diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index b561edff..4547f8b9 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -172,6 +172,7 @@ setGeneric("cdsduration", function(sc, maturity, ...) { standardGeneric("cdsduration")
})
+## duration is based on the standard IMM schedule
setMethod("cdsduration", signature("abstractcurve", "Date"),
## computes the risky PV01, also called risky annuity of a cds
function(sc, maturity, accruedondefault=TRUE){
@@ -677,7 +678,7 @@ DP2 <- function(sc, dates, startdate=Sys.Date()){ getdealschedule <- function(dealdata, freq="3 months", startdate = Sys.Date(), lag = 0){
## necessary if we want monthly schedule with quaterly pay dates
prevpaydate <- seq(dealdata$"Deal Next Pay Date",
- dealdata$"Deal Next Pay Date"-92, by="-3 months")
+ dealdata$"Deal Next Pay Date"-92, by="-3 months")[2]
dates <- seq(prevpaydate, dealdata$maturity + lag, by=freq)
dates <- dates[dates>startdate]
return( dates )
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