diff options
Diffstat (limited to 'etc')
| -rw-r--r-- | etc/params.yml | 29 | ||||
| -rw-r--r-- | etc/runs.yml | 14 |
2 files changed, 43 insertions, 0 deletions
diff --git a/etc/params.yml b/etc/params.yml new file mode 100644 index 00000000..42437ec8 --- /dev/null +++ b/etc/params.yml @@ -0,0 +1,29 @@ +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 +reinvfloat: 0.04 +reinvfixed: 0.07 diff --git a/etc/runs.yml b/etc/runs.yml new file mode 100644 index 00000000..380aed40 --- /dev/null +++ b/etc/runs.yml @@ -0,0 +1,14 @@ +name: +- hy17 +- hy19 +- hy21 +- ig19 +- ig21 +- ig9 +tenor: +- 5yr +- 5yr +- 5yr +- 5yr +- 5yr +- 10yr |