diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 338b62f1..3dea5d17 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -527,8 +527,8 @@ indexspread <- function(portfolio, index){ portfoliospread <- function(portfolio, maturity){
## computes the spread of a portfolio of survival curves and notional for a given maturity
S <- 0
- d <- rep(0, length(portfolio))
- for(i in 1:length(portfolio)){
+ d <- rep(0, length(portfolio$SC))
+ for(i in 1:length(portfolio$SC)){
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)
}
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