diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 9 |
1 files changed, 6 insertions, 3 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index fae154fd..4e321649 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -117,17 +117,20 @@ for(l in 1:100){ errvec <- c(errvec, err)
## update the new probabilities
- p <- MFupdate.prob(Z, program$weight, rho, defaultprob)
+ p <- MFupdate.probC(Z, program$weight, rho, defaultprob)
errvec <- c(errvec, err)
w.mod <- program$weight
cat(err,"\n")
}
+dist <- BClossdistC(p, issuerweights, recov, rho, Z, w.mod, Ngrid, n.int)
+
write.table(data.frame(Z=Z, w=w.mod),
file=file.path(root.dir, "Scenarios", "Calibration",
paste0("calibration-", workdate, ".csv")),
col.names=T, row.names=F, sep=",")
-save(singlenames.data, hy19, tranche.upf,
+
+save(singlenames.data, hy19, tranche.upf, dist,
file = file.path(root.dir, "Scenarios", "Calibration",
- paste0("marketdata-", workdate, ".RData")))
+ paste0("marketdata-", workdate, ".RData")), compress="xz")
|