diff options
Diffstat (limited to 'R/index_definitions.R')
| -rw-r--r-- | R/index_definitions.R | 24 |
1 files changed, 24 insertions, 0 deletions
diff --git a/R/index_definitions.R b/R/index_definitions.R new file mode 100644 index 00000000..71c61688 --- /dev/null +++ b/R/index_definitions.R @@ -0,0 +1,24 @@ +hy19 <- list(maturity=as.Date("2017-12-20"),
+ coupon=0.05,
+ factor=1,
+ loss=0,
+ recovery=0.3)
+
+hy18 <- list(maturity=as.Date("2017-06-20"),
+ coupon=0.05,
+ factor=0.99,
+ loss=0.0082375,
+ recovery=0.3)
+
+hy17 <- list(maturity=as.Date("2016-12-20"),
+ coupon=0.05,
+ factor=0.96,
+ loss=0.027075,
+ recovery=0.3,
+ defaulted=c("DYNHLD", "EK", "GM-ResCLLC", "PMI"))
+
+hy15 <- list(maturity=as.Date("2015-12-20"),
+ coupon=0.05,
+ factor=0.96,
+ loss=0.026375,
+ recovery=0.3)
|