diff options
Diffstat (limited to 'R/calibrate_tranches_BC.R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 7bc71471..7652a90f 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -87,12 +87,12 @@ for(run in config$runs){ alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){
curr <- "EUR"
- cal <- "TARGET"
+ cal <- Calendar$new("TARGET")
}else{
curr <- "USD"
- cal <- "UnitedStates/GovernmentBond"
+ cal <- Calendar$new("UnitedStates/GovernmentBond")
}
- bus.dates <- alldates[isBusinessDay(calendar=cal, alldates)]
+ bus.dates <- alldates[cal$isBusinessDay(alldates)]
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
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