diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 12cb51f7..7b095924 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -16,7 +16,8 @@ source(file.path(root.dir, "code", "R", "cds_functions_generic.R")) source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"))
-load.index("hy21")
+source(file.path(root.dir, "code", "R", "mlpdb.R"))
+hy21 <- load.index("hy21")
##figure out the tradedate
if(length(args) >= 1){
@@ -28,8 +29,8 @@ if(length(args) >= 1){ exportYC(tradedate)
## calibrate HY21
## calibrate the single names curves
-set.singlenamesdata(hy21, tradedate)
-set.tranchedata(hy21, tradedate)
+hy21 <- set.singlenamesdata(hy21, tradedate)
+hy21 <- set.tranchedata(hy21, tradedate)
## load tranche data
n.credit <- length(hy21$portfolio)
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