diff options
Diffstat (limited to 'docs/process.rst')
| -rw-r--r-- | docs/process.rst | 13 |
1 files changed, 7 insertions, 6 deletions
diff --git a/docs/process.rst b/docs/process.rst index 11dbc68a..6851ad13 100644 --- a/docs/process.rst +++ b/docs/process.rst @@ -34,7 +34,7 @@ Next, we have to load all the cusip information into the ``clo_universe`` table, we can use the query: ``SELECT UNNEST("Deal
Cusip List") FROM latest_clo_universe;``. The R function
``cusipsfromdealnames`` in ``intex_deal_functions.R`` is a convenient
-wrapper around. The resulting list of cusips needs to be set up as a
+wrapper around it. The resulting list of cusips needs to be set up as a
new portfolio in intex, and the All Tranches tab exported as text
files. They are saved in the ``Trinfo_%Y-%m-%d`` folder. The script to
load them in the database is called ``cusip_universe.py``.
@@ -42,8 +42,9 @@ load them in the database is called ``cusip_universe.py``. Steps to build the model
------------------------
-- first we need to calibrate the implied factor distribution. This is done
- by using ``calibrate_tranches.R`` inside ``code/R``. The spreads
- data is generated from two excel spreadsheets in the
- ``NewSpreadsheet`` directory.
--
+- first we need to calibrate the implied factor distribution. This is
+ done by using ``calibrate_tranches.R`` inside ``code/R``. The
+ spreads data is generated from the ``HY indices.xlsx`` spreadsheet
+ in the ``NewSpreadsheet`` directory.
+- then for each deal in the universe, we build the portfolio data, and
+ scenarios using ``code/R/build_SC.R``
|