diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index c07bc987..1eaa492b 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -225,7 +225,7 @@ compute.delta <- function(indexdist, dealweight, cusip.pv, tradedate=Sys.Date(), calibration.date <- addBusDay(tradedate)
## we assume the index is fully funded - need to be changed depending
## on how we fund the swaps (hence floating coupon instead of fixed)
- cs <- couponSchedule(nextIMMDate(tradedate), hy21$maturity, "Q",
+ cs <- couponSchedule(IMMDate(tradedate), hy21$maturity, "Q",
"FLOAT", 0.05, 0, calibration.date)
nT <- dim(indexdist$L)[2]
Ngrid <- dim(indexdist$L)[1]
|