1 files changed, 41 insertions, 22 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index a38e38ef..1db5ea7b 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -695,29 +695,48 @@ DP2 <- function(sc, dates, startdate=Sys.Date()){
                 prepayprob = cumsum(pfun(x2T) * Qmid * dT)))
 }
 
-getdealschedule <- function(dealdata, freq="3 months", startdate = Sys.Date(), lag = 0){
-    calstring <- "UnitedStates/GovernmentBond"
-    settledate <- advance(calendar = calstring,
-                          dates = startdate,
-                          n = 3,
-                          timeUnit = 0)
-    nextpaydate <- dealdata$"Deal Next Pay Date"
-    ## "Deal Next Pay Date" might be stale in the database
-    if(dealdata$"Deal Next Pay Date" < settledate){
-        prevpaydate <- nextpaydate
-        nextpaydate <- advance(calendar = calstring,
-                               dates = nextpaydate,
-                               n = 3,
-                               timeUnit = 2)
-    }else{
-        prevpaydate <- advance(calendar = calstring,
-                               dates = nextpaydate,
-                               n = -3,
-                               timeUnit =  2)
+## getdealschedule <- function(dealdata, freq="3 months", startdate = Sys.Date(), lag = 0){
+##     calstring <- "UnitedStates/GovernmentBond"
+##     settledate <- advance(calendar = calstring,
+##                           dates = startdate,
+##                           n = 3,
+##                           timeUnit = 0)
+##     nextpaydate <- dealdata$"Deal Next Pay Date"
+##     ## "Deal Next Pay Date" might be stale in the database
+##     if(dealdata$"Deal Next Pay Date" < settledate){
+##         prevpaydate <- dealdata$"Deal Next Pay Date"
+##         nextpaydate <- advance(calendar = calstring,
+##                                dates = dealdata$"Deal Next Pay Date",
+##                                n = 3,
+##                                timeUnit = 2)
+##     }else{
+##         prevpaydate <- advance(calendar = calstring,
+##                                dates = dealdata$"Deal Next Pay Date",
+##                                n = -3,
+##                                timeUnit =  2)
+##     }
+##     dates <- seq(prevpaydate, dealdata$maturity + lag, by=freq)
+##     dates <- dates[dates>settledate]
+##     return( dates )
+## }
+
+getdealschedule <- function(dealdata, freq="1 month", startdate= Sys.Date(), lag=0, adjust=FALSE){
+    if(is.null(dealdata$"Pay Day")||(abs(as.numeric(dealdata$"Deal Next Pay Date"- dealdata$"Pay Day") - 90)>10)){
+        dealdata$"Pay Day" <- seq(dealdata$"Deal Next Pay Date", length=2, by="-3 months")[2]
+    }
+    sched <- seq(dealdata$"Pay Day", dealdata$"maturity" + lag, by=freq)
+    ##always add the maturity
+    if(sched[length(sched)] < dealdata$maturity){
+        sched <- c(sched, dealdata$maturity)
     }
-    dates <- seq(prevpaydate, dealdata$maturity + lag, by=freq)
-    dates <- dates[dates>settledate]
-    return( dates )
+    if(adjust){
+        calstring <- "UnitedStates"
+        ## never adjust the maturity
+        sched <- c(adjust(calstring, sched[-length(sched)]), sched[length(sched)])
+        base::names(sched) <- NULL
+    }
+
+    return(sched)
 }
 
 SPmatrix2 <- function(portfolio, dealdata, freq="3 months", startdate=Sys.Date()){