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 c16cdaca..9c0e9b2d 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -71,6 +71,9 @@ set.tranchedata <- function(index, tradedate){ defaultleg(index$cs, sc, index$recovery, startdate) index$quotes$price <- 1 + cds.pv - cdsAccrued(tradedate, index$quotes$spread[1]) } + if(length(indexpv(index, tradedate=tradedate, check=TRUE))==1){ + return(NULL) + } tweak <- tweakcurves(index, tradedate) index$portfolio <- NULL index <- c(index, tweak) |