diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 20 |
1 files changed, 10 insertions, 10 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 423a8b9e..df70e277 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -93,12 +93,11 @@ getdealcf <- function(dealnames, zipfiles, tradedate=Sys.Date()){ dealdata <- getdealdata(dealname, tradedate)
alldates <- getdealschedule(dealdata, "1 month")
config <- getconfig(dealname, tradedate)
-
- T <- ifelse(alldates>=YC$params$tradeDate, yearFrac(YC$params$tradeDate, alldates), 0)
- DC <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, T, YC$legparams)
- df <- data.table(Date=alldates,
- Discounts=DC$discounts,
- T=T, key="Date")
+ alldates <- ifelse(alldates >= YC$referenceDate, alldates, YC$referenceDate)
+ class(alldates) <- "Date"
+ df <- data.table(Date = alldates,
+ Discounts = YC$discount(alldates),
+ key="Date")
cfdata[[dealname]] <- list(mv = dealdata$mv,
currbal = dealdata$"Curr Collat Bal",
principalbal = dealdata$"Principal Bal")
@@ -148,7 +147,7 @@ getdealcf <- function(dealnames, zipfiles, tradedate=Sys.Date()){ NULL})
data <- df[data, roll=TRUE]
data$Discounts[is.na(data$Discounts)] <- 1
- data$T[is.na(data$T)] <- 0
+ #data$T[is.na(data$T)] <- 0
r[i,] <- as.numeric(data[,list(sum(Cashflow*Discounts),
sum(Principal*Discounts),
sum(Interest*Discounts))])
@@ -224,10 +223,11 @@ getcusipcf <- function(params, cfdata, dist, tradedate=Sys.Date()){ dealname <- dealnames[i]
dealdata <- getdealdata(dealname, tradedate)
alldates <- getdealschedule(dealdata, "1 month", adjust=TRUE)
- T <- ifelse(alldates>=YC$params$tradeDate, yearFrac(YC$params$tradeDate, alldates), 0)
- DC <- DiscountCurve(c(YC$params, list(dt=0.25)), YC$tsQuotes, T, YC$legparams)
+ alldates <- ifelse(alldates >= YC$referenceDate, alldates, YC$referenceDate)
+ class(alldates) <- "Date"
+ T <- yearFrac(YC$referenceDate, alldates)
df <- data.table(Date=alldates,
- Discounts=DC$discounts,
+ Discounts=YC$discount(alldates),
T=T, key="Date")
r <- matrix(0, n.scenarios, 5)
colnames(r) <- fields
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