1 files changed, 6 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R
index 07723448..259ebde6 100644
--- a/R/calibration.R
+++ b/R/calibration.R
@@ -43,7 +43,12 @@ set.singlenamesdata <- function(index, tradedate){
             loginfo(paste("no quotes available for", quote$ticker, "on day",
                           as.character(tradedate)))
             ## probably defaulted
-            quote$upfront = (1-quote$recovery) * 0.9
+            if(!is.na(quote$recovery)) {
+                quote$upfront = (1-quote$recovery) * 0.9
+            } else {
+                index$portfolio <- NULL
+                return( index )
+            }
         }
         index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates))
     }