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hy20 <- list(maturity=as.Date("2018-06-20"),
coupon=0.05,
factor=1,
loss=0,
recovery=0.4)
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)
hy10 <- list(maturity=as.Date("2015-06-20"),
coupon=0.05,
factor=0.83,
loss=0.1414,
recovery=0.3)
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