diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/thetas-curve.R | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/R/thetas-curve.R b/R/thetas-curve.R index 8ea97ae5..eb9afa3f 100644 --- a/R/thetas-curve.R +++ b/R/thetas-curve.R @@ -41,7 +41,7 @@ if(!interactive()) { make_option(c("-s", "--series"), help="Index series")) args <- parse_args(OptionParser(option_list=option_list)) } else { - args <- list(index="IG", series=26) + args <- list(index="IG", series=27) } maturities <- get.maturities(args$index, args$series) @@ -62,14 +62,13 @@ for(i in seq_along(unique.dates)) { index$quotes <- quotes %>% filter(date == tradedate) %>% left_join(maturities) %>% arrange(maturity) tweak <- tweakcurves(index, tradedate) - index$portfolio <- NULL - index <- c(index, tweak) - theta <- numeric(length(index$maturities)) - duration <- numeric(length(index$maturities)) + index$portfolio <- tweak$portfolio + index$basis <- tweak$basis + acc <- cdsAccrued(tradedate, 1) for(j in seq_along(maturities$maturity)) { maturity <- maturities$maturity[j] theta <- index %>% indextheta(tradedate=tradedate, maturity=maturity) - duration <- index %>% indexduration(tradedate=tradedate, maturity=maturity) + duration <- (index %>% indexduration(tradedate=tradedate, maturity=maturity)) - acc dbSendQuery(serenitasdb, sqlstr, params = list(duration, theta, tradedate, args$index, args$series, maturities$tenor[j])) |