diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 10 |
1 files changed, 4 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index a7c07100..d9546737 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -27,9 +27,8 @@ get.cdsSchedule <- function(tradedate){ } set.singlenamesdata <- function(index, tradedate){ - index.name <- deparse(substitute(index)) singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration", - paste0(index.name, "_singlenames_", tradedate, ".csv"))) + paste0(index$name, "_singlenames_", tradedate, ".csv"))) nondefaulted <- singlenames.data[!singlenames.data$ticker %in% index$defaulted,] cds.cs <- get.cdsSchedule(tradedate) index$portfolio <- list() @@ -38,13 +37,12 @@ set.singlenamesdata <- function(index, tradedate){ } index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) index$recov <- sapply(index$portfolio, attr, "recovery") - assign(index.name, index, envir=parent.env(environment())) + return( index ) } set.tranchedata <- function(index, tradedate){ - index.name <- deparse(substitute(index)) index$tranche.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration", - paste0(index.name, "_tranches_", tradedate, ".csv")), header=TRUE) + paste0(index$name, "_tranches_", tradedate, ".csv")), header=TRUE) index$indexref <- index$tranche.data$bidRefPrice[1]/100 index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", 0.05, 0, tradedate, IMMDate(tradedate, "prev")) @@ -66,5 +64,5 @@ set.tranchedata <- function(index, tradedate){ ## calibrate the tranches using base correlation index$quotes <- cumsum(diff(index$K) * (1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running))) - assign(index.name, index, envir=parent.env(environment())) + return(index) } |