diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 7 |
1 files changed, 6 insertions, 1 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 24efabb1..fe443b3d 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -31,7 +31,12 @@ L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12) L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)
-setEvaluationDate(as.Date(MarkitData$effectiveasof))
+
+if(isBusinessDay(calendar="UnitedStates",dates=as.Date(MarkitData$effectiveasof))){
+ setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
+}else{
+ setEvaluationDate(as.Date(MarkitData$effectiveasof))
+}
setCalendarContext("TARGET")
## calibrate HY21
|