches_MF.R
@@ -1,50 +1,44 @@
-#!/usr/bin/Rscript
-require(methods)
-library(logging)
-
-args <- commandArgs(trailingOnly=TRUE)
-
-if(.Platform$OS.type == "unix"){
-  root.dir <- "/home/share/CorpCDOs"
-}else{
-  root.dir <- "//WDSENTINEL/share/CorpCDOs"
-}
-
-basicConfig()
-removeHandler('basic.stdout')
-addHandler(writeToFile, file=file.path(root.dir, "logs", "calibrate_tranches_MF.log"))
-##options(warn=2)
-code.dir <- if(Sys.getenv("CODE_DIR")!="") Sys.getenv("CODE_DIR") else root.dir
-
-source(file.path(code.dir, "code", "R", "yieldcurve.R"))
-source(file.path(code.dir, "code", "R", "optimization.R"))
-source(file.path(code.dir, "code", "R", "calibration.R"), chdir=TRUE)
-source(file.path(code.dir, "code", "R", "serenitasdb.R"))
-source(file.path(code.dir, "code", "R", "creditIndex.R"))
-source(file.path(code.dir, "code", "R", "tranche_functions.R"))
-
-##figure out the tradedate
-if(length(args) >= 1){
-  tradedate <- as.Date(args[1])
-}else{
-  tradedate <- addBusDay(Sys.Date(), -1)
-}
-
-exportYC(tradedate)
-## calibrate HY25
-## calibrate the single names curves
-index <- creditIndex("hy27", "5yr")
-index <- set.index.desc(index, tradedate)
-index <- set.singlenamesdata(index, tradedate)
-## load tranche data
-index <- set.tranchedata(index, tradedate)
-##calibrate by modifying the factor distribution
-index$w.mod <- build.MFdist(index)
-dist <- MFlossdist(index)
-write.table(data.frame(Z=index$Z, w=index$w.mod),
-            file=file.path(root.dir, "Scenarios", "Calibration",
-            paste0("calibration-", tradedate, ".csv")),
-            col.names=T, row.names=F, sep=",")
-
-save(index, dist, file = file.path(root.dir, "Scenarios", "Calibration",
-                     paste0("marketdata-", tradedate, ".RData")), compress="xz")
+#!/usr/bin/Rscript
+require(methods)
+library(logging)
+
+args <- commandArgs(trailingOnly=TRUE)
+
+basicConfig()
+removeHandler('basic.stdout')
+addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_MF.log"))
+##options(warn=2)
+code.dir <- Sys.getenv("CODE_DIR")
+data.dir <- file.path(Sys.getenv("DATA_DIR"), "..", "Scenarios", "Calibration")
+source(file.path(code.dir, "R", "yieldcurve.R"))
+source(file.path(code.dir, "R", "optimization.R"))
+source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE)
+source(file.path(code.dir, "R", "serenitasdb.R"))
+source(file.path(code.dir, "R", "creditIndex.R"))
+source(file.path(code.dir, "R", "tranche_functions.R"))
+
+##figure out the tradedate
+if(length(args) >= 1){
+  tradedate <- as.Date(args[1])
+}else{
+  tradedate <- addBusDay(Sys.Date(), -1)
+}
+
+exportYC(tradedate)
+## calibrate HY25
+## calibrate the single names curves
+index <- creditIndex("hy27", "5yr")
+index <- set.index.desc(index, tradedate)
+index <- set.singlenamesdata(index, tradedate)
+## load tranche data
+index <- set.tranchedata(index, tradedate)
+##calibrate by modifying the factor distribution
+index$w.mod <- build.MFdist(index)
+dist <- MFlossdist(index)
+write.table(data.frame(Z=index$Z, w=index$w.mod),
+            file=file.path(data.dir,
+            paste0("calibration-", tradedate, ".csv")),
+            col.names=T, row.names=F, sep=",")
+
+save(index, dist, file = file.path(data.dir,
+                     paste0("marketdata-", tradedate, ".RData")), compress="xz")