diff options
Diffstat (limited to 'R/thetas-durations.R')
| -rw-r--r-- | R/thetas-durations.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index cf3fef7e..7175877d 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -89,6 +89,7 @@ sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index= "and series=$4 and tenor=$5") for(index in c('IG', 'HY')){ recov <- if(index=='IG') 0.4 else 0.3 + coupon <- if(index=='IG') 0.01 else 0.05 for(series in c(18, 19, 20, 21, 22, 23, 24, 25)){ indexquotes <- get.indexquotes.table(index, series, tenors) if(nrow(indexquotes)==0){ @@ -107,7 +108,7 @@ for(index in c('IG', 'HY')){ quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities) sc <- cdshazardrate(quotes, recov, tradedate, cs) c(fastduration(sc, cs, tradedate, maturities$maturity), - fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront)) + fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon)) } r <- c() for(i in 1:nrow(indexquotes)){ |