diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 7 | ||||
| -rw-r--r-- | R/build_scenarios.R | 2 |
2 files changed, 4 insertions, 5 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 8375ccb1..c4bea6db 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -9,6 +9,8 @@ if(.Platform$OS.type == "unix"){ }
source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
+source(file.path(root.dir, "code", "R", "index_definitions.R"))
+source(file.path(root.dir, "code", "R", "cds_utils.R"))
if(length(args) >=2){
dealnames <- args[-1]
@@ -22,9 +24,6 @@ if(length(args) >=2){ unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
}
-source(file.path(root.dir, "code", "R", "index_definitions.R"))
-source(file.path(root.dir, "code", "R", "cds_utils.R"))
-
if(length(args) >= 1){
workdate <- as.Date(args[1])
}else{
@@ -35,7 +34,7 @@ calibration.date <- prevBusDay(workdate) MarkitData <- getMarkitIRData(calibration.date)
futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
sprintf("futures-%s.csv", calibration.date)), header=F)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+setEvaluationDate(as.Date(MarkitData$deposits$snaptime))
setCalendarContext("UnitedStates/GovernmentBond")
L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index e52d9794..b80f4f29 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -114,7 +114,7 @@ L2m <- buildMarkitYC(MarkitData, dt = 1/6) L3m <- buildMarkitYC(MarkitData)
L6m <- buildMarkitYC(MarkitData, dt = 1/2)
L12m <- buildMarkitYC(MarkitData, dt = 1)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+setEvaluationDate(as.Date(MarkitData$deposits$snaptime))
support <- seq(0, 1, length = Ngrid)
recoverylag <- 90 ##days
|