diff options
Diffstat (limited to 'index_definitions.R')
| -rw-r--r-- | index_definitions.R | 18 |
1 files changed, 18 insertions, 0 deletions
diff --git a/index_definitions.R b/index_definitions.R new file mode 100644 index 00000000..9e228a8a --- /dev/null +++ b/index_definitions.R @@ -0,0 +1,18 @@ +hy18 <- list(maturity=as.Date("2017-06-20"),
+ coupon=0.05,
+ factor=0.99,
+ loss=0.0082375,
+ recovery=0.3)
+
+hy17 <- list(maturity=as.Date("2016-12-20"),
+ coupon=0.05,
+ factor=0.96,
+ loss=0.027075,
+ recovery=0.3,
+ defaulted=c("DYNHLD", "EK", "GM-ResCLLC", "PMI"))
+
+hy15 <- list(maturity=as.Date("2015-12-20"),
+ coupon=0.05,
+ factor=0.96,
+ loss=0.026375,
+ recovery=0.3)
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