diff options
| -rw-r--r-- | R/calibration.R | 8 |
1 files changed, 2 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index 3c837296..2f5877ee 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -70,12 +70,8 @@ set.tranchedata <- function(index, tradedate){ if(!is.na(index$quotes$refprice) && index$quotes$refprice != 0){ index$quotes$price <- index$quotes$refprice/100 }else{ - ##rewrite as a snac function - sc <- new("flatcurve", h=index$quotes$refspread[1]*1e-4/(1-index$recovery)) - startdate <- tradedate + 1 - cds.pv <- couponleg(index$cs, sc, startdate)*index$quotes$spread - - defaultleg(index$cs, sc, index$recovery, startdate) - index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1]) + index$quotes$price <- snacpv(index$cs, index$quotes$refspread[1]*1e-4, index$quotes$spread, + 0.4, tradedate) } if(length(indexpv(index, tradedate=tradedate, check=TRUE))==1){ return(NULL) |