1 files changed, 10 insertions, 10 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index 8ed227a0..a61dc394 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -27,7 +27,7 @@ setClass("defaultprepaycurve", representation(prepayrates="numeric"), contains="
 setClass("creditcurve", representation(issuer="character", startdate="Date",
                                        recovery="numeric", curve="defaultcurve"))
 
-shapedtodpc <- function(cs, sc, startdate){
+shapedtodpc <- function(cs, sc, startdate=Sys.Date()){
     ## convert a shaped curve to a standard defaultprepaycuve
     T <- yearFrac(startdate, cs$dates)
     hvec <- sc@shape(T) * sc@h
@@ -428,14 +428,14 @@ dcdspv <- function(cs, sc, recovery, index, tradedate){
 }
 
 bondpv <- function(cs, sc, recovery, tradedate=Sys.Date()){
-    return( contingentleg(cs, sc, recovery) + couponleg(cs, sc) )
+    return( contingentleg(cs, sc, recovery, tradedate) + couponleg(cs, sc, tradedate) )
 }
 
-dbondpv <- function(cs, sc, recovery, index){
+dbondpv <- function(cs, sc, recovery, index, startdate){
     if(missing(index)){
-        return( dcontingentleg(cs, sc, recovery) + dcouponleg(cs, sc))
+        return( dcontingentleg(cs, sc, recovery, ,startdate) + dcouponleg(cs, sc, ,startdate))
     }else{
-        return( dcontingentleg(cs, sc, recovery, index)+dcouponleg(cs, sc, index) )
+        return( dcontingentleg(cs, sc, recovery, index, startdate)+dcouponleg(cs, sc, index, startdate) )
     }
 }
 
@@ -495,22 +495,22 @@ cdshazardrate <- function(quotes, R=0.4, tradedate=Sys.Date()){
     return(sc)
 }
 
-bondhazardrate.shaped <- function(collateral, shape, R=0.4, alpha=0.25, beta=15){
+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
     cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
                          collateral$frequency, collateral$fixedorfloat,
-                         collateral$grosscoupon*0.01, collateral$spread*0.01)
+                         collateral$grosscoupon*0.01, collateral$spread*0.01, startdate)
     sc <- new("shapedcurve", h=0.05, shape=shape, alpha=alpha, beta=beta)
     eps <- 1e-8
     counter <- 0
     if(collateral$price<2){
         cat("price is too low\n")
         sc <- new("shapedcurve", h=1e6, shape=shape, alpha=alpha, beta=beta)
-        return( shapedtodpc(cs, sc) )
+        return( shapedtodpc(cs, sc, startdate) )
     }
 
     while(abs(bondpv(cs, sc, R) - collateral$price/100) > eps){
-        dh <- (collateral$price/100 - bondpv(cs, sc, R))/dbondpv(cs, sc, R)
+        dh <- (collateral$price/100 - bondpv(cs, sc, R, startdate))/dbondpv(cs, sc, R, ,startdate)
         while(sc@h+dh<0){
             dh <- 0.5 * dh
         }
@@ -521,7 +521,7 @@ bondhazardrate.shaped <- function(collateral, shape, R=0.4, alpha=0.25, beta=15)
             stop("didn't reach convergence")
         }
     }
-    return( shapedtodpc(cs, sc) )
+    return( shapedtodpc(cs, sc, startdate) )
 }
 
 tweakportfolio <- function(portfolio, epsilon, multiplicative=TRUE){