diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/TAGS | 225 |
1 files changed, 117 insertions, 108 deletions
@@ -67,52 +67,55 @@ pprep.data62,2268 ssqlstr65,2431 tticker_company75,2868 -./build_portfolios.R,150 +./build_portfolios.R,151 aargs4,38 -hhy2116,450 -ccalibration.date35,959 -gglobal.params38,1031 -ccusipdata40,1112 -ccashspread.discount41,1138 -ccurrdealnames42,1163 +hhy2117,502 +ccalibration.date36,1011 +gglobal.params39,1083 +ccusipdata41,1164 +ccashspread.discount42,1190 +ccurrdealnames43,1215 -./build_scenarios.R,217 +./build_scenarios.R,232 hhostname5,56 aargs12,186 -ccalibration.date45,1201 -ssettledate46,1246 -ccalibration47,1284 -ZZ49,1463 -ww50,1482 -NNgrid53,1529 -ssupport54,1542 -nn.scenarios55,1579 -rrecov.adj56,1598 -pparams57,1613 +hhy2144,1233 +ccalibration.date46,1261 +ssettledate47,1306 +ccalibration48,1344 +ZZ50,1523 +ww51,1542 +NNgrid54,1589 +ssupport55,1602 +nn.scenarios56,1639 +rrecov.adj57,1658 +pparams58,1673 -./calibrate_tranches_BC_et.R,307 -nn.int15,491 -NNgrid17,526 -aalldates19,540 -ddeltasmat21,615 -ggammasmat22,632 -rrhomat23,649 -ddealerdeltamat24,663 -ddurmat25,685 -bbigmat26,699 -ddeltanames34,849 -ggammasmatnames35,946 -rrhonames36,1023 -ddealerdeltanames37,1088 -ddurmatnames38,1195 -bbus.dates40,1262 -bbigmat88,2963 +./calibrate_tranches_BC_et.R,340 +nn.int15,496 +NNgrid17,531 +aalldates19,545 +ddeltasmat21,620 +ggammasmat22,637 +rrhomat23,654 +ddealerdeltamat24,668 +ddurmat25,690 +bbigmat26,704 +ddeltanames34,854 +ggammasmatnames35,951 +rrhonames36,1028 +ddealerdeltanames37,1093 +ddurmatnames38,1200 +bbus.dates40,1267 +kk41,1367 +iindex.name42,1372 +bbigmat89,3145 ./calibration.R,97 bbuildSC9,248 -gget.cdsSchedule20,678 -sset.singlenamesdata29,1051 -sset.tranchedata43,1749 +gget.cdsSchedule20,631 +sset.singlenamesdata33,1118 +sset.tranchedata50,1915 ./cds_functions_generic.R,1430 sabstractcurve18,412 @@ -162,19 +165,19 @@ ccdshazardrate.shaped454,21241 ccdshazardrate464,21628 bbondhazardrate.shaped498,22951 ttweakportfolio527,24101 -iindexpv546,24700 -iindexduration564,25413 -iindexspread570,25647 -pportfoliospread582,26123 -pportfolioduration608,27283 -ttweakcurves613,27508 -ssurvivalProbability1624,27914 -ssurvivalProbability.exact647,28832 -SSP669,29534 -SSPmatrix676,29767 -DDP2692,30331 -SSPmatrix2709,31091 -ccreditcurve.maturity724,31689 +iindexpv551,24785 +iindexduration569,25501 +iindexspread575,25735 +pportfoliospread587,26211 +pportfolioduration613,27371 +ttweakcurves618,27596 +ssurvivalProbability1629,28004 +ssurvivalProbability.exact652,28922 +SSP674,29624 +SSPmatrix681,29857 +DDP2697,30421 +SSPmatrix2714,31181 +ccreditcurve.maturity729,31779 ./cds_utils.R,179 ttoday3,22 @@ -185,7 +188,7 @@ ccouponSchedule49,1574 IIMMDate111,4219 ccdsAccrued134,5203 ccdsMaturity139,5375 -yyearFrac143,5473 +yyearFrac145,5506 ./clopricer.R,272 rrootdir1,0 @@ -325,22 +328,23 @@ sspreadfrombondprice37,1382 ./load_cds_data.R,71 ddownload.cdscurves4,33 -wwrite.tranchedata21,721 -bbbgConn35,1291 +wwrite.tranchedata21,727 +bbbgConn35,1297 -./load_cf.R,252 +./load_cf.R,267 aargs7,122 -ccalibration.date29,747 -ddm32,820 -ssanitize.column33,828 -pprocesszipfiles40,1045 -ggetconfig68,2183 -ggetdealcf78,2518 -ggetcusipcf166,6822 -ccompute.delta226,10027 -ccfdata256,11208 -ccusipdata260,11413 -ssave.dir261,11470 +iindex28,779 +ccalibration.date30,808 +ddm33,881 +ssanitize.column34,889 +pprocesszipfiles41,1106 +ggetconfig69,2244 +ggetdealcf79,2579 +ggetcusipcf167,6883 +ccompute.delta227,10088 +ccfdata257,11270 +ccusipdata261,11475 +ssave.dir262,11532 ./load_futures_data.R,180 bbbgCon11,202 @@ -437,18 +441,18 @@ ttranche.pvvec614,21900 BBClossdist622,22094 BBClossdistC649,23003 BBCtranche.pv660,23579 -BBCtranche.delta682,24471 -EEL739,27481 -EELtrunc748,27922 -BBCstrikes763,28759 -sskewmapping774,29201 -ddelta.factor785,29557 -MMFupdate.prob793,29892 -MMFupdate.probC805,30296 -MMFlossrecovdist.prepay818,30804 -MMFlossdist.joint845,31961 -MMFlossdist.prepay.joint877,33315 -MMFtranche.pv905,34447 +BBCtranche.delta687,24563 +EEL750,27561 +EELtrunc759,28002 +BBCstrikes774,28839 +sskewmapping785,29281 +ddelta.factor796,29637 +MMFupdate.prob804,29972 +MMFupdate.probC816,30376 +MMFlossrecovdist.prepay829,30884 +MMFlossdist.joint856,32041 +MMFlossdist.prepay.joint888,33395 +MMFtranche.pv916,34527 ./LS.R,139 rr1,0 @@ -482,14 +486,16 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -./mlpdb.R,131 +./mlpdb.R,184 ddrv2,21 -ddbCon3,51 -nnameToBasketID6,168 -lload.index12,350 -ccdslist20,757 -aarr.convert26,973 -gget.indexquotes30,1110 +mmlpdbCon3,51 +nnameToBasketID6,171 +lload.index12,367 +ccdslist20,789 +aarr.convert26,1019 +gget.indexquotes34,1330 +iindexsplit43,1737 +gget.tranchequotes52,2059 ./optimization.R,294 "blkdiag4,48 @@ -555,30 +561,33 @@ rrho32,934 QQvec33,946 QQresult47,1342 -./script_calibrate_tranches.R,347 +./script_calibrate_tranches.R,391 aargs6,74 -nn.credit35,841 -NNgrid36,876 -aacc37,902 -bbottomup39,986 -ttopdown40,1002 -nn.int41,1017 -nn.credit42,1030 -eerrvec43,1065 -qquadrature44,1079 -ww45,1107 -ZZ46,1125 -ww.mod47,1143 -pp48,1154 -rrho49,1176 -rresult50,1203 -eerr51,1233 -RRstoch89,2566 -LLw96,2812 -RRw97,2842 -LL98,2872 -RR99,2918 -ddist108,3216 +hhy2120,588 +hhy2132,809 +hhy2133,854 +nn.credit36,917 +NNgrid37,952 +aacc38,978 +bbottomup40,1062 +ttopdown41,1078 +nn.int42,1093 +nn.credit43,1106 +eerrvec44,1141 +qquadrature45,1155 +ww46,1183 +ZZ47,1201 +ww.mod48,1219 +pp49,1230 +rrho50,1252 +rresult51,1279 +eerr52,1309 +RRstoch90,2642 +LLw97,2888 +RRw98,2918 +LL99,2948 +RR100,2994 +ddist109,3292 ./time_of_default.R,364 sspreads1,0 |