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Diffstat (limited to 'docs/notes.rst')
| -rw-r--r-- | docs/notes.rst | 9 |
1 files changed, 9 insertions, 0 deletions
diff --git a/docs/notes.rst b/docs/notes.rst index 5d0ff827..b45289b2 100644 --- a/docs/notes.rst +++ b/docs/notes.rst @@ -13,3 +13,12 @@ with other use of openmp in my code. If we dont' specify the target, it builds a lot of different architectures, and the right one gets selected at runtime. Unfortunately it doesn't include Sandybridge yet. + +Switch to new hy series +----------------------- + +* add the new series in index_definitions.R +* in build_portfolio.R: replace hy19$maturity by hy21$maturity +* in script_calibrate_tranches.R, replace all instances of hy19 with hy21 +* cp script_calibrate_tranches.R to CorpCDOs/scripts/calibrate_tranches +* in load_cf.R compute.delta depends on the index maturity, update that too |