diff options
| -rw-r--r-- | R/calibration.R | 6 | ||||
| -rw-r--r-- | R/cds_functions_generic.R | 2 | ||||
| -rw-r--r-- | R/thetas-curve.R | 3 |
3 files changed, 4 insertions, 7 deletions
diff --git a/R/calibration.R b/R/calibration.R index 6f672e85..f1605bd1 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -23,11 +23,7 @@ get.cdsSchedule <- function(tradedate, tenors=c(1:5, 7, 10)) { } set.singlenamesdata <- function(index, tradedate, recov=NULL) { - cds.cs <- if (index$type %in% c("HY", "XO")) { # no need to build the full 10y curve - get.cdsSchedule(tradedate, 1:5) - } else { - get.cdsSchedule(tradedate) - } + cds.cs <- get.cdsSchedule(tradedate) quotes <- get.singlenamesquotes(index$name, tradedate) tenor <- names(cds.cs$cdsdates) index$portfolio <- list() diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 73237276..b343dcde 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -607,7 +607,7 @@ tweakportfolio <- function(portfolio, epsilon, start.tweak=1L, end.tweak=NA, x@curve@hazardrates[range] <- x@curve@hazardrates[range] * (1+epsilon) x }) - }else{ + } else { ## we do a tweak to the spread r <- lapply(portfolio, function(x) { x@curve@hazardrates <- x@curve@hazardrates + epsilon / (1-x@recovery) diff --git a/R/thetas-curve.R b/R/thetas-curve.R index dc912f9e..0d3baf2b 100644 --- a/R/thetas-curve.R +++ b/R/thetas-curve.R @@ -39,7 +39,8 @@ if(!interactive()) { make_option(c("-s", "--series"), help="Index series")) args <- parse_args(OptionParser(option_list=option_list)) } else { - args <- list(index="IG", series=27) + args <- list(index="HY", series=30) + options(error=recover) } maturities <- get.maturities(args$index, args$series) |