diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 8 |
1 files changed, 2 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index b6b5b5c6..9eeb03b5 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -13,7 +13,7 @@ buildSC <- function(quote, cs, cdsdates){ get.cdsSchedule <- function(tradedate){ cdsdates <- as.Date(character(0)) - for(tenor in paste0(c(1:5, 7), "y")){ + for(tenor in paste0(c(1:5, 7, 10), "y")){ newdate <- cdsMaturity(tenor, date=tradedate) cdsdates <- c(cdsdates, newdate) } @@ -32,10 +32,6 @@ set.singlenamesdata <- function(index, tradedate){ quotes$upfront_curve[i,] <- rep(0,8) quotes$recovery[i,] <- rep(0.4,8) } - - if(quotes$ticker[i] == "PLCOAL" && is.na(quotes$upfront_curve[i, "5y"])){ - quotes$upfront_curve[i, "5y"] = 85 - } quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2,cds.cs$cdsdates)* quotes$spread_curve[i, tenor]*1e-2, quotes$upfront_curve[i, tenor]) @@ -72,7 +68,7 @@ set.tranchedata <- function(index, tradedate){ refspread=temp$indexrefspread[1], refprice=temp$indexrefprice[1]) index$quotes$spread <- couponfromindex(index$name, index$tenor)*1e-4 - index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1, + index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity, "Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")) if(!is.na(index$quotes$refprice) && index$quotes$refprice != 0){ index$quotes$price <- index$quotes$refprice/100 |