diff options
| -rw-r--r-- | R/cds_functions_generic.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 064b50eb..2f4fbf7a 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -616,7 +616,7 @@ tweakcurves <- function(index, tradedate=Sys.Date()){ f <- function(epsilon, ...){
abs(indexpv(index, epsilon, tradedate)$bp - index$priceref)
}
- epsilon <- optimize(f, c(-0.5, 0.5), index, tol=1e-6)$minimum
+ epsilon <- optimize(f, c(-0.15, 0.15), index, tol=1e-6)$minimum
cat("tweak = ", epsilon, "\n")
return( list(portfolio=tweakportfolio(index$portfolio, epsilon), epsilon=epsilon) )
}
|