diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/R/calibration.R b/R/calibration.R index 3cb7c54e..e5d9cb50 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -22,7 +22,7 @@ get.cdsSchedule <- function(tradedate){ cdsdates=cdsdates) ) } -set.singlenamesdata <- function(index, tradedate){ +set.singlenamesdata <- function(index, tradedate, recov=NULL){ cds.cs <- get.cdsSchedule(tradedate) quotes <- get.singlenamesquotes(index$name, tradedate) tenor <- names(cds.cs$cdsdates) @@ -39,7 +39,8 @@ set.singlenamesdata <- function(index, tradedate){ quote <- list(ticker = quotes$ticker[i], running = quotes$spread_curve[i, tenor] * 1e-4, upfront = quotes$upfront_curve[i, tenor] * 0.01, - recovery = as.double(quotes$recovery[i,tenor][1])) + recovery = if(is.null(recov)) as.double(quotes$recovery[i,tenor][1]) + else recov) if(all(is.na(quote$upfront))){ loginfo(paste("no quotes available for", quote$ticker, "on day", as.character(tradedate))) |