diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 27 | ||||
| -rw-r--r-- | R/params.yml | 27 |
2 files changed, 28 insertions, 26 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index cd056dba..ec7ace43 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -43,33 +43,8 @@ L3m <- buildMarkitYC(MarkitData, futurequotes[,2]) L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
L12m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1)
-bps <- 1e-4
-global.params <- list()
-global.params$recovery.assumptions <- list("Loan"=0.7,
- "Senior Notes"=0.7,
- "SecondLien"=0.3,
- "Bond"=0.4,
- "Mezzanine"=0.15,
- "Adj_Covlite"=0.1,
- "Credit Default Swap"=0)
+global.params <- yaml.load_file(file.path(root.dir, "code", "R", "params.yml"))
-global.params$cdoprices <- list("Aaa"=97.55,
- "Aa"=95,
- "A"=92.5,
- "Baa"=90,
- "Ba"=85,
- "B"=80,
- "NR"=70)
-#reinvest in 7 years assets
-global.params$rollingmaturity <- 7 * 365
-global.params$defaultedlag <- 90
-global.params$defaultcorr <- 0.45
-global.params$defaultbondhazardrate <- 2500 * bps
-global.params$defaultloanhazardrate <- 2500 * bps
-global.params$alpha <- 0.25
-global.params$beta <- 15
-global.params$shape <- function(T)0.5+(1-0.5)*(1-exp(-T/5))
-global.params$reinvflag <- TRUE
cusipdata <- cusip.data()
cashspread.discount <- 0
currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
diff --git a/R/params.yml b/R/params.yml new file mode 100644 index 00000000..e0f39cca --- /dev/null +++ b/R/params.yml @@ -0,0 +1,27 @@ +recovery.assumptions: + Loan: 0.7 + Senior Notes: 0.7 + SecondLien: 0.3 + Bond: 0.4 + Mezzanine: 0.15 + Adj_Covlite: 0.1 + Credit Default Swap: 0.0e+00 +cdoprices: + Aaa: 97.55 + Aa: 95.0 + A: 92.5 + Baa: 90.0 + Ba: 85.0 + B: 80.0 + NR: 70.0 +rollingmaturity: 2555.0 +defaultedlag: 90.0 +defaultcorr: 0.45 +defaultbondhazardrate: 0.25 +defaultloanhazardrate: 0.25 +alpha: 0.25 +beta: 15.0 +shape: !expr | + function (T) + 0.5 + (1 - 0.5) * (1 - exp(-T)) +reinvflag: yes |