1 files changed, 8 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R
index 98460489..7caec58f 100644
--- a/R/calibration.R
+++ b/R/calibration.R
@@ -57,7 +57,7 @@ set.tranchedata <- function(index, tradedate){
     }
     index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1,
                                0, tradedate, IMMDate(tradedate, "prev"))
-    if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){
+    if(!is.na(temp$indexrefprice[1]) && temp$indexrefprice[1] != 0){
         index$quotes$price <- temp$indexrefprice[1]/100
     }else{
         ##rewrite as a snac function
@@ -67,22 +67,24 @@ set.tranchedata <- function(index, tradedate){
             defaultleg(index$cs, sc, index$recovery, startdate)
         index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1])
     }
-    index$portfolio <- tweakcurves(index, tradedate)$portfolio
+    tweak <- tweakcurves(index, tradedate)
+    index$portfolio <- NULL
+    index <- c(index, tweak)
     index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates))
     negprob <- which(index$defaultprob<0, arr.ind=T)
-    if(nrow(negprob)>0){
+    if(nrow(negprob) > 0){
         stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data"))
     }
     K <- c(0, temp$detach/100)
     index$K.orig <- K
     index$K <- adjust.attachments(K, index$loss, index$factor)
     index$tranche.upf <- temp$trancheupfrontmid
-    index$tranche.running <- temp$trancherunningmid*1e-4
+    index$tranche.running <- temp$trancherunningmid * 1e-4
     ## compute dirty protection price
     if(length(grep("hy", index$name, ignore.case=TRUE))>0){
-        index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)
+        index$tranche.quotes <- 1 - index$tranche.upf/100 - cdsAccrued(tradedate, index$tranche.running)
     }else{
-        index$tranche.quotes <- index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)
+        index$tranche.quotes <- index$tranche.upf/100 - cdsAccrued(tradedate, index$tranche.running)
     }
     return( index )
 }