diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 8ae071d2..bd649db6 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -11,7 +11,7 @@ if(.Platform$OS.type == "unix"){ source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))
if(length(args) >=2){
- dealnames <- args[2:length(args)]
+ dealnames <- args[-1]
}else{
data <- read.table(file.path(root.dir, "scripts", "cusips_to_price.txt"))
dealnames <- dealnamefromcusip(data$V1)
@@ -69,18 +69,17 @@ global.params$defaultbondhazardrate <- 2500 * bps global.params$defaultloanhazardrate <- 2500 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
-global.params$shape <- function(T)0.75+(1-0.75)*(1-exp(-T/5))
+global.params$shape <- function(T)0.5+(1-0.5)*(1-exp(-T/5))
global.params$reinvflag <- TRUE
cusipdata <- cusip.data()
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
-i <- 1
-for(deal.name in dealnames){
+for(i in seq_along(dealnames)){
+ deal.name <- dealnames[i]
if(exists("disablereinvflags")){
global.params$reinvflag <- !disablereinvflags[i]
}
- i <- i+1
if(is.na(deal.name)){
next
}
@@ -88,7 +87,7 @@ for(deal.name in dealnames){ if(is.na(deal.data$"Reinv End Date")){
global.params$reinvflag <- FALSE
}
- if(deal.data$"Curr Collat Bal" < 1 ||is.na(deal.data$maturity)||deal.data$maturity <= today()+90){
+ if(deal.data$"Curr Collat Bal" < 1 ||is.na(deal.data$maturity)||deal.data$maturity <= Sys.Date()+90){
next
}
deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
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