diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 26037343..064b50eb 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -553,7 +553,7 @@ indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE){ startdate <- tradedate + 1
cl.list <- unlist(lapply(portfolio, function(x){couponleg(index$cs, x@curve, startdate)}))
pl.list <- unlist(lapply(portfolio, function(x){defaultleg(index$cs, x@curve, x@recovery, startdate)}))
- accrued <- cdsAccrued(tradedate, index$coupon)
+ accrued <- cdsAccrued(tradedate, index$spreadref)
r <- list(cl = mean(cl.list) - accrued, pl = mean(pl.list), bp = 1+mean(cl.list-pl.list))
if(clean){
r$bp <- r$bp-accrued
@@ -614,7 +614,7 @@ tweakcurves <- function(index, tradedate=Sys.Date()){ ## computes the tweaking factor
epsilon <- 0
f <- function(epsilon, ...){
- abs(indexpv(index, epsilon, tradedate)$bp - index$indexref)
+ abs(indexpv(index, epsilon, tradedate)$bp - index$priceref)
}
epsilon <- optimize(f, c(-0.5, 0.5), index, tol=1e-6)$minimum
cat("tweak = ", epsilon, "\n")
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