diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/R/calibration.R b/R/calibration.R index b4f65ccb..1a8242e8 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -33,6 +33,9 @@ set.singlenamesdata <- function(index, tradedate){ quotes$recovery[i,] <- rep(0.4,8) } + if(quotes$ticker[i] == "PLCOAL" && is.na(quotes$upfront_curve[i, "5y"])){ + quotes$upfront_curve[i, "5y"] = 85 + } quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2,cds.cs$cdsdates)* quotes$spread_curve[i, tenor]*1e-2, quotes$upfront_curve[i, tenor]) |