1 files changed, 10 insertions, 7 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index 706072ee..64176812 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -768,14 +768,13 @@ FEP <- function(index, exerciseDate) {
     return( fep )
 }
 
-SP <- function(sc, startdate=Sys.Date()){
+SP <- function(sc, dates, dT){
     ## computes the survival probability associated with the survival curve
-    T <- c(0, yearFrac(startdate, sc@dates))
-    dT <- diff(T)
-    return( cumprod(exp(-sc@hazardrates * dT)) )
+    h <- approx(sc@dates, sc@hazardrates, dates, "constant", rule=2)$y
+    return( cumprod(exp(-h * dT)) )
 }
 
-SPmatrix <- function(portfolio, n.dates){
+SPmatrix <- function(portfolio, dates){
     ## computes matrix of survival probability
     ## inputs:
     ##   portfolio: portfolio of survival curves
@@ -784,10 +783,14 @@ SPmatrix <- function(portfolio, n.dates){
     ##   matrix of survival probabilities of dimensions dim1 x dim2
     ##   with dim1 number of issuers and dim2 number of dates in the
     ##   coupon schedule of index
-    SP <- matrix(0, length(portfolio), n.dates)
+    SP <- matrix(0, length(portfolio), length(dates))
     for(i in 1:length(portfolio)){
-        SP[i,] <- SP(portfolio[[i]]@curve, portfolio[[i]]@startdate)[1:n.dates]
+        T <- c(0, yearFrac(portfolio[[i]]@startdate, dates))
+        dT <- diff(T)
+        SP[i,] <- SP(portfolio[[i]]@curve, dates, dT)
     }
+    colnames(SP) <- as.character(dates)
+    rownames(SP) <- unlist(lapply(portfolio, function(x)x@issuer))
     return( SP )
 }