1 files changed, 4 insertions, 6 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index ae557729..92fae5a7 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -543,16 +543,14 @@ tweakportfolio <- function(portfolio, epsilon, multiplicative=TRUE){
     return( r )
 }
 
-indexpv <- function(portfolio, index, epsilon=0, tradedate=Sys.Date(), clean=TRUE){
+indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE){
     ## computes the intrinsic price of a portfolio of cds
-    cs <- couponSchedule(IMMDate(tradedate), index$maturity, "Q", "FIXED", index$coupon, tradedate,
-                        IMMDate(tradedate, "prev"))
     if(epsilon!=0){
-        portfolio <- tweakportfolio(portfolio, epsilon)
+        portfolio <- tweakportfolio(index$portfolio, epsilon)
     }
     startdate <- tradedate + 1
-    cl.list <- unlist(lapply(portfolio, function(x){couponleg(cs, x@curve, startdate)}))
-    pl.list <- unlist(lapply(portfolio, function(x){defaultleg(cs, x@curve, x@recovery, startdate)}))
+    cl.list <- unlist(lapply(index$portfolio, function(x){couponleg(index$cs, x@curve, startdate)}))
+    pl.list <- unlist(lapply(index$portfolio, function(x){defaultleg(index$cs, x@curve, x@recovery, startdate)}))
     accrued <- cdsAccrued(tradedate, index$coupon)
     r <- list(cl = mean(cl.list) - accrued, pl = mean(pl.list), bp = 1+mean(cl.list-pl.list))
     if(clean){