diff options
| -rw-r--r-- | R/load_cf.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 8370ea98..06780887 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -192,7 +192,7 @@ getdealcf <- function(params, workdate=Sys.Date()){ ## date in intex vector is pre current date.
## we also add some wiggle room at the end to make sure we're not missing one date
prevpaydate <- basic.advance(sqldata$"Deal Next Pay Date", -6, "month")
- alldates <- seq.Date(from=prevpaydate, sqldata$maturity+7, by="1 month")
+ alldates <- seq.Date(from=prevpaydate, sqldata$maturity+11, by="1 month")
T <- ifelse(alldates>=L3m$params$tradeDate, yearFrac(L3m$params$tradeDate, alldates), 0)
DC <- DiscountCurve(L3m$params, L3m$tsQuotes, T)
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