diff options
Diffstat (limited to 'R/intex_deal_functions.R')
| -rw-r--r-- | R/intex_deal_functions.R | 3 |
1 files changed, 1 insertions, 2 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index 6fbad96b..cd3a62f2 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -267,9 +267,8 @@ buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, star }
missingpricenotional <- sum(collatdata[is.na(price) & maturity>startdate &
(is.na(iscdo)|!iscdo), currentbalance])
- cdonotional <- sum(collatdata[iscdo==TRUE,currentbalance])
+ cdonotional <- sum(collatdata[!is.na(iscdo)&(iscdo==TRUE),currentbalance])
collatbalance <- sum(collatdata[,currentbalance])
-
return( list(notional=vapply(portfolio, function(x)x$notional, numeric(1)),
beta = vapply(portfolio, function(x)x$beta, numeric(1)),
price = vapply(portfolio, function(x)x$price, numeric(1)),
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