diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index ab86218b..8a1830ed 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -34,7 +34,7 @@ setEvaluationDate(as.Date(MarkitData$effectiveasof)) ## calibrate HY19
## calibrate the single names curves
singlenames.data <- read.csv(file.path(root.dir, "Scenarios", "Calibration",
- paste0("hy19_singlenames_", workdate, ".csv")))
+ paste0("hy19_singlenames_", workdate, ".csv")))
nondefaulted <- singlenames.data[!singlenames.data$ticker %in% hy19$defaulted,]
bps <- 1e-4
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