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 e8fd569d..2cb53efc 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -545,14 +545,14 @@ cdshazardrate <- function(quotes, R=0.4, tradedate=Sys.Date(), cs.all){ while(abs(cdspv(cs, sc, R, tradedate) + quotes$upfront[i] - acc) > eps && count < 500) { dh <- - (quotes$upfront[i] + cdspv(cs, sc, R, tradedate) - acc)/ dcdspv(cs, sc, R, tradedate, index) - while( (new.h + dh) < 0 ) { - dh <- dh * 0.8 - } new.h <- new.h + dh hvec <- c(previous.hvec, rep(new.h, flength)) sc@hazardrates <- hvec count <- count + 1 } + if (count == 500) { + cat(sprintf("could not compute hazard rate for %s\n", quotes$maturity[i])) + } previous.hvec <- hvec previous.maturity <- maturity previous.cs <- cs |