diff options
| -rw-r--r-- | R/creditIndex.R | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/R/creditIndex.R b/R/creditIndex.R index cbad046d..3d2c8681 100644 --- a/R/creditIndex.R +++ b/R/creditIndex.R @@ -1,7 +1,7 @@ -if(.Platform$OS.type == "unix"){ - root.dir <- "/home/share/CorpCDOs" +root.dir <- if(.Platform$OS.type == "unix"){ + "/home/share/CorpCDOs" }else{ - root.dir <- "//WDSENTINEL/share/CorpCDOs" + "//WDSENTINEL/share/CorpCDOs" } library(lossdistrib) @@ -16,7 +16,8 @@ creditIndex <- function(name, tenor="5yr", Z=gh$Z, w=gh$w, N=Ngrid) { r <- list(name=name, tenor=tenor, type = substr(name, 1, 2), series=as.integer(substr(name, 3, nchar(name))), - Z=Z, w=w, N=N, recovery=0.4) + Z=Z, w=w, N=N) + r$recovery <- if(r$type=="HY") 0.3 else 0.4 return( structure(r, class="creditIndex") ) } |