diff options
| -rw-r--r-- | R/cds_utils.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/cds_utils.R b/R/cds_utils.R index 640981ca..95dbca65 100644 --- a/R/cds_utils.R +++ b/R/cds_utils.R @@ -84,7 +84,7 @@ couponSchedule <- function(nextpaydate=NULL, maturity, DC <- DiscountCurve(c(YC$params, list(dt=dt)),
YC$tsQuotes, yearFrac(YC$params$tradeDate, dates), YC$legparams)
- if(toupper(coupontype)=="FLOAT" && !is.na(margin)){
+ if(is.na(coupontype) || (toupper(coupontype)=="FLOAT" && !is.na(margin))){
## if is.na(margin) probably letter of credit
## we floor the coupon at the current gross rate
coupons <- pmax(currentcoupon, DC$forwards + margin)
|