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|
./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
|
