diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 8 |
1 files changed, 3 insertions, 5 deletions
diff --git a/R/calibration.R b/R/calibration.R index 809edf1a..083174fa 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -11,14 +11,11 @@ buildSC <- function(quote, cs, cdsdates){ return( SC ) } -get.cdsSchedule <- function(tradedate, indexmaturity){ +get.cdsSchedule <- function(tradedate){ cdsdates <- as.Date(character(0)) - for(tenor in paste0(c(1:5, 7,10), "y")){ + for(tenor in paste0(c(1:5, 7), "y")){ newdate <- cdsMaturity(tenor, date=tradedate) cdsdates <- c(cdsdates, newdate) - if(newdate>=indexmaturity){ - break - } } return( list(cs=couponSchedule(IMMDate(tradedate, noadj=TRUE), cdsdates[length(cdsdates)], "Q", "FIXED", 1, tradedate, IMMDate(tradedate, "prev")), cdsdates=cdsdates) ) @@ -35,6 +32,7 @@ set.singlenamesdata <- function(index, tradedate){ quotes$upfront_curve[i,] <- rep(0,8) quotes$recovery[i,] <- rep(0.4,8) } + quotes$upfront_curve[i, tenor] <- pmax(-yearFrac(tradedate+2,cds.cs$cdsdates)* quotes$spread_curve[i, tenor]*1e-2, quotes$upfront_curve[i, tenor]) |