diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 13 |
1 files changed, 9 insertions, 4 deletions
diff --git a/R/calibration.R b/R/calibration.R index e1b8a74f..97b06ed4 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -49,14 +49,19 @@ set.singlenamesdata <- function(index, tradedate){ set.tranchedata <- function(index, tradedate){ temp <- get.tranchequotes(index$name, index$tenor, tradedate) + index$spreadref <- temp$indexrefspread[1]*1e-4 + if(index$name=="ig19" || index$name=="ig21"){ + index$spreadref <- 0.01 + } + index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", index$spreadref, + 0, tradedate, IMMDate(tradedate, "prev")) if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){ index$priceref <- temp$indexrefprice[1]/100 }else{ - index$priceref <- 1 + sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery)) + index$priceref <- 1 + cdspv(index$cs, sc, index$recovery, tradedate)- + cdsAccrued(tradedate, index$spreadref) } - index$spreadref <- temp$indexrefspread[1]*1e-4 - index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", index$spreadref, - 0, tradedate, IMMDate(tradedate, "prev")) index$portfolio <- tweakcurves(index, tradedate)$portfolio index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates)) negprob <- which(index$defaultprob<0, arr.ind=T) |