diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/TAGS | 175 |
1 files changed, 92 insertions, 83 deletions
@@ -33,46 +33,47 @@ ffixed.rebal82,2166 mmemb94,2436 ttickerslist109,2847 -./build_portfolios.R,233 +./build_portfolios.R,265 aargs3,22 -ccalibration.date34,904 -MMarkitData35,945 -ffuturequotes36,993 -LL1m40,1256 -LL2m41,1318 -LL3m42,1379 -LL6m44,1432 -LL12m45,1493 -bbps47,1554 -gglobal.params48,1566 -ccusipdata74,2689 -ccurrdealnames76,2716 +ccalibration.date34,971 +MMarkitData35,1012 +ffuturequotes36,1060 +LL1m40,1323 +LL2m41,1385 +LL3m42,1446 +LL6m43,1498 +LL12m44,1559 +bbps46,1620 +gglobal.params47,1632 +ccusipdata73,2755 +ccashspread.discount74,2781 +ccurrdealnames75,2806 -./build_scenarios.R,495 -hhostname2,20 -aargs9,150 -gget.reinvassets40,1049 -cconvert.reinvtoperct51,1432 -ccompute.reinvprices63,1728 -ccalibration.date104,3247 -ccalibration105,3288 -ZZ107,3467 -ww108,3486 -NNgrid110,3506 -MMarkitData111,3519 -LL1m112,3567 -LL2m113,3611 -LL3m114,3654 -LL6m115,3688 -LL12m116,3731 -ssupport119,3827 -rrecoverylag120,3864 -rreinvspread123,3966 -rreinvfixed124,3986 -bbasecase.rollingmaturity125,4005 -rreinvlag126,4045 -nn.scenarios127,4068 -rrecov.adj128,4087 +./build_scenarios.R,496 +hhostname3,34 +aargs10,164 +gget.reinvassets41,1063 +cconvert.reinvtoperct54,1482 +ccompute.reinvprices66,1778 +ccalibration.date107,3299 +ccalibration108,3340 +ZZ110,3519 +ww111,3538 +NNgrid113,3558 +MMarkitData114,3571 +LL1m115,3619 +LL2m116,3663 +LL3m117,3706 +LL6m118,3740 +LL12m119,3783 +ssupport122,3879 +rrecoverylag123,3916 +rreinvspread126,4018 +rreinvfixed127,4038 +bbasecase.rollingmaturity128,4057 +rreinvlag129,4097 +nn.scenarios130,4120 +rrecov.adj131,4139 ./build_SC.R,345 MMarkitData13,298 @@ -97,7 +98,7 @@ ccl90,3075 ssupport92,3218 uuseCluster94,3254 -./cds_functions_generic.R,2169 +./cds_functions_generic.R,2196 sabstractcurve18,412 sflatcurve20,464 sshapedcurve23,652 @@ -144,21 +145,22 @@ ccdshazardrate.flat440,20117 ccdshazardrate.shaped452,20598 ccdshazardrate462,20989 bbondhazardrate.shaped493,22163 -iindexpv522,23235 -iindexduration542,24062 -iindexspread548,24289 -pportfoliospread560,24762 -pportfolioduration582,25841 -ttweakcurves590,26109 -ssurvivalProbability1604,26596 -ssurvivalProbability.exact627,27514 -SSP649,28216 -SSPmatrix657,28429 -DDP2674,29077 -ggetdealschedule691,29837 -SSPmatrix2716,30853 -fforwardportfolioprice730,31411 -ccreditcurve.maturity753,32286 +ttweakportfolio522,23235 +iindexpv541,23834 +iindexduration552,24380 +iindexspread558,24614 +pportfoliospread570,25090 +pportfolioduration596,26250 +ttweakcurves601,26475 +ssurvivalProbability1612,26840 +ssurvivalProbability.exact635,27758 +SSP657,28460 +SSPmatrix664,28672 +DDP2681,29320 +ggetdealschedule698,30080 +SSPmatrix2723,31096 +fforwardportfolioprice737,31654 +ccreditcurve.maturity760,32529 ./cds_utils.R,187 ttoday3,22 @@ -168,8 +170,8 @@ aaddTenor31,878 ccreditSchedule50,1610 ccouponSchedule74,2473 nnextIMMDate133,4918 -ccdsMaturity140,5215 -yyearFrac161,5890 +ccdsMaturity142,5252 +yyearFrac163,5927 ./clopricer.R,272 rrootdir1,0 @@ -262,13 +264,13 @@ ffithazardrate139,5257 sstackcurve151,5720 bbuildSC.matured177,6958 bbuildSC189,7429 -bbuildSC.portfolio255,10677 -ccdrfromscenarios283,12148 -rrecoveryfromscenarios293,12523 -rrecoveryfromscenarios.fast318,13496 -sseverityfromscenarios324,13698 -lload.portfolio342,14390 -ddealupdatedates347,14581 +bbuildSC.portfolio254,10670 +ccdrfromscenarios282,12236 +rrecoveryfromscenarios292,12611 +rrecoveryfromscenarios.fast317,13584 +sseverityfromscenarios323,13786 +lload.portfolio341,14478 +ddealupdatedates346,14669 ./latestprices.R,453 cconn2,15 @@ -321,23 +323,24 @@ aaddcurves21,819 mmultcurves29,1100 sspreadfrombondprice37,1382 -./load_cf.R,307 -aargs4,41 -ccalibration.date25,645 -MMarkitData26,686 -LL1m27,734 -LL2m28,778 -LL3m29,821 -LL6m30,855 -LL12m31,898 -ssanitize.column34,994 -ggetdealcf58,1857 -ggetcusipcf161,6360 -ccompute.delta263,11239 -ccfdata287,12265 -aavailablecusips288,12306 -ccusipdata291,12514 -ssave.dir292,12579 +./load_cf.R,321 +aargs5,55 +ccalibration.date26,659 +MMarkitData27,700 +LL1m28,748 +LL2m29,792 +LL3m30,835 +LL6m31,869 +LL12m32,912 +ddm34,1007 +ssanitize.column35,1015 +ggetdealcf57,1889 +ggetcusipcf164,6712 +ccompute.delta265,11412 +ccfdata289,12438 +aavailablecusips290,12479 +ccusipdata293,12687 +ssave.dir294,12752 ./loan_universe.R,401 MMarkitData10,201 @@ -606,6 +609,12 @@ sstripext4,93 ppurchased17,458 ssold22,633 -./yieldcurve.R,46 -ggetMarkitIRData1,0 -bbuildMarkitYC35,1500 +./xmltotab.R,39 +iinput3,70 +ttop4,132 +ttable5,154 + +./yieldcurve.R,71 +ggetMarkitIRData2,19 +bbasic.advance36,1519 +bbuildMarkitYC50,2023 |