diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/cds_functions_generic.R | 10 |
1 files changed, 8 insertions, 2 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 0596e247..f64c062d 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -718,9 +718,15 @@ SPmatrix2 <- function(portfolio, dealdata, freq="3 months", startdate=Sys.Date() return(list(DP=DP, PP=PP))
}
-forwardportfolioprice <- function(portfolio, startdate, maturity, coupontype, margin, recovery){
+forwardportfolioprice <- function(portfolio, startdate, maturity, coupontype, margin, recovery, liborfloor){
+ if(missing(liborfloor)){
+ currentcoupon <- margin
+ }else{
+ currentcoupon <- margin + liborfloor
+ }
forwardcs <- couponSchedule(nextpaydate=startdate+45, maturity,
- frequency="Q", "FLOAT", margin, margin, startdate=startdate)
+ frequency="Q", coupontype, margin,
+ currentcoupon, startdate=startdate)
r <- c()
notionalvec <- c()
for(i in seq_along(portfolio$SC)){
|