diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/calibration.R b/R/calibration.R index 96bf03f2..469fe9db 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -32,7 +32,7 @@ set.singlenamesdata <- function(index, tradedate){ paste0(index.name, "_singlenames_", tradedate, ".csv"))) nondefaulted <- singlenames.data[!singlenames.data$ticker %in% index$defaulted,] cds.cs <- get.cdsSchedule(tradedate) - index$portfolio <- c() + index$portfolio <- list() for(i in 1:nrow(nondefaulted)){ index$portfolio <- c(index$portfolio, buildSC(nondefaulted[i,], cds.cs$cs, cds.cs$cdsdates)) } @@ -48,8 +48,8 @@ set.tranchedata <- function(index, tradedate){ index$indexref <- index$tranche.data$bidRefPrice[1]/100 index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", 0.05, 0, tradedate, IMMDate(tradedate, "prev")) - index$portfolio.tweaked <- tweakcurves(index, tradedate)$portfolio - index$defaultprob <- 1-SPmatrix(index$portfolio.tweaked, length(index$cs$dates)) + index$portfolio <- tweakcurves(index, tradedate)$portfolio + index$defaultprob <- 1-SPmatrix(index$portfolio, length(index$cs$dates)) K <- c(0, 0.15, 0.25, 0.35, 1) index$K <- adjust.attachments(K, index$loss, index$factor) index$tranche.upf <- index$tranche.data$Mid |