1 files changed, 223 insertions, 184 deletions
diff --git a/R/TAGS b/R/TAGS
index ab972c50..3158efa8 100644
--- a/R/TAGS
+++ b/R/TAGS
@@ -82,67 +82,50 @@ ccusipdata42,1204
 ccashspread.discount43,1230
 ccurrdealnames44,1255
 
-./build_scenarios.R,234
-hhostname5,56
-aargs12,186
-ccode.dir19,353
-ccalibration.date41,961
-ssettledate42,1006
-ccalibration43,1044
-ZZ45,1223
-ww46,1242
-NNgrid49,1289
-ssupport50,1302
-nn.scenarios51,1339
-rrecov.adj52,1358
-pparams53,1373
+./build_scenarios.R,235
+hhostname4,35
+aargs11,165
+ccode.dir18,332
+ccalibration.date38,1004
+ssettledate39,1049
+ccalibration40,1087
+ZZ42,1266
+ww43,1285
+NNgrid46,1332
+ssupport47,1345
+nn.scenarios48,1382
+rrecov.adj49,1401
+pparams50,1416
 
-./calibrate_tranches_BC_et.R,395
-nn.int15,425
-NNgrid17,484
-uupdateflag20,524
-ttenor21,544
-iindex.name22,559
-aalldates23,580
-bbus.dates24,654
-nn.tranches27,803
-qquotes32,865
-ttranche.names43,1293
-AAttach46,1475
-iindexEL48,1533
-iindexTheta49,1570
-ddeltas50,1610
-ggammas51,1661
-tthetas52,1712
-rrhos53,1763
-ccorr0154,1812
-ddurations55,1863
-EELmat56,1917
-rrisk.numbers85,3129
-ddata93,3487
+./calibrate_tranches_BC_et.R,72
+ttenor24,663
+iindex.name25,678
+aalldates26,699
+bbus.dates27,773
 
-./calibrate_tranches_BC.R,35
+./calibrate_tranches_BC.R,50
 ooption_list12,321
-aargs21,880
+aargs22,914
+ccmd115,4789
 
-./calibrate_tranches_MF.R,106
-aargs5,69
-ccode.dir13,233
-iindex32,889
-iindex33,925
-iindex34,967
-iindex36,1035
-ddist39,1162
+./calibrate_tranches_MF.R,109
+aargs5,54
+ccode.dir17,365
+iindex36,1021
+iindex37,1057
+iindex38,1099
+iindex40,1167
+ddist43,1294
 
 ./calibration.R,141
 bbuildSC3,35
 gget.cdsSchedule14,418
-sset.singlenamesdata27,918
-sset.tranchedata52,2173
-bbuild.skew105,4655
-bbuild.MFdist137,6102
+sset.singlenamesdata24,836
+sset.tranchedata55,2281
+bbuild.skew107,4626
+bbuild.MFdist139,6073
 
-./cds_functions_generic.R,1451
+./cds_functions_generic.R,1544
 sabstractcurve12,258
 sflatcurve14,310
 sshapedcurve17,498
@@ -157,53 +140,69 @@ scouponleg73,3052
 kk95,4251
 scouponleg102,4460
 sdcouponleg114,5152
-sdcouponleg118,5246
-sdcouponleg131,5801
-sdcouponleg146,6516
-scdsduration179,8139
-scdsduration184,8284
-sdefaultleg193,8758
-sdefaultleg198,8912
-sdefaultleg210,9477
-sdefaultleg222,10104
-sdefaultleg238,10987
-sddefaultleg245,11320
-sddefaultleg249,11426
-sddefaultleg262,12068
-sddefaultleg275,12752
-scontingentleg299,13998
-scontingentleg304,14161
-scontingentleg317,14796
-scontingentleg329,15441
-scontingentleg346,16428
-sdcontingentleg353,16758
-sdcontingentleg357,16870
-sdcontingentleg371,17628
-sdcontingentleg385,18354
-ccdspv403,19382
-ccdsspread408,19549
-ddcdspv415,19831
-bbondpv424,20157
-ddbondpv428,20308
-ccdshazardrate.flat436,20610
-ccdshazardrate.shaped448,21087
-ccdshazardrate458,21474
-bbondhazardrate.shaped492,22797
-ttweakportfolio521,23947
-iindexpv541,24665
-iindexduration580,26347
-iindexspread586,26576
-iindextheta599,27077
-pportfoliospread609,27438
-pportfolioduration635,28598
-ttweakcurves640,28823
-ssurvivalProbability1660,29652
-ssurvivalProbability.exact683,30570
-SSP705,31272
-SSPmatrix712,31505
-DDP2728,32069
-SSPmatrix2745,32829
-ccreditcurve.maturity762,33515
+sdcouponleg118,5250
+sdcouponleg131,5802
+sdcouponleg146,6514
+scdsduration179,8134
+scdsduration184,8279
+scdsspread196,8938
+scdsspread201,9090
+sdefaultleg215,9832
+sdefaultleg220,9986
+sdefaultleg232,10551
+sdefaultleg244,11178
+sdefaultleg260,12046
+sddefaultleg267,12379
+sddefaultleg271,12489
+sddefaultleg284,13128
+sddefaultleg297,13809
+scontingentleg321,15052
+scontingentleg326,15215
+scontingentleg339,15850
+scontingentleg351,16495
+scontingentleg368,17482
+sdcontingentleg375,17812
+sdcontingentleg379,17935
+sdcontingentleg393,18701
+sdcontingentleg407,19435
+ccdspv425,20471
+ccds.parspread430,20638
+ddcds.parspread438,20958
+ssnacpv447,21302
+ddcdspv460,21880
+bbondpv469,22206
+ddbondpv473,22357
+ccdshazardrate.flat481,22659
+ccdshazardrate.shaped496,23330
+ccdshazardrate506,23717
+bbondhazardrate.shaped540,25040
+ttweakportfolio569,26200
+iindexpv589,26918
+iindexduration628,28600
+iindexspread636,28935
+iindextheta649,29436
+pportfoliospread659,29797
+pportfolioduration685,31001
+ttweakcurves690,31226
+ssurvivalProbability1710,32055
+ssurvivalProbability.exact733,32973
+SSP755,33675
+SSPmatrix762,33908
+DDP2778,34472
+SSPmatrix2795,35232
+ccreditcurve.maturity812,35918
+
+./cds_tester.R,172
+ccurrency6,93
+bbasedir7,111
+ddownload.grids8,151
+ggrids17,567
+ff18,589
+ffilename19,603
+ccon20,643
+ddata21,687
+ccouponleg239,1435
+pprotectionleg247,1647
 
 ./cds_utils.R,179
 ttoday3,22
@@ -211,10 +210,10 @@ aaddBusDay7,62
 cconvertTenor11,238
 aaddTenor31,916
 ccouponSchedule49,1574
-IIMMDate113,4254
-ccdsAccrued139,5220
-ccdsMaturity144,5392
-yyearFrac150,5523
+IIMMDate115,4442
+ccdsAccrued141,5408
+ccdsMaturity146,5580
+yyearFrac152,5711
 
 ./clopricer.R,272
 rrootdir1,0
@@ -299,32 +298,32 @@ cclipr107,2749
 ssclipr111,2798
 iinverse115,2865
 
-./intex_deal_functions.R,679
-hhostname8,127
-ggetdealdata18,309
-ggetcollateral32,1092
-llistdealnames42,1425
-ccusip.data47,1579
-rrecovery59,2029
-ddealnamefromcusip79,2815
-ccusipsfromdealnames87,3076
-ffithazardrate.fast94,3340
-vvanillabondprice106,3872
-ddvanillabondprice121,4544
-ffithazardrate129,4896
-sstackcurve141,5359
-bbuildSC.matured167,6597
-bbuildSC179,7068
-bbuildSC.portfolio247,10397
-ccdrfromscenarios275,11943
-rrecoveryfromscenarios285,12331
-rrecoveryfromscenarios.fast310,13304
-sseverityfromscenarios316,13506
-gget.reinvassets334,14198
-ggetpayday347,14619
-ggetdealschedule366,15326
-iintexportfolio.forwardprice385,15999
-ccompute.reinvprices415,17616
+./intex_deal_functions.R,678
+hhostname7,98
+ggetdealdata17,280
+ggetcollateral31,1063
+llistdealnames41,1396
+ccusip.data46,1550
+rrecovery58,2000
+ddealnamefromcusip78,2786
+ccusipsfromdealnames86,3047
+ffithazardrate.fast93,3311
+vvanillabondprice105,3843
+ddvanillabondprice120,4515
+ffithazardrate128,4867
+sstackcurve140,5330
+bbuildSC.matured166,6568
+bbuildSC178,7039
+bbuildSC.portfolio246,10368
+ccdrfromscenarios273,11913
+rrecoveryfromscenarios283,12301
+rrecoveryfromscenarios.fast308,13274
+sseverityfromscenarios314,13476
+gget.reinvassets332,14168
+ggetpayday345,14589
+ggetdealschedule364,15296
+iintexportfolio.forwardprice383,15969
+ccompute.reinvprices413,17586
 
 ./latestprices.R,453
 cconn2,15
@@ -380,21 +379,22 @@ ddrv48,2133
 ddbCon49,2163
 hhy1752,2290
 
-./load_cf.R,281
+./load_cf.R,297
 aargs7,122
-iindex29,843
-iindex30,872
-ccalibration.date32,915
-ddm35,988
-ssanitize.column36,996
-pprocesszipfiles43,1213
-ggetconfig71,2351
-ggetdealcf81,2686
-ggetcusipcf163,6560
-ccompute.delta224,9807
-ccfdata252,10956
-ccusipdata256,11161
-ssave.dir257,11218
+iindex30,907
+iindex31,936
+ccalibration.date33,979
+ccs35,1051
+ddm37,1151
+ssanitize.column38,1159
+pprocesszipfiles45,1376
+ggetconfig73,2514
+ggetdealcf83,2849
+ggetcusipcf164,6767
+ccompute.delta229,10231
+ccfdata260,11448
+ccusipdata264,11653
+ssave.dir265,11710
 
 ./load_futures_data.R,180
 bbbgCon11,202
@@ -445,7 +445,7 @@ lloan.data268,2110
 mmaturities69,2170
 ttest270,2222
 
-lossdistrib/R/tranche_functions.R,850
+lossdistrib/R/distrib.R,850
 GGHquad25,1100
 llossdistrib44,1729
 llossdistrib.fft68,2578
@@ -511,23 +511,48 @@ llevdist34,1737
 rratio35,1796
 iindex36,1877
 
+./new_index_series.R,406
+ddrv3,35
+ddbCon4,65
+bbbgConn7,192
+nnewbasketID10,320
+iindextype16,590
+ooldseries17,608
+nnewseries18,624
+nnewid19,640
+ooldindex22,681
+nnewindex23,780
+ooldtickers24,879
+ttickers25,906
+ddata27,931
+oolddata28,1039
+ddata29,1153
+uunique.tickers30,1182
+ccdscurves31,1275
+ccurves32,1352
+pprep.data33,1432
+nnewrowids35,1602
+nnewids36,1697
+ssqlstr37,1788
+ssqlstr47,2214
+
 ./optimization.R,294
-"blkdiag4,48
-llinfit16,379
-llinfit138,1103
-llinfit262,1964
-mminfit88,2853
-qquadfit108,3309
-KKLfit159,4973
-KKLfitmod210,6490
-KKLfit2258,7910
-ssolveKKT307,9006
-llmconst320,9286
-ccleancdf381,10754
-pposls398,11306
-iinvchol421,11770
-ssolveswm429,11917
-nnorm438,12136
+"blkdiag3,33
+llinfit15,364
+llinfit138,1107
+llinfit262,1986
+mminfit88,2893
+qquadfit108,3349
+KKLfit159,5013
+KKLfitmod210,6530
+KKLfit2258,7950
+ssolveKKT307,9046
+llmconst320,9366
+ccleancdf377,11251
+pposls395,11899
+iinvchol418,12482
+ssolveswm426,12641
+nnorm435,12879
 
 ./parse_intex.R,138
 rroot1,0
@@ -575,7 +600,7 @@ rrho32,934
 QQvec33,946
 QQresult47,1342
 
-./serenitasdb.R,192
+./serenitasdb.R,219
 ddrv2,21
 sserenitasdb3,51
 nnameToBasketID6,190
@@ -585,6 +610,7 @@ aarr.convert32,1247
 gget.indexquotes40,1558
 iindexsplit49,1968
 gget.tranchequotes58,2290
+ccouponfromindex110,4676
 
 ./time_of_default.R,364
 sspreads1,0
@@ -632,27 +658,40 @@ BBCtranche.legs119,3810
 BBCtranche.pv138,4660
 MMFtranche.pv165,5543
 aadjust.skew184,6111
-ttheta.adjust.skew233,7878
-BBCtranche.theta242,8229
-BBCtranche.delta259,8922
-MMFtranche.delta291,10296
-BBCtranche.corr01324,11672
-EEL332,11993
-BBCindex.pv347,12690
-EELtrunc365,13458
-PProbtrunc373,13878
-BBCstrikes382,14185
-ttranche.factor393,14509
-MMFupdate.prob399,14739
-MMFlossrecovdist.prepay412,15205
-MMFlossdist.joint439,16362
-MMFlossdist.prepay.joint471,17716
-MMFrecovery498,18851
-MMFlossdist512,19369
+ttheta.adjust.skew239,7900
+BBCtranche.theta248,8251
+BBCtranche.delta260,8796
+MMFtranche.delta292,10170
+BBCtranche.corr01325,11546
+EEL333,11867
+BBCindex.pv348,12564
+EELtrunc366,13332
+PProbtrunc374,13752
+BBCstrikes383,14059
+ttranche.factor394,14383
+MMFupdate.prob400,14613
+MMFlossrecovdist.prepay413,15079
+MMFlossdist.joint440,16236
+MMFlossdist.prepay.joint472,17590
+MMFrecovery499,18725
+MMFlossdist513,19243
+
+./tranches_RV_BC_et.R,202
+nname146,2011
+nname247,2025
+ttenor148,2039
+ttenor249,2053
+aalldates50,2067
+bbus.dates51,2141
+ index.name154,2263
+	index.name255,2289
+	tenor156,2312
+	tenor257,2331
+ filename58,2350
 
 ./tranches_RV_BC.R,36
 ooption_list11,282
-aargs25,1053
+aargs25,1071
 
 ./transactions.R,98
 ttransdir1,0
@@ -667,9 +706,9 @@ iinput3,70
 ttop4,132
 ttable5,154
 
-./yieldcurve.R,110
+./yieldcurve.R,109
 ggetMarkitIRData9,154
-tthirdwed43,1638
-nnextthirdwed49,1763
-bbuildMarkitYC54,1848
-eexportYC100,4205
+tthirdwed43,1657
+nnextthirdwed49,1782
+bbuildMarkitYC54,1867
+eexportYC95,3420