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Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 3 |
1 files changed, 3 insertions, 0 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 9af140f4..73237276 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -562,6 +562,9 @@ cdshazardrate <- function(quotes, R=0.4, tradedate=Sys.Date(), cs.all){ bondhazardrate.shaped <- function(collateral, shape, R=0.4, alpha=0.25, beta=15, startdate=Sys.Date()){ ## calibrate a default prepay curve to the collateral information + if ( collateral$fixedorfloat == "FIXED" && is.na(collateral$grosscoupon)) { + collateral$grosscoupon <- 0 + } cs <- couponSchedule(collateral$nextpaydate, collateral$maturity, collateral$frequency, collateral$fixedorfloat, collateral$grosscoupon*0.01, collateral$spread*0.01, startdate) |