diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/R/calibration.R b/R/calibration.R index 1a8242e8..bf79c8e4 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -50,12 +50,12 @@ set.singlenamesdata <- function(index, tradedate){ } index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates)) } - if(index$name == "EU9"){ - index$issuerweights <- rep(0.08, 123) - index$issuerweights[quotes$ticker=="GDFS"] <- 0.08*2 - index$issuerweights[quotes$ticker=="GASSM"] <- 0.08*2 - } index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) + ## group common curves + index$issuerweights <- aggregate(index$issuerweights, + by = list(unlist(lapply(index$portfolio, function(x)x@issuer))), + sum)[,2] + index$portfolio <- unique(index$portfolio) index$recov <- sapply(index$portfolio, attr, "recovery") return( index ) } @@ -87,7 +87,7 @@ set.tranchedata <- function(index, tradedate){ tweak <- tweakcurves(index, tradedate) index$portfolio <- NULL index <- c(index, tweak) - index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates)) + index$defaultprob <- 1 - SPmatrix(index$portfolio, index$cs$dates) negprob <- which(index$defaultprob<0, arr.ind=T) if(nrow(negprob) > 0){ stop(paste(index$portfolio[[negprob[1,1]]]@issuer, "has negative probability, check single names data")) |