diff options
Diffstat (limited to 'cds_functions_generic.R')
| -rw-r--r-- | cds_functions_generic.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/cds_functions_generic.R b/cds_functions_generic.R index 9183b3e1..962d3c7d 100644 --- a/cds_functions_generic.R +++ b/cds_functions_generic.R @@ -497,7 +497,7 @@ indexpv <- function(portfolio, index, epsilon=0){ pl[i] <- defaultleg(cs, portfolio[[i]]@curve, portfolio[[i]]@recovery)
}
}
- return( list(cl=mean(cl), pl=mean(pl), bp=1+pl-cl))
+ return( list(cl=mean(cl), pl=mean(pl), bp=1+mean(cl-pl)))
}
indexduration <- function(portfolio, index){
@@ -522,7 +522,7 @@ tweakcurves <- function(portfolio, index){ ## computes the tweaking factor
epsilon <- 0
f <- function(epsilon, ...){
- abs(indexpv(portfolio, index, epsilon)-index$indexref)
+ abs(indexpv(portfolio, index, epsilon)$bp-index$indexref)
}
epsilon <- optimize(f, c(-0.5, 0.5), portfolio, index, tol=1e-6)$minimum
portfolio.new <- portfolio
|