diff options
Diffstat (limited to 'R/thetas-durations.R')
| -rw-r--r-- | R/thetas-durations.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index 54e79f8f..b70b1726 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -76,11 +76,11 @@ sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and "and series=$4 and tenor=$5") sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3", "and series=$4 and tenor=$5") -for(index in c('IG', 'HY')){ +for(index in c('IG', 'HY')) { recov <- if(index=='IG') 0.4 else 0.3 coupon <- if(index=='IG') 0.01 else 0.05 tenors <- if(index=='IG') c("3yr", "5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr") - for(series in 18:27){ + for(series in 18:28) { indexquotes <- get.indexquotes.table(index, series, tenors) if(nrow(indexquotes)==0){ next |