1 files changed, 8 insertions, 6 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index 92fae5a7..26037343 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -547,10 +547,12 @@ indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE){
     ## computes the intrinsic price of a portfolio of cds
     if(epsilon!=0){
         portfolio <- tweakportfolio(index$portfolio, epsilon)
+    }else{
+        portfolio <- index$portfolio
     }
     startdate <- tradedate + 1
-    cl.list <- unlist(lapply(index$portfolio, function(x){couponleg(index$cs, x@curve, startdate)}))
-    pl.list <- unlist(lapply(index$portfolio, function(x){defaultleg(index$cs, x@curve, x@recovery, startdate)}))
+    cl.list <- unlist(lapply(portfolio, function(x){couponleg(index$cs, x@curve, startdate)}))
+    pl.list <- unlist(lapply(portfolio, function(x){defaultleg(index$cs, x@curve, x@recovery, startdate)}))
     accrued <- cdsAccrued(tradedate, index$coupon)
     r <- list(cl = mean(cl.list) - accrued, pl = mean(pl.list), bp = 1+mean(cl.list-pl.list))
     if(clean){
@@ -608,15 +610,15 @@ portfolioduration <- function(portfolio, maturity){
     return( crossprod(durations, portfolio$notional)/sum(portfolio$notional) )
 }
 
-tweakcurves <- function(portfolio, index, tradedate=Sys.Date()){
+tweakcurves <- function(index, tradedate=Sys.Date()){
     ## computes the tweaking factor
     epsilon <- 0
     f <- function(epsilon, ...){
-        abs(indexpv(portfolio, index, epsilon, tradedate)$bp - index$indexref)
+        abs(indexpv(index, epsilon, tradedate)$bp - index$indexref)
     }
-    epsilon <- optimize(f, c(-0.5, 0.5), portfolio, index, tol=1e-6)$minimum
+    epsilon <- optimize(f, c(-0.5, 0.5), index, tol=1e-6)$minimum
     cat("tweak = ", epsilon, "\n")
-    return( list(portfolio=tweakportfolio(portfolio, epsilon), epsilon=epsilon) )
+    return( list(portfolio=tweakportfolio(index$portfolio, epsilon), epsilon=epsilon) )
 }
 
 survivalProbability1 <- function(startdate, date, survival.curve) {