diff options
Diffstat (limited to 'R/thetas-durations.R')
| -rw-r--r-- | R/thetas-durations.R | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index d5f150f5..bb57cfad 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -60,7 +60,7 @@ fastduration <- function(sc, cs, tradedate, maturities){ return( r ) } -fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){ +fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes, fixedrate=0.05){ r <- rep(NA, length(maturities)) if(is.null(sc)){ return(r) @@ -76,8 +76,8 @@ fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){ }else{ newcs <- cs[cs$unadj.dates<=newmaturities[i],] upfront <- defaultleg(newcs, sc, recov, startdate) - - (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*0.05 - r[i] <- quotes[i]-upfront+0.05 + (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*fixedrate + r[i] <- quotes[i]-upfront+fixedrate } } return( r ) @@ -91,7 +91,7 @@ sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3", "and series=$4 and tenor=$5") -for(series in c(16, 17, 18, 19, 20, 21, 22, 23)){ +for(series in c(16, 17, 18, 19, 20, 21, 22, 23, 24)){ indexquotes <- get.indexquotes(index, series) indexquotes <- indexquotes[!(is.na(indexquotes[,"3yr"]) & is.na(indexquotes[,"5yr"]) & is.na(indexquotes[,"7yr"])),] |