diff options
Diffstat (limited to 'R/build_scenarios.R')
| -rw-r--r-- | R/build_scenarios.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 6df618f6..10e4d490 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -222,7 +222,6 @@ for(j in seq_along(dealnames)){ reinvprices <- list()
for(assetname in names(reinvassets)){
asset <- reinvassets[[assetname]]
- reinvprices[[assetname]] <- numeric(length(deal.datesmonthly))
if(asset$coupontype=="FLOAT") {
coupon <- reinvspread
}else{
@@ -231,9 +230,9 @@ for(j in seq_along(dealnames)){ #reinvest tweak
coupon <- coupon-0.0075
- reinvprices[[assetname]] <- foreach(i = icount(length(deal.datesmonthly))) %dopar% {
- 100 * forwardportfolioprice(deal.portfolio, deal.datesmonthly[i],
- min(deal.datesmonthly[i]+rollingmaturity*30, deal.data$maturity),
+ reinvprices[[assetname]] <- foreach(date = iter(deal.datesmonthly)) %dopar% {
+ 100 * forwardportfolioprice(deal.portfolio, date,
+ min(date+rollingmaturity*30, deal.data$maturity),
asset$coupontype, coupon, asset$liborfloor/100)
}
}
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