diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/load_cf.R | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/R/load_cf.R b/R/load_cf.R index 0fef5ac2..5cb5fc12 100644 --- a/R/load_cf.R +++ b/R/load_cf.R @@ -256,8 +256,10 @@ getcusipcf <- function(cusips, cfdata, dist, workdate=Sys.Date()){ compute.delta <- function(indexdist, dealweight, cusip.pv, workdate=Sys.Date()){
calibration.date <- prevBusDay(workdate)
+ ## we assume the index is fully funded - need to be changed depending
+ ## on how we fund the swaps (hence floating coupon instead of fixed)
cs <- couponSchedule(nextIMMDate(workdate), as.Date("2017-12-20"), "Q",
- "FIXED", 0.05, 0, calibration.date)
+ "FLOAT", 0.05, 0, calibration.date)
nT <- dim(indexdist$L)[2]
Ngrid <- dim(indexdist$L)[1]
scenariosl <- matrix(0, length(dealweight), nT)
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