diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index 2f5877ee..571201da 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -88,9 +88,14 @@ set.tranchedata <- function(index, tradedate){ index$K.orig <- K index$K <- adjust.attachments(K, index$loss, index$factor) + ## convert snac prices to proper upfront + if(substr(index$name,1, 2) %in% c("xo")){ + temp$trancheupfrontmid[4] <- 100*(1-snacpv(index$cs, temp$trancherunningmid[4]*1e-4, 0.05, 0.4, tradedate)) + temp$trancherunningmid[4] <- 500 + } ## compute dirty protection price accrued <- cdsAccrued(tradedate, temp$trancherunningmid*1e-4) - if(length(grep("hy", index$name, ignore.case=TRUE))>0){ + if(substr(index$name, 1, 2) %in% c("hy")){ dirtyquotes <- 1 - temp$trancheupfrontmid/100 - accrued }else{ dirtyquotes <- temp$trancheupfrontmid/100 - accrued |