diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index 3b1755bb..936e2a2c 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -38,7 +38,7 @@ set.singlenamesdata <- function(index, tradedate, recov=NULL) { quotes$recovery[i,] <- rep(0.4, 8) } quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2, cds.cs$cdsdates)* - quotes$spread_curve[i, tenor]*1e-2, + quotes$spread_curve[i, tenor] * 1e-2, quotes$upfront_curve[i, tenor]) quote <- list(ticker = quotes$ticker[i], running = quotes$spread_curve[i, tenor] * 1e-4, |