diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 2 | ||||
| -rw-r--r-- | R/calibrate_tranches_MF.R | 4 | ||||
| -rw-r--r-- | R/load_cf.R | 2 |
3 files changed, 4 insertions, 4 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 724f5882..d81ae8f5 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -34,7 +34,7 @@ if(length(args) >= 1){ calibration.date <- addBusDay(workdate, -1)
exportYC(calibration.date)
-index <- creditIndex("hy23")
+index <- creditIndex("hy25")
index <- set.index.desc(index, calibration.date)
global.params <- yaml.load_file(file.path(root.dir, "code", "etc", "params.yml"))
diff --git a/R/calibrate_tranches_MF.R b/R/calibrate_tranches_MF.R index 92daa482..8817c2ba 100644 --- a/R/calibrate_tranches_MF.R +++ b/R/calibrate_tranches_MF.R @@ -31,9 +31,9 @@ if(length(args) >= 1){ }
exportYC(tradedate)
-## calibrate HY23
+## calibrate HY25
## calibrate the single names curves
-index <- creditIndex("hy23", "5yr")
+index <- creditIndex("hy25", "5yr")
index <- set.index.desc(index, tradedate)
index <- set.singlenamesdata(index, tradedate)
## load tranche data
diff --git a/R/load_cf.R b/R/load_cf.R index e669b4a8..208ef21f 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -21,7 +21,7 @@ source(file.path(root.dir, "code", "R", "interpweights.R")) source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "creditIndex.R"))
source(file.path(root.dir, "code", "R", "tranche_functions.R"))
-index <- creditIndex("hy23")
+index <- creditIndex("hy25")
index <- set.index.desc(index, tradedate)
calibration.date <- addBusDay(tradedate, -1)
|