diff options
Diffstat (limited to 'R/thetas-curve.R')
| -rw-r--r-- | R/thetas-curve.R | 11 |
1 files changed, 9 insertions, 2 deletions
diff --git a/R/thetas-curve.R b/R/thetas-curve.R index 427ac4ba..2923c83b 100644 --- a/R/thetas-curve.R +++ b/R/thetas-curve.R @@ -57,12 +57,19 @@ for(i in seq_along(unique.dates)) { loginfo(paste("calibrating", index$name, tradedate)) exportYC(tradedate, "USD") index <- set.index.desc(index, tradedate) + index$quotes <- quotes %>% filter(date == tradedate) %>% + inner_join(maturities, by="tenor") %>% arrange(maturity) + if(nrow(index$quotes) == 0) { + next + } index <- set.singlenamesdata(index, tradedate) + if(is.null(index$portfolio)){ + next + } index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), index$maturity, "Q", "FIXED", 1, 0, tradedate, IMMDate(tradedate, "prev")) - index$quotes <- quotes %>% filter(date == tradedate) %>% - right_join(maturities, by="tenor") %>% arrange(maturity) + tweak <- tweakcurves(index, tradedate) index$portfolio <- tweak$portfolio index$basis <- tweak$basis |