diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibration.R | 7 |
1 files changed, 7 insertions, 0 deletions
diff --git a/R/calibration.R b/R/calibration.R index 79760284..2658576c 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -42,6 +42,10 @@ set.singlenamesdata <- function(index, tradedate){ running = quotes$spread_curve[i, tenor] * 1e-4, upfront = quotes$upfront_curve[i, tenor] * 0.01, recovery = as.double(quotes$recovery[i,tenor][1])) + if(all(is.na(quote$upfront))){ + loginfo(paste("no quotes available for", quote$ticker)) + return( NULL ) + } index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates)) } index$issuerweights <- rep(1/length(index$portfolio), length(index$portfolio)) @@ -50,6 +54,9 @@ set.singlenamesdata <- function(index, tradedate){ } set.tranchedata <- function(index, tradedate){ + if(is.null(index)){ + return( NULL ) + } temp <- get.tranchequotes(index$name, index$tenor, tradedate) index$quotes <- data.frame(maturity=index$maturity, refspread=temp$indexrefspread[1], |