1 files changed, 23 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index b1fd4dfc..1491db69 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -537,10 +537,18 @@ indexspread <- function(portfolio, index){
 }
 
 portfoliospread <- function(portfolio, maturity){
-    ## computes the spread of a portfolio of survival curves and notional for a given maturity
+    ## computes the spread of a portfolio defined by notionals and survivalcurves
+    ## for a given maturity.
+    ## if maturity is missing, we use the intrinsic maturity for each curve
     S <- 0
     d <- rep(0, length(portfolio$SC))
+    if(missing(maturity)){
+        maturityvec <- as.Date(sapply(portfolio$SC, creditcurve.maturity), origin="1970-01-01")
+    }
     for(i in 1:length(portfolio$SC)){
+        if(missing(maturity)){
+            maturity <- maturityvec[i]
+        }
         d[i] <- cdsduration(portfolio$SC[[i]]@curve, maturity) * portfolio$notional[i]
         S <- S + d[i] * cdsspread(portfolio$SC[[i]]@curve, maturity, portfolio$SC[[i]]@recovery)
     }
@@ -685,3 +693,17 @@ forwardportfolioprice <- function(portfolio, startdate, maturity, coupontype, ma
     }
     return(mean(r))
 }
+
+
+creditcurve.maturity <- function(creditcurve){
+    if(class(creditcurve)=="creditcurve"){
+        dates <- creditcurve@curve@dates
+        if(length(dates)){
+            return( dates[length(dates)] )
+        }else{
+            return( creditcurve@startdate )
+        }
+    }else{
+        stop("not of class creditcurve")
+    }
+}