diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 1076ce7e..bf43bcd0 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -811,9 +811,11 @@ DP2 <- function(sc, dates, startdate=Sys.Date()){ prepayprob = cumsum(pfun(x2T) * Qmid * dT)))
}
-SPmatrix2 <- function(portfolio, dealdata, freq="3 months", startdate=Sys.Date()){
+SPmatrix2 <- function(portfolio, dealdata, freq=c("Quarterly", "Monthly"),
+ startdate=Sys.Date()){
## computes the default and prepay probability matrix of a portfolio
## at the dates specified from dealdata
+ freq <- match.arg(freq)
dates <- getdealschedule(dealdata, freq)
dates <- dates[dates>=addBusDay(startdate, 3)]
DP <- matrix(0, length(portfolio), length(dates))
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