1 files changed, 126 insertions, 124 deletions
diff --git a/R/TAGS b/R/TAGS
index cd5a079d..0641717a 100644
--- a/R/TAGS
+++ b/R/TAGS
@@ -78,71 +78,71 @@ sdefaultcurve25,806
 sdefaultprepaycurve26,910
 screditcurve27,1005
 sshapedtodpc30,1165
-scouponleg40,1512
-scouponleg,data.frame,flatcurve45,1653
-scouponleg,data.frame,defaultcurve59,2229
-scouponleg,data.frame,defaultprepaycurve79,3179
-kk101,4376
-scouponleg,data.frame,shapedcurve108,4585
-sdcouponleg120,5262
-sdcouponleg,data.frame,flatcurve,missing124,5356
-sdcouponleg,data.frame,defaultcurve,numeric137,5886
-sdcouponleg,data.frame,shapedcurve,missing152,6576
-scdsduration185,8174
-scdsduration,abstractcurve,Date190,8319
-sdefaultleg199,8761
-sdefaultleg,data.frame,flatcurve,numeric204,8915
-sdefaultleg,data.frame,defaultcurve,numeric216,9457
-sdefaultleg,data.frame,defaultprepaycurve,numeric228,10061
-sdefaultleg,data.frame,shapedcurve,numeric244,10943
-sddefaultleg251,11252
-sddefaultleg,data.frame,flatcurve,numeric,missing255,11353
-sddefaultleg,data.frame,defaultcurve,numeric,numeric268,11972
-sddefaultleg,data.frame,shapedcurve,numeric,missing281,12633
-scontingentleg305,13856
-scontingentleg,data.frame,flatcurve,numeric310,14019
-scontingentleg,data.frame,defaultcurve,numeric323,14654
-scontingentleg,data.frame,defaultprepaycurve,numeric335,15278
-scontingentleg,data.frame,shapedcurve,numeric352,16267
-sdcontingentleg359,16584
-sdcontingentleg,data.frame,defaultcurve,numeric,numeric363,16691
-sdcontingentleg,data.frame,defaultcurve,numeric,missing377,17428
-sdcontingentleg,data.frame,shapedcurve,numeric,missing391,18133
-ccdspv409,19140
-ccdsspread413,19243
-ddcdspv420,19529
-bbondpv428,19767
-ddbondpv432,19872
-ccdshazardrate.flat440,20117
-ccdshazardrate.shaped452,20598
-ccdshazardrate462,20989
-bbondhazardrate.shaped493,22190
-ttweakportfolio522,23262
-iindexpv541,23861
-iindexduration552,24428
-iindexspread558,24662
-pportfoliospread570,25138
-pportfolioduration596,26298
-ttweakcurves601,26523
-ssurvivalProbability1612,26919
-ssurvivalProbability.exact635,27837
-SSP657,28539
-SSPmatrix664,28751
-DDP2681,29399
-SSPmatrix2698,30159
-ccreditcurve.maturity713,30757
+scouponleg40,1533
+scouponleg,data.frame,flatcurve45,1674
+scouponleg,data.frame,defaultcurve59,2254
+scouponleg,data.frame,defaultprepaycurve79,3206
+kk101,4405
+scouponleg,data.frame,shapedcurve108,4614
+sdcouponleg120,5306
+sdcouponleg,data.frame,flatcurve,missing124,5400
+sdcouponleg,data.frame,defaultcurve,numeric137,5955
+sdcouponleg,data.frame,shapedcurve,missing152,6670
+scdsduration185,8293
+scdsduration,abstractcurve,Date190,8438
+sdefaultleg199,8912
+sdefaultleg,data.frame,flatcurve,numeric204,9066
+sdefaultleg,data.frame,defaultcurve,numeric216,9631
+sdefaultleg,data.frame,defaultprepaycurve,numeric228,10258
+sdefaultleg,data.frame,shapedcurve,numeric244,11141
+sddefaultleg251,11474
+sddefaultleg,data.frame,flatcurve,numeric,missing255,11580
+sddefaultleg,data.frame,defaultcurve,numeric,numeric268,12222
+sddefaultleg,data.frame,shapedcurve,numeric,missing281,12906
+scontingentleg305,14152
+scontingentleg,data.frame,flatcurve,numeric310,14315
+scontingentleg,data.frame,defaultcurve,numeric323,14950
+scontingentleg,data.frame,defaultprepaycurve,numeric335,15595
+scontingentleg,data.frame,shapedcurve,numeric352,16582
+sdcontingentleg359,16912
+sdcontingentleg,data.frame,defaultcurve,numeric,numeric363,17024
+sdcontingentleg,data.frame,defaultcurve,numeric,missing377,17782
+sdcontingentleg,data.frame,shapedcurve,numeric,missing391,18508
+ccdspv409,19536
+ccdsspread414,19703
+ddcdspv421,19985
+bbondpv430,20311
+ddbondpv434,20462
+ccdshazardrate.flat442,20764
+ccdshazardrate.shaped454,21241
+ccdshazardrate464,21628
+bbondhazardrate.shaped498,23002
+ttweakportfolio527,24152
+iindexpv546,24751
+iindexduration564,25561
+iindexspread570,25795
+pportfoliospread582,26271
+pportfolioduration608,27431
+ttweakcurves613,27656
+ssurvivalProbability1624,28056
+ssurvivalProbability.exact647,28974
+SSP669,29676
+SSPmatrix676,29888
+DDP2693,30532
+SSPmatrix2710,31292
+ccreditcurve.maturity725,31890
 
-./cds_utils.R,208
+./cds_utils.R,201
 ttoday3,22
 aaddBusDay7,62
 cconvertTenor11,259
 aaddTenor31,937
-ccreditSchedule50,1669
-ccouponSchedule74,2532
-nnextIMMDate133,4977
-ccdsMaturity142,5311
-yyearFrac163,5986
-lload.index169,6218
+ccouponSchedule50,1669
+IIMMDate109,4139
+ccdsAccrued134,5176
+ccdsMaturity139,5348
+yyearFrac160,6023
+lload.index166,6255
 
 ./clopricer.R,272
 rrootdir1,0
@@ -234,15 +234,15 @@ ffithazardrate136,5210
 sstackcurve148,5673
 bbuildSC.matured174,6911
 bbuildSC186,7382
-bbuildSC.portfolio251,10623
-ccdrfromscenarios279,12171
-rrecoveryfromscenarios289,12559
-rrecoveryfromscenarios.fast314,13532
-sseverityfromscenarios320,13734
-gget.reinvassets338,14426
-ggetdealschedule351,14847
-iintexportfolio.forwardprice372,15702
-ccompute.reinvprices402,17319
+bbuildSC.portfolio251,10656
+ccdrfromscenarios279,12204
+rrecoveryfromscenarios289,12592
+rrecoveryfromscenarios.fast314,13565
+sseverityfromscenarios320,13767
+gget.reinvassets338,14459
+ggetdealschedule351,14880
+iintexportfolio.forwardprice372,15735
+ccompute.reinvprices402,17352
 
 ./latestprices.R,453
 cconn2,15
@@ -312,9 +312,9 @@ ggetconfig77,2763
 ggetdealcf87,3098
 ggetcusipcf164,6722
 ccompute.delta224,9927
-ccfdata254,11112
-ccusipdata258,11317
-ssave.dir259,11374
+ccfdata254,11108
+ccusipdata258,11313
+ssave.dir259,11370
 
 ./load_futures_data.R,180
 bbbgCon11,202
@@ -436,49 +436,51 @@ rrho32,934
 QQvec33,946
 QQresult47,1342
 
-./script_calibrate_tranches.R,740
-aargs5,66
-ffuturequotes27,672
-MMarkitData30,852
-LL1m31,893
-LL2m32,955
-LL3m33,1016
-LL6m34,1068
-ssinglenames.data40,1288
-nnondefaulted42,1453
-bbps43,1533
-ccdsdates45,1546
-hhy21portfolio50,1681
-iissuerweights62,2198
-KK65,2289
-KKmodified66,2320
-mmarkit.data67,2379
-ttranche.upf70,2532
-ttranche.running71,2563
-hhy21portfolio.tweaked74,2676
-SSurvProb75,2745
-NNgrid77,2796
-rrecov78,2832
-ccs79,2889
-bbottomup86,3282
-ttopdown87,3298
-nn.int88,3313
-nn.credit89,3326
-eerrvec90,3360
-qquadrature91,3374
-ww92,3421
-ZZ93,3445
-ww.mod94,3467
-ddefaultprob95,3478
-pp96,3506
-rrho97,3523
-rresult99,3551
-RRstoch136,4783
-LLw143,5003
-RRw144,5033
-LL145,5063
-RR146,5104
-ddist155,5382
+./script_calibrate_tranches.R,768
+aargs4,52
+ffuturequotes26,658
+MMarkitData29,838
+LL1m30,879
+LL2m31,941
+LL3m32,1002
+LL6m33,1054
+ssinglenames.data39,1274
+nnondefaulted41,1439
+bbps42,1519
+ccdsdates44,1532
+hhy21portfolio49,1667
+iissuerweights61,2184
+KK64,2275
+KKmodified65,2306
+mmarket.data66,2365
+ttranche.upf69,2518
+ttranche.running70,2549
+hhy21portfolio.tweaked73,2662
+SSurvProb74,2731
+NNgrid76,2782
+rrecov77,2818
+ccs78,2875
+aacc79,2992
+bbottomup81,3076
+ttopdown82,3092
+nn.int83,3107
+nn.credit84,3120
+eerrvec85,3154
+qquadrature86,3168
+ww87,3215
+ZZ88,3239
+ww.mod89,3261
+ddefaultprob90,3272
+pp91,3300
+rrho92,3317
+rresult94,3345
+eerr95,3375
+RRstoch132,4595
+LLw139,4815
+RRw140,4845
+LL141,4875
+RR142,4916
+ddist151,5194
 
 ./test.cds_functions.R,341
 rroot2,17
@@ -578,15 +580,15 @@ ttranche.pvvec665,24807
 BBClossdist673,25001
 BBClossdistC700,25939
 BBCtranche.pv715,26725
-BBCtranche.delta741,27845
-BBCstrikes769,29302
-ddelta.factor779,29705
-MMFupdate.prob787,30040
-MMFupdate.probC799,30444
-MMFlossrecovdist.prepay817,31209
-MMFlossdist.joint844,32366
-MMFlossdist.prepay.joint876,33720
-MMFtranche.pv904,34852
+BBCtranche.delta741,27841
+BBCstrikes769,29298
+ddelta.factor779,29701
+MMFupdate.prob787,30036
+MMFupdate.probC799,30440
+MMFlossrecovdist.prepay817,31205
+MMFlossdist.joint844,32362
+MMFlossdist.prepay.joint876,33716
+MMFtranche.pv904,34848
 
 ./transactions.R,98
 ttransdir1,0