diff options
Diffstat (limited to 'R/cds_utils.R')
| -rw-r--r-- | R/cds_utils.R | 14 |
1 files changed, 9 insertions, 5 deletions
diff --git a/R/cds_utils.R b/R/cds_utils.R index cdccbb78..d5ecaa4d 100644 --- a/R/cds_utils.R +++ b/R/cds_utils.R @@ -90,11 +90,15 @@ couponSchedule <- function(nextpaydate=NULL, maturity, if(coupontype == "FLOAT" && !is.na(margin)) {
## if is.na(margin) probably letter of credit
## we floor the coupon at the current gross rate
- if( missing(liborfloor) ) {
- coupons <- pmax(currentcoupon, forwards + margin)
- } else {
- coupons <- pmax(forwards, liborfloor) + margin
- }
+ coupons <- if( missing(liborfloor) ) {
+ if( is.na(currentcoupon) ) {
+ forwards + margin
+ } else {
+ pmax(currentcoupon, forwards + margin)
+ }
+ } else {
+ pmax(forwards, liborfloor) + margin
+ }
} else {
coupons <- rep(currentcoupon, length(dates))
}
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