diff options
Diffstat (limited to 'R/cds_utils.R')
| -rw-r--r-- | R/cds_utils.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/cds_utils.R b/R/cds_utils.R index 9b830cef..3685056e 100644 --- a/R/cds_utils.R +++ b/R/cds_utils.R @@ -26,7 +26,7 @@ convertTenor <- function(tenor) { }else if ( year != -1) {
a <- as.numeric(attr(year, "capture.start"))
b <- a + attr(year, "capture.length") - 1
- l <- as.numeric(substr(tenor, a,b))
+ l <- as.numeric(substr(tenor, a, b))
return ( 365 * l )
}else{
stop("format not recognized")
@@ -77,7 +77,7 @@ creditSchedule <- function(startdate, enddate) { }
couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, currentcoupon,
- margin, startdate=today()){
+ margin, startdate=Sys.Date()){
## computes the coupon schedule
## inputs:
## nextpaydate: first payment date of the coupon schedule
@@ -105,7 +105,7 @@ couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, cu dates <- c(dates, maturity)
}
}
- dates <- dates[ dates >= today()]
+ dates <- dates[ dates >= startdate]
DC <- switch(frequency,
S = DiscountCurve(L6m$params, L6m$tsQuotes, yearFrac(L6m$params$tradeDate, dates)),
Q = DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, dates)),
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