diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 581f7d3c..67784fa6 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -208,7 +208,7 @@ setMethod("cdsspread", signature("abstractcurve", "numeric", "Date"), acc <- cdsAccrued(tradedate, 1)
return( defaultleg(cs, sc, recovery, startdate)/
- couponleg(cs, sc, startdate, accruedondefault=accruedondefault) - acc)
+ (couponleg(cs, sc, startdate, accruedondefault=accruedondefault) - acc))
})
## define defaultleg generic
@@ -243,7 +243,7 @@ setMethod("defaultleg", signature("data.frame", "defaultcurve", "numeric"), setMethod("defaultleg", signature("data.frame", "defaultprepaycurve", "numeric"),
## Computes the pv of the default leg of a cds based on a given
- ## coupon schedule, hazard rates curve, prepay curves, and recovery.
+ ## coupon schedule, defaultprepaycurve, and recovery.
function(cs, sc, recovery, startdate=Sys.Date()+1){
stopifnot(class(startdate)=="Date")
x2T <- yearFrac(startdate, cs$dates)
|