diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibration.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index 7394dbec..16fe232c 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -62,7 +62,7 @@ set.tranchedata <- function(index, tradedate){ index$quotes$price <- temp$indexrefprice[1]/100 }else{ sc <- new("flatcurve", h=temp$indexrefspread[1]*1e-4/(1-index$recovery)) - index$priceref <- 1 + cdspv(index$cs, sc, index$recovery, tradedate)- + index$quotes$price <- 1 + cdspv(index$cs, sc, index$recovery, tradedate)- cdsAccrued(tradedate, index$quotes$spread[1]) } index$portfolio <- tweakcurves(index, tradedate)$portfolio |