diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/R/calibration.R b/R/calibration.R index 38f7d329..b6a05c91 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -69,7 +69,7 @@ set.tranchedata <- function(index, tradedate){ stop("index is NULL") } temp <- get.tranchequotes(index$name, index$tenor, tradedate) - if(is.null(temp)){ + if(nrow(temp) == 0) { stop(paste(index$name, "no quote for day", as.character(tradedate))) } index$quotes <- data.frame(maturity=index$maturity, @@ -83,7 +83,7 @@ set.tranchedata <- function(index, tradedate){ }else{ index$quotes$price <- snacpv(index$cs, index$quotes$refspread[1]*1e-4, index$quotes$spread, - 0.4, tradedate) + if (index$type %in% c("IG", "EU")) 0.4 else 0.3, tradedate) } if(length(indexpv(index, tradedate=tradedate)) == 1) { stop("why am I stopping?") @@ -135,7 +135,8 @@ set.tranchedata <- function(index, tradedate){ }else{ dirtyquotes <- temp$trancheupfrontmid/100 - accrued } - index$tranches <- data.frame(upfront=temp$trancheupfrontmid, + index$tranches <- data.frame(id = temp$id, + upfront=temp$trancheupfrontmid, running=temp$trancherunningmid * 1e-4, quotes=dirtyquotes, mkt.delta=temp$tranchedelta, |