diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/thetas-durations.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/thetas-durations.R b/R/thetas-durations.R index c43fe458..cf3fef7e 100644 --- a/R/thetas-durations.R +++ b/R/thetas-durations.R @@ -82,7 +82,7 @@ fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes, fixedrate=0. return( r ) } -tenors <- c("3yr", "5yr", "7yr") +tenors <- c("3yr", "5yr", "7yr", "10yr") sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and index=$3", "and series=$4 and tenor=$5") sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3", |