diff options
| -rw-r--r-- | R/thetas-durations.R | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index c441140d..ccd0f4a4 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -104,6 +104,11 @@ sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index= for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ indexquotes <- get.indexquotes(index, series) + indexquotes <- indexquotes[!(is.na(indexquotes[,"3yr"]) & is.na(indexquotes[,"5yr"]) + & is.na(indexquotes[,"7yr"])),] + if(nrow(indexquotes)==0){ + next + } maturities <- get.indexmaturity(index, series) maturities <- maturities[maturities$tenor %in% tenors,] indexquotes <- indexquotes[indexquotes$date<=maturities$maturity[3],] @@ -131,8 +136,9 @@ for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ r <- rbind(r, c(fastduration(sc, cs, tradedate, maturities$maturity), fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront))) } - df.durations <- data.frame(date=indexquotes$date, r[,1:3]) - df.thetas <- data.frame(date=indexquotes$date, r[,4:6]) + + df.durations <- data.frame(date=indexquotes$date, r[,1:3, drop=F]) + df.thetas <- data.frame(date=indexquotes$date, r[,4:6, drop=F]) colnames(df.durations) <- c("date", tenors) colnames(df.thetas) <- c("date", tenors) for(i in 1:nrow(df.durations)){ |