diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 9f31d226..338b62f1 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -530,7 +530,7 @@ portfoliospread <- function(portfolio, maturity){ d <- rep(0, length(portfolio))
for(i in 1:length(portfolio)){
d[i] <- cdsduration(portfolio$SC[[i]]@curve, maturity) * portfolio$notional[i]
- S <- S + d[i] * cdsspread(portfolio$SC[[i]]@curve, index$maturity, portfolio$SC[[i]]@recovery)
+ S <- S + d[i] * cdsspread(portfolio$SC[[i]]@curve, maturity, portfolio$SC[[i]]@recovery)
}
S <- S/sum(d)
return(S)
|