diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 8 |
1 files changed, 1 insertions, 7 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 7d187de9..64090142 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -90,12 +90,6 @@ getdealcf <- function(dealnames, zipfiles, tradedate=Sys.Date()){ zip <- tmp
for(dealname in indextodealnames[[k]]){
dealdata <- getdealdata(dealname, tradedate)
- if(dealdata$"Deal Next Pay Date">tradedate){
- ## some new issue deals have next pay date too far back in the future
- n.quarters <- as.numeric(dealdata$"Deal Next Pay Date" - tradedate)%/%90+1
- dealdata$"Deal Next Pay Date" <- seq(dealdata$"Deal Next Pay Date", length=n.quarters,
- by="-3 months")[n.quarters]
- }
alldates <- getdealschedule(dealdata, "1 month")
config <- getconfig(dealname, tradedate)
@@ -180,7 +174,7 @@ getcusipcf <- function(params, cfdata, dist, tradedate=Sys.Date()){ zip <- params$zipfiles[params$cusips[[cusip]]]
dealname <- dealnames[i]
dealdata <- getdealdata(dealname, tradedate)
- alldates <- getdealschedule(dealdata,"1 month", adjust=TRUE)
+ alldates <- getdealschedule(dealdata, "1 month", adjust=TRUE)
T <- ifelse(alldates>=L3m$params$tradeDate, yearFrac(L3m$params$tradeDate, alldates), 0)
DC <- DiscountCurve(L3m$params, L3m$tsQuotes, T)
df <- data.table(Date=alldates,
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