diff options
| -rw-r--r-- | R/thetas-durations.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 40694a88..39bb3286 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -84,7 +84,8 @@ for(index in c('IG', 'HY')){ recov <- if(index=='IG') 0.4 else 0.3 coupon <- if(index=='IG') 0.01 else 0.05 tenors <- if(index=='IG') c("3yr", "5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr") - for(series in c(18, 19, 20, 21, 22, 23, 24, 25, 26)){ + for(series in 18:27){ + if(index == 'HY' && series == 27) next indexquotes <- get.indexquotes.table(index, series, tenors) if(nrow(indexquotes)==0){ next |