diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/build_portfolios.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/build_portfolios.R b/R/build_portfolios.R index 68e8fcfc..4e2f1584 100644 --- a/R/build_portfolios.R +++ b/R/build_portfolios.R @@ -65,8 +65,8 @@ for(i in seq_along(dealnames)){ A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="3 months", workdate)
S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
- deal.spread5y <- portfoliospread(deal.portfolio, index$maturity)
- deal.spreadatmaturity <- portfoliospread(deal.portfolio)
+ deal.spread5y <- portfoliospread(deal.portfolio, index$maturity, workdate)
+ deal.spreadatmaturity <- portfoliospread(deal.portfolio, ,workdate)
save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
if(!file.exists(save.dir)){
dir.create(save.dir)
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