diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 3ea19b14..fc8b303a 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -551,7 +551,8 @@ indexpv <- function(index, epsilon=0, tradedate=Sys.Date(), clean=TRUE, portfolio <- index$portfolio
}
startdate <- tradedate + 1
- cs <- index$cs[index$cs$dates<=maturity,]
+ #ugly hack
+ cs <- index$cs[index$cs$dates-maturity< 3,]
cl.list <- unlist(lapply(portfolio, function(x){couponleg(cs, x@curve, startdate)}))
pl.list <- unlist(lapply(portfolio, function(x){defaultleg(cs, x@curve, x@recovery, startdate)}))
spread <- index$quotes$spread[index$quotes$maturity==maturity]
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