diff options
| -rw-r--r-- | cds_functions_generic.R | 1 |
1 files changed, 1 insertions, 0 deletions
diff --git a/cds_functions_generic.R b/cds_functions_generic.R index 962d3c7d..57886b77 100644 --- a/cds_functions_generic.R +++ b/cds_functions_generic.R @@ -618,6 +618,7 @@ SPmatrix2 <- function(portfolio, dealdata){ ## computes the default and prepay probability matrix of a portfolio
## at the dates specified from dealdata
dates <- seq(dealdata$"Deal Next Pay Date", dealdata$maturity, by="3 months")
+ dates <- dates[dates>today()]
T <- yearFrac(today(), dates)
DP <- matrix(0, length(portfolio), length(dates))
PP <- matrix(0, length(portfolio), length(dates))
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