diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/TAGS | 117 |
1 files changed, 58 insertions, 59 deletions
@@ -49,31 +49,30 @@ ccusipdata74,2698 ccurrdealnames76,2725 ii78,2846 -./build_scenarios.R,496 +./build_scenarios.R,473 aargs1,0 -pprevBusDay30,792 -gget.reinvassets39,997 -cconvert.reinvtoperct51,1382 -ccompute.reinvprices63,1678 -ccalibration.date104,3197 -ccalibration105,3238 -ZZ107,3417 -ww108,3436 -NNgrid110,3456 -MMarkitData111,3469 -LL1m112,3517 -LL2m113,3561 -LL3m114,3604 -LL6m115,3638 -LL12m116,3681 -ssupport119,3777 -rrecoverylag120,3814 -rreinvspread123,3916 -rreinvfixed124,3936 -bbasecase.rollingmaturity125,3955 -rreinvlag126,3995 -nn.scenarios127,4018 -rrecov.adj128,4037 +gget.reinvassets31,848 +cconvert.reinvtoperct43,1233 +ccompute.reinvprices55,1529 +ccalibration.date96,3048 +ccalibration97,3089 +ZZ99,3268 +ww100,3287 +NNgrid102,3307 +MMarkitData103,3320 +LL1m104,3368 +LL2m105,3412 +LL3m106,3455 +LL6m107,3489 +LL12m108,3532 +ssupport111,3628 +rrecoverylag112,3665 +rreinvspread115,3767 +rreinvfixed116,3787 +bbasecase.rollingmaturity117,3806 +rreinvlag118,3846 +nn.scenarios119,3869 +rrecov.adj120,3888 ./build_SC.R,345 MMarkitData13,298 @@ -157,20 +156,20 @@ SSP640,27434 SSPmatrix648,27644 DDP2665,28289 ggetdealschedule682,29049 -SSPmatrix2691,29460 -fforwardportfolioprice705,30018 -ccreditcurve.maturity724,30732 +SSPmatrix2707,30065 +fforwardportfolioprice721,30623 +ccreditcurve.maturity740,31337 ./cds_utils.R,187 ttoday3,22 pprevBusDay7,62 -cconvertTenor16,281 -aaddTenor36,959 -ccreditSchedule55,1691 -ccouponSchedule79,2554 -nnextIMMDate136,4949 -ccdsMaturity143,5246 -yyearFrac164,5921 +cconvertTenor11,184 +aaddTenor31,862 +ccreditSchedule50,1594 +ccouponSchedule74,2457 +nnextIMMDate132,4917 +ccdsMaturity139,5214 +yyearFrac160,5889 ./clopricer.R,272 rrootdir1,0 @@ -296,27 +295,16 @@ wwalduration40,2176 ddeltas41,2242 ddata42,2304 -./load_bloomberg_data.R,351 -rroot.dir3,35 -ccusips6,186 -bbbgCon7,265 -ffields.corp9,314 -ffields.mtge12,562 -ssecCorp14,689 -ddataCorp15,726 -ccorpcusips16,773 -ddataCorp18,852 -ddataCorp20,961 -ffh21,1021 -cchunkSize27,1205 -ddataMtge28,1223 -ii34,1459 -ssecMtge35,1468 -ddataMtge36,1545 -mmtgecusips37,1608 -ddataMtge38,1686 -ddataMtge40,1795 -ffh41,1855 +./load_bloomberg_data.R,160 +bbbgCon11,202 +ffields.corp13,251 +ccorpcusips18,501 +ssecCorp19,586 +ddataCorp20,623 +ccorpcusips21,670 +ddataCorp23,749 +ddataCorp25,858 +ffh26,918 ./loadcashflows.R,186 ccusips1,0 @@ -344,10 +332,10 @@ ssanitize.column34,994 ggetdealcf57,1908 ggetcusipcf160,6411 ccompute.delta257,10929 -ccfdata279,11808 -aavailablecusips280,11849 -ccusipdata283,12057 -ssave.dir284,12122 +ccfdata281,11955 +aavailablecusips282,11996 +ccusipdata285,12204 +ssave.dir286,12269 ./loan_universe.R,401 MMarkitData10,201 @@ -421,6 +409,17 @@ nn.scenarios9,377 ooffset10,396 rr11,408 +./plot_deltas.R,132 +iindexpv1,0 +KK5,136 +ttranchespv6,167 +ttranchespv12,360 +ddeltas14,406 +xx19,516 +ccol120,536 +ccol221,570 +ccol322,604 + ./plot_distributions.R,116 llossdist4,147 llossdist.orig11,381 |