diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 10 |
1 files changed, 6 insertions, 4 deletions
diff --git a/R/calibration.R b/R/calibration.R index 9a298f6d..040c8b8f 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -55,15 +55,17 @@ set.tranchedata <- function(index, tradedate){ if(index$name=="ig19" || index$name=="ig21"){ index$quotes$spread <- 0.01 } - index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", - index$quotes$spread[1], + index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity,"Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")) if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){ index$quotes$price <- temp$indexrefprice[1]/100 }else{ + ##rewrite as a snac function sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery)) - index$quotes$price <- 1 + cdspv(index$cs, sc, index$recovery, tradedate)- - cdsAccrued(tradedate, index$quotes$spread[1]) + startdate <- tradedate + 1 + cds.pv <- couponleg(index$cs, sc, startdate)*index$quotes$spread - + defaultleg(index$cs, sc, index$recovery, startdate) + index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1]) } index$portfolio <- tweakcurves(index, tradedate)$portfolio index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates)) |