diff options
| -rw-r--r-- | R/build_portfolios.R | 1 | ||||
| -rw-r--r-- | R/script_calibrate_tranches.R | 2 |
2 files changed, 2 insertions, 1 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index ec7ace43..34869f2a 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -1,4 +1,5 @@ library("RQuantLib")
+library("yaml")
args <- commandArgs(trailingOnly=TRUE)
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 44b5c7b5..2f740248 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -43,7 +43,7 @@ bps <- 1e-4 cdsdates <- as.Date(character(0))
for(tenor in paste0(1:5, "y")){
- cdsdates <- c(cdsdates, cdsMaturity(tenor))
+ cdsdates <- c(cdsdates, cdsMaturity(tenor, date=workdate))
}
hy21portfolio <- c()
|