diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/TAGS | 449 |
1 files changed, 341 insertions, 108 deletions
@@ -1,12 +1,12 @@ -./backtest_tranches.R,69 +/home/share/CorpCDOs/code/R/backtest_tranches.R,69 aargs1,0 bbps18,543 ffiles19,555 ddates20,648 bbasis21,688 -./bandits.R,484 +/home/share/CorpCDOs/code/R/bandits.R,484 cconn2,20 ddata4,42 sspy9,200 @@ -40,7 +40,34 @@ ffixed.rebal82,2166 mmemb94,2436 ttickerslist109,2847 -./build_portfolios.R,150 +/home/share/CorpCDOs/code/R/build_cds_database.R,459 +ddrv3,35 +ddbCon4,65 +bbbgConn7,182 +nnewbasketID9,240 +iig.indices24,760 +iigpattern25,794 +hhy.indices26,825 +hhypattern27,871 +iitraxx.indices28,902 +iitraxxpattern29,940 +aIG937,1153 +aEU946,1460 +aall.names48,1524 +aall.indices49,1541 +ttickers54,1730 +ddata55,1763 +ddata56,1871 +uunique.tickers57,1900 +ccdscurves58,1993 +ttemp159,2070 +ttemp260,2128 +ccurves61,2180 +pprep.data62,2260 +ssqlstr65,2423 +tticker_company75,2860 + +/home/share/CorpCDOs/code/R/build_portfolios.R,150 aargs4,38 hhy2116,450 ccalibration.date35,959 @@ -49,7 +76,7 @@ ccusipdata40,1112 ccashspread.discount41,1138 ccurrdealnames42,1163 -./build_scenarios.R,217 +/home/share/CorpCDOs/code/R/build_scenarios.R,217 hhostname5,56 aargs12,186 ccalibration.date45,1201 @@ -63,14 +90,21 @@ nn.scenarios55,1579 rrecov.adj56,1598 pparams57,1613 -./calibrate_tranches_BC.R,75 -nn.int14,405 -qquadrature15,418 -ww16,446 -ZZ17,470 -aalldates20,494 +/home/share/CorpCDOs/code/R/calibrate_tranches_BC.R,102 +nn.int15,491 +NNgrid17,526 +aalldates19,540 +rrhomat20,614 +ddeltasmat21,628 +bbus.dates22,645 + +/home/share/CorpCDOs/code/R/calibration.R,97 +bbuildSC9,248 +gget.cdsSchedule20,678 +sset.singlenamesdata29,1051 +sset.tranchedata44,1834 -./cds_functions_generic.R,2134 +/home/share/CorpCDOs/code/R/cds_functions_generic.R,2134 sabstractcurve18,412 sflatcurve20,464 sshapedcurve23,652 @@ -119,20 +153,20 @@ ccdshazardrate464,21628 bbondhazardrate.shaped498,22951 ttweakportfolio527,24101 iindexpv546,24700 -iindexduration564,25510 -iindexspread570,25744 -pportfoliospread582,26220 -pportfolioduration608,27380 -ttweakcurves613,27605 -ssurvivalProbability1624,28038 -ssurvivalProbability.exact647,28956 -SSP669,29658 -SSPmatrix676,29891 -DDP2692,30455 -SSPmatrix2709,31215 -ccreditcurve.maturity724,31813 +iindexduration564,25413 +iindexspread570,25647 +pportfoliospread582,26123 +pportfolioduration608,27283 +ttweakcurves613,27508 +ssurvivalProbability1624,27914 +ssurvivalProbability.exact647,28832 +SSP669,29534 +SSPmatrix676,29767 +DDP2692,30331 +SSPmatrix2709,31091 +ccreditcurve.maturity724,31689 -./cds_utils.R,201 +/home/share/CorpCDOs/code/R/cds_utils.R,201 ttoday3,22 aaddBusDay7,62 cconvertTenor11,238 @@ -144,7 +178,7 @@ ccdsMaturity139,5375 yyearFrac143,5473 lload.index149,5705 -./clopricer.R,272 +/home/share/CorpCDOs/code/R/clopricer.R,272 rrootdir1,0 sstripext5,75 ttoday9,147 @@ -161,21 +195,21 @@ ppricesBBB74,2436 ppricesBB79,2576 ppricesNA84,2712 -./deal_pricer.R,92 +/home/share/CorpCDOs/code/R/deal_pricer.R,92 ddrv2,21 ddbCon3,51 ddealnames4,128 ppricingcoverage5,196 ppricingcoverage19,1058 -./ema.R,10 +/home/share/CorpCDOs/code/R/ema.R,10 ema1,0 -./etdb.R,24 +/home/share/CorpCDOs/code/R/etdb.R,24 ddrv2,21 ddbCon3,51 -./filterruns.R,103 +/home/share/CorpCDOs/code/R/filterruns.R,103 llcds1,0 bblcds2,12 uupfront4,71 @@ -184,14 +218,14 @@ qquotes14,513 rrunning15,535 qquotes16,579 -./hf.R,83 +/home/share/CorpCDOs/code/R/hf.R,83 cconn2,14 hhyg.ticker3,59 hhy21.ticker4,89 hhy21data6,121 hhygdata38,273 -./interpweights_2.R,160 +/home/share/CorpCDOs/code/R/interpweights_2.R,160 iinterpweights1,0 aadjust_scenario10,278 aadjust_weights14,362 @@ -200,7 +234,7 @@ ooptimize23,643 iinterpweightsadjust38,978 ttransformweightslike44,1211 -./interpweights.R,284 +/home/share/CorpCDOs/code/R/interpweights.R,284 iinterpweights1,0 iinterpvalues10,281 iinterpvalues.distr47,1179 @@ -215,7 +249,7 @@ cclipr107,2749 ssclipr111,2798 iinverse115,2865 -./intex_deal_functions.R,658 +/home/share/CorpCDOs/code/R/intex_deal_functions.R,658 hhostname8,127 ggetdealdata24,503 ggetcollateral38,1302 @@ -231,17 +265,17 @@ ffithazardrate135,5110 sstackcurve147,5573 bbuildSC.matured173,6811 bbuildSC185,7282 -bbuildSC.portfolio250,10556 -ccdrfromscenarios278,12104 -rrecoveryfromscenarios288,12492 -rrecoveryfromscenarios.fast313,13465 -sseverityfromscenarios319,13667 -gget.reinvassets337,14359 -ggetdealschedule350,14780 -iintexportfolio.forwardprice371,15635 -ccompute.reinvprices401,17252 +bbuildSC.portfolio253,10611 +ccdrfromscenarios281,12159 +rrecoveryfromscenarios291,12547 +rrecoveryfromscenarios.fast316,13520 +sseverityfromscenarios322,13722 +gget.reinvassets340,14414 +ggetdealschedule353,14835 +iintexportfolio.forwardprice374,15690 +ccompute.reinvprices404,17307 -./latestprices.R,453 +/home/share/CorpCDOs/code/R/latestprices.R,453 cconn2,15 ddeltas.hist3,47 ddeltas.live4,165 @@ -267,19 +301,7 @@ wwalduration40,2176 ddeltas41,2242 ddata42,2304 -./load_bloomberg_data.R,180 -bbbgCon11,202 -ffields.corp13,251 -ccorpcusips18,501 -ccorpcusips19,586 -ssecCorp20,619 -ddataCorp21,656 -ccorpcusips22,703 -ddataCorp24,782 -ddataCorp26,891 -ffh27,974 - -./loadcashflows.R,186 +/home/share/CorpCDOs/code/R/loadcashflows.R,186 ccusips1,0 ccfdir2,145 ttest3,183 @@ -292,7 +314,12 @@ aaddcurves21,819 mmultcurves29,1100 sspreadfrombondprice37,1382 -./load_cf.R,252 +/home/share/CorpCDOs/code/R/load_cds_data.R,71 +ddownload.cdscurves4,33 +wwrite.tranchedata21,721 +bbbgConn35,1291 + +/home/share/CorpCDOs/code/R/load_cf.R,252 aargs7,122 ccalibration.date29,747 ddm32,820 @@ -306,7 +333,7 @@ ccfdata256,11208 ccusipdata260,11413 ssave.dir261,11470 -./load_futures_data.R,180 +/home/share/CorpCDOs/code/R/load_futures_data.R,180 bbbgCon11,202 ffields.corp13,251 ccorpcusips18,501 @@ -318,7 +345,19 @@ ddataCorp24,782 ddataCorp26,891 ffh27,951 -./loan_universe.R,401 +/home/share/CorpCDOs/code/R/load_loanprices_data.R,183 +ffields.corp13,339 +ccorpcusips17,588 +ccorpcusips18,673 +ssecCorp19,706 +ddataCorp20,743 +ccorpcusips21,790 +ddataCorp23,869 +ddataCorp25,978 +ffh27,1062 +sstrdate31,1244 + +/home/share/CorpCDOs/code/R/loan_universe.R,401 MMarkitData10,201 LL1m11,233 LL2m12,277 @@ -343,7 +382,79 @@ lloan.data268,2110 mmaturities69,2170 ttest270,2222 -./mapping_fast.R,288 +/home/share/CorpCDOs/code/R/lossdistrib/R/tranche_functions.R,1495 +GGHquad13,733 +llossdistrib22,903 +llossdistrib.fft34,1170 +llossdistrib245,1554 +llossdistrib2.truncated74,2344 +rrecovdist109,3524 +llossdist.joint142,4594 +llossdist.prepay.joint181,6111 +llossdistC242,8707 +llossdistCblas248,8973 +llossdistCZ254,9248 +llossdistC.truncated261,9552 +rrecovdistC267,9814 +llossdistC.joint273,10029 +llossdistC.jointblas279,10318 +llossdistC.jointZ286,10617 +llossdistC.prepay.joint299,11174 +llossdistC.prepay.jointZ306,11500 +llossrecovdist320,12105 +llossrecovdist.term341,12886 +llossrecovdist.joint.term361,13607 +ddist.transform389,14611 +sshockprob411,15310 +sshockseverity430,16015 +ddshockprob439,16339 +ddqnorm443,16443 +ffit.prob447,16491 +ffit.probC472,17174 +sstochasticrecov478,17363 +sstochasticrecovC489,17813 +ppos496,18110 +ttrancheloss500,18148 +ttrancherecov504,18217 +ttranche.cl508,18294 +ttranche.cl.scenarios528,19091 +ffunded.tranche.pv546,19794 +ttranche.pl565,20472 +ttranche.pl.scenarios582,20962 +ttranche.pv598,21397 +ttranche.pv.scenarios602,21541 +aadjust.attachments608,21710 +ttranche.pvvec614,21900 +BBClossdist622,22094 +BBClossdistC649,23003 +BBCtranche.pv660,23579 +BBCtranche.delta682,24465 +EEL716,26186 +EELtrunc725,26627 +BBCstrikes740,27464 +sskewmapping751,27906 +ddelta.factor762,28262 +MMFupdate.prob770,28597 +MMFupdate.probC782,29001 +MMFlossrecovdist.prepay795,29509 +MMFlossdist.joint822,30666 +MMFlossdist.prepay.joint854,32020 +MMFtranche.pv882,33152 + +/home/share/CorpCDOs/code/R/LS.R,139 +rr1,0 +TT2,12 +ssigma3,33 +NNsteps4,46 +NNpaths5,60 +SS06,75 +ddT8,113 +KK9,128 +pplus10,137 +eeuropean14,176 +aamerican15,200 + +/home/share/CorpCDOs/code/R/mapping_fast.R,288 ddrv5,87 ddbCon6,117 mmarkitdata7,216 @@ -362,7 +473,15 @@ llevdist34,1737 rratio35,1796 iindex36,1877 -./optimization.R,294 +/home/share/CorpCDOs/code/R/mlpdb.R,110 +ddrv2,21 +ddbCon3,51 +nnameToBasketID6,168 +ccdslist14,449 +aarr.convert20,653 +gget.indexquotes24,790 + +/home/share/CorpCDOs/code/R/optimization.R,294 "blkdiag4,48 llinfit16,379 llinfit138,1103 @@ -380,7 +499,7 @@ iinvchol421,11770 ssolveswm429,11917 nnorm438,12136 -./parse_intex.R,138 +/home/share/CorpCDOs/code/R/parse_intex.R,138 rroot1,0 ddealnames4,132 ccusips5,167 @@ -390,7 +509,7 @@ nn.scenarios9,377 ooffset10,396 rr11,408 -./plot_deltas.R,132 +/home/share/CorpCDOs/code/R/plot_deltas.R,132 iindexpv1,0 KK5,136 ttranchespv6,167 @@ -401,7 +520,7 @@ ccol120,536 ccol221,570 ccol322,604 -./plot_distributions.R,116 +/home/share/CorpCDOs/code/R/plot_distributions.R,116 llossdist4,147 llossdist.orig11,381 RRstoch15,677 @@ -410,7 +529,7 @@ ddist29,1160 ddist30,1197 ddistw31,1245 -./reinvestingdistribution.R,190 +/home/share/CorpCDOs/code/R/reinvestingdistribution.R,190 pp3,31 SS4,47 llu5,66 @@ -426,48 +545,32 @@ rrho32,934 QQvec33,946 QQresult47,1342 -./script_calibrate_tranches.R,681 +/home/share/CorpCDOs/code/R/script_calibrate_tranches.R,347 aargs6,74 -ssinglenames.data30,691 -nnondefaulted32,856 -bbps33,936 -ccdsdates35,949 -hhy21portfolio40,1082 -ccs41,1103 -iissuerweights54,1749 -KK57,1840 -KKmodified58,1871 -mmarket.data59,1930 -ttranche.upf62,2083 -ttranche.running63,2114 -hhy21portfolio.tweaked66,2227 -ccs67,2306 -SSurvProb68,2423 -NNgrid70,2486 -rrecov71,2522 -aacc72,2579 -bbottomup74,2663 -ttopdown75,2679 -nn.int76,2694 -nn.credit77,2707 -eerrvec78,2741 -qquadrature79,2755 -ww80,2783 -ZZ81,2807 -ww.mod82,2829 -ddefaultprob83,2840 -pp84,2868 -rrho85,2885 -rresult87,2913 -eerr88,2943 -RRstoch125,4163 -LLw132,4383 -RRw133,4413 -LL134,4443 -RR135,4484 -ddist144,4762 +nn.credit35,841 +NNgrid36,876 +aacc37,902 +bbottomup39,986 +ttopdown40,1002 +nn.int41,1017 +nn.credit42,1030 +eerrvec43,1065 +qquadrature44,1079 +ww45,1107 +ZZ46,1125 +ww.mod47,1143 +pp48,1154 +rrho49,1176 +rresult50,1203 +eerr51,1233 +RRstoch89,2566 +LLw96,2812 +RRw97,2842 +LL98,2872 +RR99,2918 +ddist108,3216 -./time_of_default.R,364 +/home/share/CorpCDOs/code/R/time_of_default.R,364 sspreads1,0 zz12,32 rrho4,48 @@ -497,7 +600,24 @@ pprotectionsize86,1551 ccl90,1614 ppl96,1766 -./transactions.R,98 +/home/share/CorpCDOs/code/R/tranche_mapping.R,267 +nn.int14,454 +bbps15,467 +ttradedate18,502 +ccdsdates20,557 +ccds.cs24,689 +bbuildSC29,863 +sset.singlenamesdata40,1283 +sset.tranchedata60,2172 +NNgrid88,3640 +ff89,3653 +rrhovec95,3881 +rrhovec101,4016 +KK102,4039 +rrhofun103,4070 +KKmapped105,4114 + +/home/share/CorpCDOs/code/R/transactions.R,98 ttransdir1,0 ttranssave2,31 ddealnames3,76 @@ -505,14 +625,127 @@ sstripext4,93 ppurchased17,458 ssold22,633 -./xmltotab.R,39 +/home/share/CorpCDOs/code/R/xmltotab.R,39 iinput3,70 ttop4,132 ttable5,154 -./yieldcurve.R,108 +/home/share/CorpCDOs/code/R/yieldcurve.R,108 ggetMarkitIRData2,19 tthirdwed36,1531 nnextthirdwed42,1656 bbuildMarkitYC47,1741 eexportYC93,4098 + +/home/share/CorpCDOs/code/R/lossdistrib/src/lossdistrib.c,713 +#define MIN(7,103 +void GHquad(18,693 +void lossdistrib(46,1389 +void lossdistrib_blas(94,2613 +void lossdistrib_Z(143,3955 +void lossdistrib_truncated(159,4492 +void lossdistrib_joint(205,5728 +void lossdistrib_joint_blas(274,7705 +void recovdist(348,9923 +void lossdistrib_prepay_joint(402,11372 +void lossdistrib_prepay_joint_blas(489,13998 +double shockprob(579,17022 +double dqnorm(587,17265 +double dshockprob(591,17346 +void shockprobvec2(595,17508 +double shockseverity(606,17851 +double quantile(614,18039 +void fitprob(627,18250 +void stochasticrecov(655,19036 +void lossdistrib_prepay_joint_Z(674,19641 +void lossdistrib_joint_Z(704,20693 +void BCloss_recov_dist(731,21526 +void BCloss_dist(793,23830 + +/home/share/CorpCDOs/code/R/lossdistrib/src/lossdistrib.h,0 + +lossdistrib/R/tranche_functions.R,1495 +GGHquad13,733 +llossdistrib22,903 +llossdistrib.fft34,1170 +llossdistrib245,1554 +llossdistrib2.truncated74,2344 +rrecovdist109,3524 +llossdist.joint142,4594 +llossdist.prepay.joint181,6111 +llossdistC242,8707 +llossdistCblas248,8973 +llossdistCZ254,9248 +llossdistC.truncated261,9552 +rrecovdistC267,9814 +llossdistC.joint273,10029 +llossdistC.jointblas279,10318 +llossdistC.jointZ286,10617 +llossdistC.prepay.joint299,11174 +llossdistC.prepay.jointZ306,11500 +llossrecovdist320,12105 +llossrecovdist.term341,12886 +llossrecovdist.joint.term361,13607 +ddist.transform389,14611 +sshockprob411,15310 +sshockseverity430,16015 +ddshockprob439,16339 +ddqnorm443,16443 +ffit.prob447,16491 +ffit.probC472,17174 +sstochasticrecov478,17363 +sstochasticrecovC489,17813 +ppos496,18110 +ttrancheloss500,18148 +ttrancherecov504,18217 +ttranche.cl508,18294 +ttranche.cl.scenarios528,19091 +ffunded.tranche.pv546,19794 +ttranche.pl565,20472 +ttranche.pl.scenarios582,20962 +ttranche.pv598,21397 +ttranche.pv.scenarios602,21541 +aadjust.attachments608,21710 +ttranche.pvvec614,21900 +BBClossdist622,22094 +BBClossdistC649,23003 +BBCtranche.pv660,23579 +BBCtranche.delta682,24465 +EEL716,26186 +EELtrunc725,26627 +BBCstrikes740,27464 +sskewmapping751,27906 +ddelta.factor762,28262 +MMFupdate.prob770,28597 +MMFupdate.probC782,29001 +MMFlossrecovdist.prepay795,29509 +MMFlossdist.joint822,30666 +MMFlossdist.prepay.joint854,32020 +MMFtranche.pv882,33152 + +lossdistrib/src/lossdistrib.c,713 +#define MIN(7,103 +void GHquad(18,693 +void lossdistrib(46,1389 +void lossdistrib_blas(94,2613 +void lossdistrib_Z(143,3955 +void lossdistrib_truncated(159,4492 +void lossdistrib_joint(205,5728 +void lossdistrib_joint_blas(274,7705 +void recovdist(348,9923 +void lossdistrib_prepay_joint(402,11372 +void lossdistrib_prepay_joint_blas(489,13998 +double shockprob(579,17022 +double dqnorm(587,17265 +double dshockprob(591,17346 +void shockprobvec2(595,17508 +double shockseverity(606,17851 +double quantile(614,18039 +void fitprob(627,18250 +void stochasticrecov(655,19036 +void lossdistrib_prepay_joint_Z(674,19641 +void lossdistrib_joint_Z(704,20693 +void BCloss_recov_dist(731,21526 +void BCloss_dist(793,23830 + +lossdistrib/src/lossdistrib.h,0 |