diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index bb9453b8..697ad998 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -125,6 +125,7 @@ for(i in seq_along(runs$name)){ for(i in seq_along(bus.dates)){
tradedate <- bus.dates[i]
+ cat("calibrating", index.name, tenor, "for", as.character(tradedate), "\n", sep=" ")
exportYC(tradedate)
index <- load.index(index.name, tradedate, tenor, Z, w, Ngrid)
## calibrate the single names curves
@@ -146,7 +147,7 @@ for(i in seq_along(runs$name)){ ELmat[i,] <- -temp$pl*diff(index$K)
save(index, file=file.path(root.dir, "Tranche_data", "Objects",
paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
- print(tradedate)
+ cat("done\n")
}
risk.numbers <- data.frame(deltas, gammas, thetas, rhos, corr01, durations, ELmat)
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