diff options
| -rw-r--r-- | R/cds_functions_generic.R | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index c0a89633..9b8dd4f3 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -156,7 +156,7 @@ setMethod("dcouponleg", signature("data.frame", "shapedcurve", "missing"), if(accruedondefault) {
dSPadj <- 0.5 *(c(0, dSP[-length(SP)]) + dSP)
}else{
- SPadj <- dSP
+ dSPadj <- dSP
}
return( as.numeric(crossprod(dSPadj, cs$coupons * cs$df)) )
})
@@ -564,7 +564,7 @@ portfoliospread <- function(portfolio, maturity){ }else{
maturityvec <- rep(maturity, length(portfolio$SC))
}
- for(i in seq.int(portfolio$SC)){
+ for(i in seq_along(portfolio$SC)){
if(length(portfolio$SC[[i]]@curve@hazardrates)==0||maturityvec[i]<=portfolio$SC[[i]]@startdate){
S <- S + 0
d[i] <- 0
@@ -586,7 +586,7 @@ portfoliospread <- function(portfolio, maturity){ portfolioduration <- function(portfolio, maturity){
d <- rep(0, length(portfolio$SC))
- for(i in 1:length(portfolio$SC)){
+ for(i in seq_along(portfolio$SC)){
d[i] <- cdsduration(portfolio$SC[[i]]@curve, maturity) * portfolio$notional[i]
}
return(sum(d)/sum(portfolio$notional))
@@ -600,7 +600,7 @@ tweakcurves <- function(portfolio, index){ }
epsilon <- optimize(f, c(-0.5, 0.5), portfolio, index, tol=1e-6)$minimum
portfolio.new <- portfolio
- for(i in 1:length(portfolio)){
+ for(i in seq_along(portfolio)){
portfolio.new[[i]]@curve@hazardrates <- portfolio[[i]]@curve@hazardrates * (1 + epsilon)
}
cat("tweak = ", epsilon, "\n")
@@ -611,7 +611,7 @@ survivalProbability1 <- function(startdate, date, survival.curve) { #based on a flat hazard rate curve
T <- yearFrac(startdate, survival.curve$dates)
Tmat <- yearFrac(startdate, date)
- for ( i in 1:length(survival.curve$dates) ){
+ for ( i in seq_along(survival.curve$dates) ){
if ( date >= survival.curve$dates[i] ) {
next
}else{
@@ -637,7 +637,7 @@ survivalProbability.exact <- function(credit.curve, date) { dT <- diff(T)
Tmat <- yearFrac(credit.curve@startdate, date)
logprob <- 0
- for ( i in 1:length(dT) ){
+ for ( i in seq_along(dT) ){
if ( date > curve@dates[i] ) {
logprob <- logprob - curve@hazardrates[i] * dT[i]
}else{
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