diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/R/calibration.R b/R/calibration.R index 259ebde6..3cb7c54e 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -17,8 +17,9 @@ get.cdsSchedule <- function(tradedate){ newdate <- cdsMaturity(tenor, date=tradedate) cdsdates <- c(cdsdates, newdate) } - return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], "Q", "FIXED", - 1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) ) + return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], + "Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")), + cdsdates=cdsdates) ) } set.singlenamesdata <- function(index, tradedate){ |