diff options
| -rw-r--r-- | R/calibration.R | 14 |
1 files changed, 8 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index 4d77ec65..c16cdaca 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -51,19 +51,21 @@ set.singlenamesdata <- function(index, tradedate){ set.tranchedata <- function(index, tradedate){ temp <- get.tranchequotes(index$name, index$tenor, tradedate) - index$quotes <- data.frame(spread=temp$indexrefspread[1]*1e-4, - maturity=index$maturity, - ref=temp$indexrefprice[1]) + index$quotes <- data.frame(maturity=index$maturity, + refspread=temp$indexrefspread[1], + refprice=temp$indexrefprice[1]) if(index$name=="ig19" || index$name=="ig21"){ index$quotes$spread <- 0.01 + }else{ + index$quotes$spread <- index$quotes$refspread*1e-4 } index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")) - if(!is.na(temp$indexrefprice[1]) && temp$indexrefprice[1] != 0){ - index$quotes$price <- temp$indexrefprice[1]/100 + if(!is.na(index$quotes$refprice) && index$quotes$refprice != 0){ + index$quotes$price <- index$quotes$refprice/100 }else{ ##rewrite as a snac function - sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery)) + sc <- new("flatcurve", h=index$quotes$refspread[1]*1e-4/(1-index$recovery)) startdate <- tradedate + 1 cds.pv <- couponleg(index$cs, sc, startdate)*index$quotes$spread - defaultleg(index$cs, sc, index$recovery, startdate) |