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 fe8d4707..cae12c28 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -650,7 +650,7 @@ tweakcurves <- function(index, tradedate=Sys.Date()){ abs(indexpv(index, epsilon, tradedate, maturity=index$quotes$maturity[i],
forward.tweak=forward.tweak)$bp - index$quotes$price[i])
}
- epsilon[i] <- optimize(f, c(-0.15, 0.15), index, tol=1e-6)$minimum
+ epsilon[i] <- optimize(f, c(-0.15, 0.30), index, tol=1e-6)$minimum
index$portfolio <- tweakportfolio(index$portfolio, epsilon[i], forward.tweak=forward.tweak)
loginfo(paste("tweak =", epsilon[i]))
}
|