diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_SC.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/build_SC.R b/R/build_SC.R index 7457a5da..ccd272d0 100644 --- a/R/build_SC.R +++ b/R/build_SC.R @@ -38,8 +38,8 @@ global.params$cdoprices <- list("Aaa"=90, global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
global.params$defaultcorr <- 0.4
-global.params$defaultbondhazardrate <- 500 * bps
-global.params$defaultloanhazardrate <- 500 * bps
+global.params$defaultbondhazardrate <- 1000 * bps
+global.params$defaultloanhazardrate <- 1000 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
global.params$shape <- function(T)0.25+(1-exp(-T/5))
@@ -90,7 +90,7 @@ clusterExport(cl, list("root.dir", "shockprob", "lossdistC.prepay.joint", "lossr support <- seq(0, 1, length=Ngrid)
useCluster <- TRUE
-for(deal.name in dealnames[-1]){
+for(deal.name in dealnames){
load(file.path(root.dir, "Scenarios", paste("Portfolios", calibration.date, sep="_"), paste(deal.name, "RData", sep=".")))
dp <- A$DP
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