diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 44b5c7b5..2f740248 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -43,7 +43,7 @@ bps <- 1e-4 cdsdates <- as.Date(character(0))
for(tenor in paste0(1:5, "y")){
- cdsdates <- c(cdsdates, cdsMaturity(tenor))
+ cdsdates <- c(cdsdates, cdsMaturity(tenor, date=workdate))
}
hy21portfolio <- c()
|