diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 14 |
1 files changed, 8 insertions, 6 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 1bdaae02..f4bb3668 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -71,16 +71,18 @@ for(i in seq_along(runs$name)){ next
}
alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
- bus.dates <- alldates[isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates)]
+ if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){
+ curr <- "EUR"
+ cal <- "TARGET"
+ }else{
+ curr <- "USD"
+ cal <- "UnitedStates/GovernmentBond"
+ }
+ bus.dates <- alldates[isBusinessDay(calendar=cal, alldates)]
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
- if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")){
- curr <- "EUR"
- }else{
- curr <- "USD"
- }
exportYC(tradedate, curr)
index <- creditIndex(index.name, tenor)
index <- set.index.desc(index, tradedate)
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