diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 08b5f508..336c84eb 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -668,9 +668,9 @@ SPmatrix2 <- function(portfolio, dealdata, freq="3 months"){ return(list(DP=DP, PP=PP))
}
-forwardportfolioprice <- function(portfolio, startdate, rollingmaturity, coupontype, margin, recovery){
- forwardcs <- couponSchedule(nextpaydate=startdate+45, maturity=startdate+rollingmaturity,
- frequency="Q", "FLOAT", margin, margin, startdate=startdate)
+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$SC))
for(i in 1:length(portfolio$SC)){
cl <- couponleg(forwardcs, portfolio$SC[[i]]@curve, startdate=startdate)
|