diff options
Diffstat (limited to 'R/cds_functions_generic.R')
| -rw-r--r-- | R/cds_functions_generic.R | 10 |
1 files changed, 4 insertions, 6 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 64176812..9bfccb86 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -857,19 +857,17 @@ forward.prot <- function(index, exerciseDate){ defaultAdjustedForwardIndexPrice <- function(index, exerciseDate, fixedRate=0.05){
tes <- addBusDay(exerciseDate)
- df <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, yearFrac(index$tradedate, tes),
- YC$legparams)$discounts
+ df <- discountFactors(YC, tes)
price <- 1 - FEP(index, exerciseDate) +
- 1/df*(forward.cl(index, exerciseDate)*fixedRate -
- forward.prot(index, exerciseDate)-cdsAccrued(exerciseDate, fixedRate))
+ 1/df * (forward.cl(index, exerciseDate) * fixedRate -
+ forward.prot(index, exerciseDate) - cdsAccrued(exerciseDate, fixedRate))
return( price )
}
forwardflatcds <- function(h, cs, tradeDate, exerciseDate, fixedRate=0.05, R=0.4){
tes <- addBusDay(exerciseDate)
fep <- (1-R)*(1-exp(-h*yearFrac(tradeDate, exerciseDate)))
- df <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, yearFrac(tradeDate, tes),
- YC$legparams)$discounts
+ df <- discountFactors(YC, tes)
sc <- new("flatcurve", h=h)
cl <- couponleg(cs, sc, startdate=exerciseDate)
pl <- defaultleg(cs, sc, recovery=R, startdate=exerciseDate)
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