diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index be01c103..2fc967e3 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -636,9 +636,10 @@ tweakcurves <- function(index, tradedate=Sys.Date()){ forward.tweak=forward.tweak)$bp - index$quotes$price[i])
}
epsilon[i] <- optimize(f, c(-0.15, 0.15), index, tol=1e-6)$minimum
+ index$portfolio <- tweakportfolio(index$portfolio, epsilon[i], forward.tweak=forward.tweak)
}
cat("tweak = ", epsilon, "\n")
- return( list(portfolio=tweakportfolio(index$portfolio, epsilon), epsilon=epsilon) )
+ return( list(portfolio=index$portfolio, epsilon=epsilon) )
}
survivalProbability1 <- function(startdate, date, survival.curve) {
|