1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
|
hy19 <- list(maturity=as.Date("2017-12-20"),
coupon=0.05,
factor=1,
loss=0,
recovery=0.3)
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)
|
