diff options
| -rw-r--r-- | R/cds_functions_generic.R | 8 |
1 files changed, 8 insertions, 0 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index e1fb7c1c..155b5024 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -542,6 +542,14 @@ portfoliospread <- function(portfolio, maturity){ return(S)
}
+portfolioduration <- function(portfolio, maturity){
+ d <- rep(0, length(portfolio$SC))
+ for(i in 1:length(portfolio$SC)){
+ d[i] <- cdsduration(portfolio$SC[[i]]@curve, maturity) * portfolio$notional[i]
+ }
+ return(sum(d)/sum(portfolio$notional))
+}
+
tweakcurves <- function(portfolio, index){
## computes the tweaking factor
epsilon <- 0
|