diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/cds_functions_generic.R | 3 | ||||
| -rw-r--r-- | R/creditIndex.R | 2 |
2 files changed, 4 insertions, 1 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R index 1e0b54b8..ae28341f 100644 --- a/R/cds_functions_generic.R +++ b/R/cds_functions_generic.R @@ -656,6 +656,9 @@ indexspread <- function(index, tradedate=Sys.Date()){ }
indextheta <- function(index, tradedate=Sys.Date()){
+ if(nrow(index$cs)<=4){
+ return( NA )
+ }
current.pv <- indexpv(index, tradedate=tradedate)$bp
newmaturity <- index$cs$unadj.dates[nrow(index$cs)-4]
index$quotes$maturity <- newmaturity
diff --git a/R/creditIndex.R b/R/creditIndex.R index 3d2c8681..7ce7af7c 100644 --- a/R/creditIndex.R +++ b/R/creditIndex.R @@ -113,7 +113,7 @@ tosql <- function(index){ index$basis, index$EL, index$duration, - index$theta, + if(is.na(index$theta)) "NULL" else index$theta, sqlArray(as.integer(index$K.orig*100)), sqlArray(index$rho[-1]), sqlArray(index$tranches$mkt.delta), |