1 files changed, 15 insertions, 9 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index 4b0db5b4..615403fa 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -75,8 +75,8 @@ setMethod("couponleg", signature("data.frame", "defaultprepaycurve"),
           ## happenning is the sum of the two.
           function(cs, sc, accruedondefault=TRUE, startdate=today()){
               x1T <- yearFrac(today(), sc@dates)
-              x2T <- yearFrac(startdate, cs$dates)
-              dT <- diff(c(0, x2T))
+              x2T <- yearFrac(today(), cs$dates)
+              dT <- diff(c(0, yearFrac(startdate, cs$dates)))
               hfun <- approxfun(x1T, sc@hazardrates, method="constant", rule=2)
               pfun <- approxfun(x1T, sc@prepayrates, method="constant", rule=2)
               SP <- cumprod(exp( - (hfun(x2T) + pfun(x2T)) * dT))
@@ -320,8 +320,8 @@ setMethod("contingentleg", signature("data.frame", "defaultprepaycurve", "numeri
           ## coupon schedule, hazard rates curve, prepay curve, and recovery.
           function(cs, sc, recovery, startdate=today()) {
               x1T <- yearFrac(today(), sc@dates)
-              x2T <- yearFrac(startdate, cs$dates)
-              dT <- diff(c(0, x2T))
+              x2T <- yearFrac(today(), cs$dates)
+              dT <- diff(c(0, yearFrac(startdate, cs$dates)))
               hfun <- approxfun(x1T, sc@hazardrates, method="constant", rule=2)
               pfun <- approxfun(x1T, sc@prepayrates, method="constant", rule=2)
               Q <- cumprod(exp( -(hfun(x2T)+pfun(x2T)) * dT)) * cs$df
@@ -701,13 +701,19 @@ SPmatrix2 <- function(portfolio, dealdata, freq="3 months", startdate=Sys.Date()
 forwardportfolioprice <- function(portfolio, startdate, maturity, coupontype, margin, recovery){
   forwardcs <- couponSchedule(nextpaydate=startdate+45, maturity,
                               frequency="Q", "FLOAT", margin, margin, startdate=startdate)
-  r <- rep(0, length(portfolio$SC))
+  r <- c()
+  notionalvec <- c()
   for(i in seq_along(portfolio$SC)){
-    cl <- couponleg(forwardcs, portfolio$SC[[i]]@curve)
-    pl <- contingentleg(forwardcs, portfolio$SC[[1]]@curve, portfolio$SC[[i]]@recovery)
-    r[i] <- pl+cl
+    if(length(portfolio$SC[[i]]@curve@hazardrates)==0){
+      next
+    }else{
+      notionalvec <- c(notionalvec, portfolio$notional[i])
+    }
+    cl <- couponleg(forwardcs, portfolio$SC[[i]]@curve, startdate)
+    pl <- contingentleg(forwardcs, portfolio$SC[[i]]@curve, portfolio$SC[[i]]@recovery, startdate)
+    r <- c(r, pl+cl)
   }
-  return(mean(r))
+  return(crossprod(notionalvec, r)/sum(notionalvec))
 }