diff options
Diffstat (limited to 'R/intex_deal_functions.R')
| -rw-r--r-- | R/intex_deal_functions.R | 17 |
1 files changed, 2 insertions, 15 deletions
diff --git a/R/intex_deal_functions.R b/R/intex_deal_functions.R index 251c5fed..2ed3f2fa 100644 --- a/R/intex_deal_functions.R +++ b/R/intex_deal_functions.R @@ -137,20 +137,6 @@ fithazardrate <- function(collateral){ return( optimize(f, c(0,1), tol=1e-6)$minimum )
}
-
-maturity <- function(creditcurve){
- if(class(creditcurve)=="creditcurve"){
- dates <- creditcurve@curve@dates
- if(length(dates)){
- return( dates[length(dates)] )
- }else{
- return( creditcurve@startdate )
- }
- }else{
- stop("not of class creditcurve")
- }
-}
-
stackcurve <- function(SC, line.item, global.params, startdate){
if(line.item$nextpaydate> line.item$maturity){
SC@curve@hazardrates <- 0
@@ -239,7 +225,7 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate SC@curve <- try
}
}
- if(!is.na(reinvdate) && maturity(SC) <= reinvdate){
+ if(!is.na(reinvdate) && creditcurve.maturity(SC) <= reinvdate){
## if reinvdate is missing, assume no reinvestment
## otherwise reinvest
newstartdate <- line.item$maturity
@@ -288,6 +274,7 @@ buildSC.portfolio <- function(dealname, dealdata, cusipdata, global.params, star cdonotional <- cdonotional + line.item$currentbalance
}else{
if(is.na(line.item$price)){
+ browser()
missingpricenotional <- missingpricenotional + line.item$currentbalance
}
}
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