1 files changed, 9 insertions, 11 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index 5407ccaa..6ccf7c37 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -608,10 +608,9 @@ indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE,
         portfolio <- index$portfolio
     }
     startdate <- tradedate + 1
-    #ugly hack
-    cs <- index$cs[index$cs$dates-maturity< 3,]
-    cl.list <- unlist(lapply(portfolio, function(x){couponleg(cs, x@curve, startdate)}))
-    pl.list <- unlist(lapply(portfolio, function(x){defaultleg(cs, x@curve, x@recovery, startdate)}))
+    cs <- index$cs[index$cs$unadj.dates <= maturity,]
+    cl.list <- unlist(lapply(portfolio, function(x) couponleg(cs, x@curve, startdate)))
+    pl.list <- unlist(lapply(portfolio, function(x) defaultleg(cs, x@curve, x@recovery, startdate)))
     if(check){
         if(any(is.na(cl.list))){
             logerror(paste("couldn't compute single name protection leg for",
@@ -639,7 +638,7 @@ indexduration <- function(index, tradedate, maturity=index$maturity){
     ## compute the duration of a portfolio of survival curves
     cs <- index$cs[index$cs$dates-maturity< 3,]
     startdate <- tradedate+1
-    cl.list <- unlist(lapply(index$portfolio, function(x){couponleg(cs, x@curve, startdate)}))
+    cl.list <- unlist(lapply(index$portfolio, function(x) couponleg(cs, x@curve, startdate) ))
     return( mean(cl.list) )
 }
 
@@ -656,15 +655,14 @@ indexspread <- function(index, tradedate=Sys.Date()){
     return(S)
 }
 
-indextheta <- function(index, tradedate=Sys.Date()){
-    if(nrow(index$cs)<=4){
+indextheta <- function(index, tradedate=Sys.Date()) {
+    if(nrow(index$cs) <= 4) {
         return( NA )
     }
     current.pv <- indexpv(index, tradedate=tradedate)$bp
-    newmaturity <- index$cs$unadj.dates[nrow(index$cs)-4]
-    index$quotes$maturity <- newmaturity
-    forward.pv <- indexpv(index, tradedate=tradedate, maturity=newmaturity)$bp
-    theta <- forward.pv-current.pv+index$quotes$spread
+    newmaturity <- index$maturity - lubridate::years(1)
+    rolled.pv <- indexpv(index, tradedate=tradedate, maturity=newmaturity)$bp
+    theta <- rolled.pv - current.pv + index$quotes$spread[index$quotes$maturity == index$maturity]
     return( theta )
 }