diff options
| -rw-r--r-- | R/zerorecovery_index.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/zerorecovery_index.R b/R/zerorecovery_index.R index 897a55c7..27af7d63 100644 --- a/R/zerorecovery_index.R +++ b/R/zerorecovery_index.R @@ -43,7 +43,7 @@ upfront <- c() for(R in seq(0.2, 0.45, 0.01)) { index <- set.singlenamesdata(index, tradedate, R) tweak <- tweakcurves(index) - upfront <- c(upfront, zerorecov.pv(tweak$portfolio)) + upfront <- c(upfront, zerorecov.pv(tweak$portfolio, index$cs, tradedate)) } ##ITRX @@ -60,6 +60,6 @@ upfront <- c() for(R in seq(0.2, 0.45, 0.01)) { index <- set.singlenamesdata(index, tradedate, R) tweak <- tweakcurves(index) - upfront <- c(upfront, zerorecov.pv(tweak$portfolio)) + upfront <- c(upfront, zerorecov.pv(tweak$portfolio, index$cs, tradedate)) } plot(seq(0.2, 0.45, 0.01), upfront, type="l", xlab="recovery") |