./backtest_tranches.R,69 aargs1,0 bbps18,378 ffiles19,390 ddates20,483 bbasis21,523 ./bandits.R,484 cconn2,20 ddata4,42 sspy9,200 sspdr11,280 ddata12,345 nn.stocks18,508 NN19,528 ccurrent.wealth20,541 ww21,561 ddP22,591 LL23,613 VV24,634 WW25,641 ppnl26,648 pprice2return43,1029 ttc47,1118 ddays48,1136 iinit.capital49,1159 ttickers50,1183 ttickers.index51,1245 nn.stocks52,1303 ww53,1331 NN55,1419 ddP56,1481 LL57,1510 VV58,1531 WW59,1538 ppnl60,1545 ttcvec61,1554 ffixed.rebal82,2166 mmemb94,2436 ttickerslist109,2847 ./build_cds_database.R,463 ddrv3,35 ddbCon4,65 bbbgConn7,192 nnewbasketID9,250 iig.indices24,770 iigpattern25,809 hhy.indices26,848 hhypattern27,900 iitraxx.indices28,943 iitraxxpattern29,981 aEU945,1438 aall.names47,1502 aall.indices48,1519 ttickers53,1708 ttickers54,1741 ddata55,1781 ddata56,1889 uunique.tickers57,1918 ccdscurves58,2011 ttemp159,2088 ttemp260,2146 ccurves61,2198 pprep.data62,2278 ssqlstr65,2441 tticker_company75,2878 ./build_portfolios.R,165 aargs5,82 ccalibration.date28,780 iindex30,851 iindex31,880 gglobal.params32,929 ccusipdata34,1004 ccashspread.discount35,1038 ccurrdealnames36,1063 ./build_scenarios.R,214 hhostname4,66 aargs11,196 ccalibration.date33,831 ssettledate34,876 ccalibration35,914 ZZ37,1093 ww38,1112 NNgrid41,1159 ssupport42,1172 nn.scenarios43,1209 rrecov.adj44,1228 pparams45,1243 ./calibrate_tranches_BC.R,39 ccode.dir2,32 ttranchedata.dir3,67 ./calibrate_tranches_MF.R,104 aargs5,54 ddata.dir11,248 iindex29,681 iindex30,717 iindex31,759 iindex33,827 ddist36,954 ./calibration.R,141 bbuildSC3,35 gget.cdsSchedule14,418 sset.singlenamesdata25,890 sset.tranchedata71,3103 bbuild.skew152,6987 bbuild.MFdist185,8486 ./cds_functions_generic.R,1681 sabstractcurve12,258 sflatcurve14,310 sshapedcurve17,498 sdefaultcurve19,652 sdefaultprepaycurve20,756 screditcurve21,851 sshapedtodpc24,1011 scouponleg34,1379 scouponleg39,1520 scouponleg54,2137 scouponleg75,3134 kk97,4333 scouponleg104,4542 sdcouponleg116,5234 sdcouponleg120,5332 sdcouponleg133,5884 sdcouponleg148,6596 scdsduration181,8216 scdsduration186,8361 scdsspread198,9020 scdsspread203,9172 sdefaultleg217,9914 sdefaultleg222,10068 sdefaultleg234,10633 sdefaultleg257,11678 sdefaultleg273,12546 sddefaultleg280,12879 sddefaultleg284,12989 sddefaultleg297,13628 sddefaultleg310,14309 scontingentleg334,15552 scontingentleg339,15715 scontingentleg352,16350 scontingentleg364,16995 scontingentleg381,17982 sdcontingentleg388,18312 sdcontingentleg392,18435 sdcontingentleg406,19201 sdcontingentleg420,19935 ccdspv438,20971 ccds.parspread443,21138 ddcds.parspread451,21458 ssnacpv460,21802 ddcdspv473,22388 bbondpv482,22714 ddbondpv486,22865 ccdshazardrate.flat494,23167 ccdshazardrate.shaped509,23838 ccdshazardrate519,24225 bbondhazardrate.shaped563,25903 ttweakportfolio592,27063 iindexpv617,27918 iindexduration659,29637 iindexspread667,30017 iindextheta680,30527 pportfoliospread692,30990 pportfolioduration718,32195 ttweakcurves723,32420 ssurvivalProbability1749,33635 ssurvivalProbability.exact772,34552 FFEP790,35127 SSP798,35469 SSPmatrix804,35686 DDP2824,36418 SSPmatrix2841,37178 ccreditcurve.maturity860,37940 fforward.cl873,38271 fforward.prot880,38513 ddefaultAdjustedForwardIndexPrice887,38755 fforwardflatcds896,39118 ./cds_tester.R,172 ccurrency6,93 bbasedir7,111 ddownload.grids8,151 ggrids17,567 ff18,589 ffilename19,603 ccon20,643 ddata21,687 ccouponleg239,1435 pprotectionleg247,1647 ./cds_utils.R,198 ttoday4,41 aaddBusDay8,81 cconvertTenor13,274 aaddTenor26,657 ccouponSchedule37,994 IIMMDate107,3832 IIMMDate2135,4850 ccdsAccrued157,5768 ccdsMaturity162,5940 yyearFrac174,6241 ./clopricer.R,272 rrootdir1,0 sstripext5,75 ttoday9,147 llistcusips13,193 rreadcusip19,395 rreadcusip231,883 ggetcusip41,1368 ggetcusipinfo46,1538 AA53,1909 ppricesAAA59,2028 ppricesAA64,2168 ppricesA69,2304 ppricesBBB74,2436 ppricesBB79,2576 ppricesNA84,2712 ./creditIndex.R,227 nn.int4,76 ggh5,89 NNgrid6,109 ccreditIndex8,123 `$<-.creditIndex20,583 cc.creditIndex27,715 pprint.creditIndex31,864 lload.index56,1855 ccsvheaders69,2261 ttocsv89,3137 aas.data.frame.creditIndex102,3765 ./curve_trades.R,150 iindex.quotes5,48 iig268,155 iig26.close13,308 iig26.theta21,540 iig2537,876 iig25.close42,1065 iig25.theta47,1177 iig25.close53,1328 ./db.R,14 ddbConn3,14 ./deal_pricer.R,92 ddrv2,21 ddbCon3,51 ddealnames4,128 ppricingcoverage5,196 ppricingcoverage19,1058 ./ema.R,10 eema1,0 ./filterruns.R,103 llcds1,0 bblcds2,12 uupfront4,71 qquotes5,116 qquotes14,513 rrunning15,535 qquotes16,579 ./hf.R,83 cconn2,14 hhyg.ticker3,59 hhy21.ticker4,89 hhy21data6,121 hhygdata38,273 ./interpweights.R,284 iinterpweights1,0 iinterpvalues10,281 iinterpvalues.distr47,1179 aadjust_scenario55,1408 aadjust_weights59,1492 oobj63,1619 ttweak68,1774 iinterpweightsadjust83,2110 ttransformweightslike89,2340 cclipw103,2695 cclipr107,2757 ssclipr111,2806 iinverse115,2873 ./intex_deal_functions.R,693 hhostname7,234 eetdb16,413 ggetdealdata18,435 ggetcollateral31,1037 llistdealnames45,1495 ccusip.data50,1648 rrecovery61,2123 ddealnamefromcusip81,2909 ccusipsfromdealnames89,3169 ffithazardrate.fast96,3432 vvanillabondprice108,3964 ddvanillabondprice123,4636 ffithazardrate131,4988 sstackcurve143,5451 bbuildSC.matured169,6689 bbuildSC181,7160 bbuildSC.portfolio249,10489 ccdrfromscenarios286,12488 rrecoveryfromscenarios296,12876 rrecoveryfromscenarios.fast321,13849 sseverityfromscenarios327,14051 gget.reinvassets345,14743 ggetpayday357,15143 ggetdealschedule377,15872 iintexportfolio.forwardprice391,16472 ccompute.reinvprices421,18098 ./load_cds_data.R,71 ddownload.cdscurves4,39 wwrite.tranchedata21,749 bbbgConn35,1319 ./load_cf.R,384 aargs9,128 ttradedate12,222 iindex22,498 iindex23,527 ccalibration.date25,570 ccs27,642 ddm30,781 ssanitize.column31,789 pprocesszipfiles38,1006 ggetconfig66,2144 ggetdealcf76,2479 ggetcusip_indicdata182,7560 ggetcusipcf206,8607 ccompute.delta283,12577 ccfdata320,13992 ccusipdata324,14197 ssave.dir325,14254 ssqlstring330,14438 ddawndb343,14990 ./load_loanprices_data.R,183 ffields.corp13,339 ccorpcusips17,588 ccorpcusips18,673 ssecCorp19,706 ddataCorp20,743 ccorpcusips21,790 ddataCorp23,869 ddataCorp25,978 ffh27,1062 sstrdate31,1244 ./loan_universe.R,401 MMarkitData10,201 LL1m11,233 LL2m12,277 LL3m13,320 LL6m14,354 lloan.data18,470 fflatshape19,681 lloan.data.clean20,722 lloan.data.clean21,773 lloan.data.clean22,860 SSC.universe23,904 RRvec24,923 mmaturityvec25,935 iindexvec26,972 ww127,988 ww228,998 hhvec63,1984 sspreads64,2023 TT65,2048 ttest66,2084 lloan.data268,2110 mmaturities69,2170 ttest270,2222 ./mapping_fast.R,288 ddrv5,87 ddbCon6,117 mmarkitdata7,216 CCLOmap8,286 iintexdata9,348 bbbgmap11,448 bbbgmap12,563 RRMBSmap13,605 ttoscrub17,822 mmarkitdata27,1464 iintexdatatomap29,1523 iintexdatatomap30,1578 aa32,1657 bb33,1699 llevdist34,1737 rratio35,1796 iindex36,1877 ./new_index_series.R,83 bbbgname8,146 nnewbasketID22,539 nnewcurves45,1594 mmarkit.mappings93,3889 ./optimization.R,294 "blkdiag3,33 llinfit15,364 llinfit138,1107 llinfit262,1986 mminfit88,2893 qquadfit108,3349 KKLfit159,5013 KKLfitmod210,6530 KKLfit2258,7950 ssolveKKT307,9046 llmconst320,9366 ccleancdf377,11251 pposls395,11899 iinvchol418,12482 ssolveswm426,12641 nnorm435,12879 ./option_trades.R,189 iindex.quotes5,65 iindex.returns7,165 iig2617,574 iig2722,727 iig26.close28,890 iig26.theta36,1122 iig2552,1458 iig25.close57,1647 iig25.theta62,1759 iig25.close68,1910 ./plot_deltas.R,132 iindexpv1,0 KK5,136 ttranchespv6,167 ttranchespv12,360 ddeltas14,406 xx19,516 ccol120,536 ccol221,570 ccol322,604 ./plot_distributions.R,116 llossdist4,147 llossdist.orig11,381 RRstoch15,677 pparf24,986 ddist29,1160 ddist30,1197 ddistw31,1245 ./pretty_plots.R,278 ddate2,17 rroot.dir3,36 ddists4,71 ssupport10,276 ttradedate25,938 ccalibration.date26,973 ggetcusip.pv30,1208 iindex.pv36,1433 ggetcusip_indicdata58,2398 ttradedate81,3466 ddealname82,3501 hhy.pv83,3524 bbally13184,3568 ssupport88,3819 ddf90,3871 ./reinvestingdistribution.R,190 pp3,31 SS4,47 llu5,66 QQ7,75 bbetavec18,465 rresultx19,493 rresulty20,508 nn.int28,828 qquadrature29,841 ww30,888 ZZ31,912 rrho32,934 QQvec33,946 QQresult47,1342 ./serenitasdb.R,318 sserenitasdb3,32 ssqlArray5,70 ssqlQuote10,186 nnameToBasketID14,253 sset.index.desc20,452 ccdslist41,1343 aarr.convert47,1588 gget.singlenamesquotes64,2036 iindexsplit75,2558 gget.tranchequotes80,2715 ccouponfromindex91,3100 ggetlastdate98,3380 gget.indexquotes107,3728 gget.skews113,4007 ./test_options.R,212 ttradedate9,168 iindex11,223 iindex12,259 iindex13,301 ttweakindex16,508 rref28,1093 nnewindex29,1104 hh30,1139 eexerciseDates31,1212 ffp33,1301 ffp234,1311 ccalib40,1538 ooption49,1897 ./thetas-curve.R,162 ddata.src11,161 iindex.closeprice13,236 gget.maturities26,736 mmaturities47,1488 qquotes48,1542 iindex49,1594 ssqlstr50,1656 uunique.dates53,1797 ./thetas-durations.R,187 hhostname6,70 sserenitasdb13,240 gget.indexquotes.table15,278 gget.indexmaturity31,870 ffastduration42,1215 ffasttheta58,1678 ssqlstr.duration81,2476 ssqlstr.theta83,2622 ./time_of_default.R,364 sspreads1,0 zz12,32 rrho4,48 ll5,57 ll12,152 tt17,217 ff18,233 AA21,277 rrho24,310 LL25,319 zz126,326 ccdf34,469 dd40,550 pp41,565 ppnormvec43,592 LL50,676 ZZ51,683 ppv152,719 ppv253,728 ppv354,737 ppv455,746 ppv67,1161 uu69,1236 vvecD70,1243 ttranchesize78,1373 pprotectionsize86,1551 ccl90,1614 ppl96,1766 ./tranche_functions.R,802 ppos2,21 ttrancheloss6,59 ttrancherecov10,128 ttranche.cl14,205 ttranche.cl.scenarios34,1002 ffunded.tranche.pv52,1705 ttranche.pl71,2383 ttranche.pl.scenarios88,2873 ttranche.pv104,3308 ttranche.pv.scenarios108,3452 aadjust.attachments113,3620 BBCtranche.legs119,3810 BBCtranche.pv139,4697 MMFtranche.pv166,5590 aadjust.skew185,6165 BBCtranche.theta240,8015 BBCtranche.delta256,8691 MMFtranche.delta288,10063 BBCtranche.corr01321,11444 BBCtranche.VaR329,11770 EEL342,12228 BBCindex.pv364,13094 EELtrunc386,13932 PProbtrunc395,14377 BBCstrikes405,14709 ttranche.factor416,15033 MMFupdate.prob422,15263 MMFlossrecovdist.prepay435,15731 MMFlossdist.joint464,16975 MMFlossdist.prepay.joint499,18435 MMFrecovery526,19573 MMFlossdist540,20094 ./tranches_RV_BC.R,34 ooption_list6,164 aargs20,953 ./transactions.R,98 ttransdir1,0 ttranssave2,31 ddealnames3,76 sstripext4,93 ppurchased17,458 ssold22,633 ./VaR.R,146 ttradedate14,285 iindex15,324 rrho17,371 sskew.shocks19,463 ppvshocks120,514 sshock.spreads22,562 bbefore23,635 ppv.shocks224,665 ./xmltotab.R,39 iinput3,70 ttop4,132 ttable5,154 ./yieldcurve.R,105 ggetMarkitIRData5,81 tthirdwed14,446 nnextthirdwed20,571 bbuildMarkitYC25,656 eexportYC62,1880 ./zerorecovery_index.R,177 zzerorecov.pv10,169 ddelta24,684 ttradedate34,1158 iindex36,1220 iindex37,1256 uupfront42,1546 ttradedate50,1768 iindex52,1830 iindex53,1866 uupfront59,2156 lossdistrib/R/distrib.R,812 GGHquad26,1244 llossdistrib47,1963 cconvolve66,2540 llossdistrib.fft87,3387 llossdistrib2116,4659 llossdistrib2.truncated155,5953 rrecovdist197,7559 llossdist.joint236,8935 llossdist.prepay.joint264,9914 llossdistC326,12527 llossdistCZ334,12826 llossdistC.truncated346,13324 eexp_trunc355,13646 rrec.trunc363,13870 rrecovdistC375,14202 llossdistC.prepay.joint382,14428 llossdistC.prepay.jointZ390,14758 llossrecovdist407,15435 llossrecovdist.term421,15943 llossrecovdist.joint.term442,16679 ddist.transform460,17365 sshockprob483,18078 sshockseverity503,18873 ddshockprob512,19212 ddqnorm516,19341 ffit.prob521,19417 ffit.probC546,20155 sstochasticrecov554,20392 sstochasticrecovC566,20857 BBClossdist574,21166 BBClossdistC606,22272 BBCER625,23129