diff options
Diffstat (limited to 'R/load_cf.R')
| -rw-r--r-- | R/load_cf.R | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 1110b97d..6165540c 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -94,8 +94,8 @@ getdealcf <- function(dealnames, zipfiles, tradedate=Sys.Date()){ alldates <- getdealschedule(dealdata, "1 month")
config <- getconfig(dealname, tradedate)
- T <- ifelse(alldates>=L3m$params$tradeDate, yearFrac(L3m$params$tradeDate, alldates), 0)
- DC <- DiscountCurve(L3m$params, L3m$tsQuotes, T)
+ 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")
@@ -223,8 +223,8 @@ 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>=L3m$params$tradeDate, yearFrac(L3m$params$tradeDate, alldates), 0)
- DC <- DiscountCurve(L3m$params, L3m$tsQuotes, T)
+ 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")
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