diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibration.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index da9aeb49..07723448 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -42,7 +42,8 @@ set.singlenamesdata <- function(index, tradedate){ if(all(is.na(quote$upfront))){ loginfo(paste("no quotes available for", quote$ticker, "on day", as.character(tradedate))) - return( NULL ) + ## probably defaulted + quote$upfront = (1-quote$recovery) * 0.9 } index$portfolio <- c(index$portfolio, buildSC(quote, cds.cs$cs, cds.cs$cdsdates)) } |