diff options
| -rw-r--r-- | R/thetas-durations.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index defa54f4..8fd60295 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -45,7 +45,7 @@ fastduration <- function(sc, cs, tradedate, maturities){ startdate <- tradedate+1 acc <- cdsAccrued(tradedate, 1) for(i in seq_along(maturities)){ - r[i] <- if(startdate <= maturitities[i]){ + r[i] <- if(startdate <= maturities[i]){ couponleg(cs[cs$unadj.dates<=maturities[i],], sc, startdate, accruedondefault=TRUE)-acc } |