diff options
| -rw-r--r-- | R/script_calibrate_tranches.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 1970ab8d..24efabb1 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -32,7 +32,7 @@ L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6) L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
setEvaluationDate(as.Date(MarkitData$effectiveasof))
-setCalendarContext("UnitedStates/GovernmentBond")
+setCalendarContext("TARGET")
## calibrate HY21
## calibrate the single names curves
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