diff options
Diffstat (limited to 'R/index_definitions.yml')
| -rw-r--r-- | R/index_definitions.yml | 36 |
1 files changed, 21 insertions, 15 deletions
diff --git a/R/index_definitions.yml b/R/index_definitions.yml index 11fffaae..9dd30d24 100644 --- a/R/index_definitions.yml +++ b/R/index_definitions.yml @@ -1,21 +1,27 @@ hy21: maturity: 17885.0 coupon: 0.05 - factor: 1.0 - loss: 0.0e+00 + factor: 0.99 + loss: 0.00915 recovery: 0.4 + defaulted: + - TXU-Texas hy20: maturity: 17702.0 coupon: 0.05 - factor: 1.0 - loss: 0.0e+00 + factor: 0.99 + loss: 0.00915 recovery: 0.4 + defaulted: + - TXU-Texas hy19: maturity: 17520.0 coupon: 0.05 - factor: 1.0 - loss: 0.0e+00 - recovery: 0.3 + factor: 0.99 + loss: 0.00915 + recovery: 0.4 + defaulted: + - TXU-Texas ig19: maturity: 17520 coupon: 0.01 @@ -25,14 +31,14 @@ ig19: hy18: maturity: 17337.0 coupon: 0.05 - factor: 0.99 - loss: 0.0082375 + factor: 0.98 + loss: 0.0173875 recovery: 0.3 hy17: maturity: 17155.0 coupon: 0.05 - factor: 0.96 - loss: 0.027075 + factor: 0.95 + loss: 0.036225 recovery: 0.3 defaulted: - DYNHLD @@ -42,12 +48,12 @@ hy17: hy15: maturity: 16789.0 coupon: 0.05 - factor: 0.96 - loss: 0.026375 + factor: 0.95 + loss: 0.035525 recovery: 0.3 hy10: maturity: 16606.0 coupon: 0.05 - factor: 0.83 - loss: 0.1414 + factor: 0.82 + loss: 0.1429 recovery: 0.3 |