diff options
| -rw-r--r-- | R/thetas-durations.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 5d024b3f..be2f0064 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -86,13 +86,13 @@ sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index= for(index in c('IG', 'HY', 'EU', 'XO')) { recov <- if(index %in% c('IG', 'EU')) 0.4 else 0.3 coupon <- if(index %in% c('IG', 'EU')) 0.01 else 0.05 - for(series in 18:29) { + for(series in 18:30) { tenors <- switch(index, IG = c("3yr", "5yr", "7yr", "10yr"), HY = c("3yr", "5yr", "7yr"), EU = c("3yr", "5yr", "7yr", "10yr"), XO = c("3yr", "5yr", "7yr", "10yr")) - if( index %in% c('EU', 'XO') && series == 29) { + if( index %in% c('EU', 'XO') && series == 30) { next } |