1 files changed, 3 insertions, 2 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index f5afd0f5..53432c5b 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -561,10 +561,11 @@ indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE,
     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)}))
     spread <- index$quotes$spread[index$quotes$maturity==maturity]
-    accrued <- cdsAccrued(tradedate, spread)
-    r <- list(cl = mean(cl.list) - accrued, pl = mean(pl.list), bp = 1+mean(cl.list-pl.list))
+    r <- list(cl = spread * mean(cl.list), pl = mean(pl.list), bp = 1+mean(spread*cl.list-pl.list))
     if(clean){
+        accrued <- cdsAccrued(tradedate, spread)
         r$bp <- r$bp-accrued
+        r$cl <- r$cl-accrued
     }
     return(r)
 }