diff options
| -rw-r--r-- | R/cds_functions_generic.R | 5 |
1 files changed, 4 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 22e1475a..b561edff 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -675,7 +675,10 @@ DP2 <- function(sc, dates, startdate=Sys.Date()){ }
getdealschedule <- function(dealdata, freq="3 months", startdate = Sys.Date(), lag = 0){
- dates <- seq(dealdata$"Deal Next Pay Date", dealdata$maturity + lag, by=freq)
+ ## necessary if we want monthly schedule with quaterly pay dates
+ prevpaydate <- seq(dealdata$"Deal Next Pay Date",
+ dealdata$"Deal Next Pay Date"-92, by="-3 months")
+ dates <- seq(prevpaydate, dealdata$maturity + lag, by=freq)
dates <- dates[dates>startdate]
return( dates )
}
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