diff options
Diffstat (limited to 'cds_functions_generic.R')
| -rw-r--r-- | cds_functions_generic.R | 15 |
1 files changed, 8 insertions, 7 deletions
diff --git a/cds_functions_generic.R b/cds_functions_generic.R index df7912ef..330920b2 100644 --- a/cds_functions_generic.R +++ b/cds_functions_generic.R @@ -505,13 +505,14 @@ indexduration <- function(portfolio, index){ indexspread <- function(portfolio, index){
## computes the spread of a portfolio of survival curves
- S <- 0
- d <- rep(0, length(portfolio))
- for(i in 1:length(portfolio)){
- d[i] <- cdsduration(portfolio[[i]]@curve, index$maturity)
- S <- S + d[i] * cdsspread(portfolio[[i]]@curve, index$maturity, portfolio[[i]]@recovery)
- }
- return(S/sum(d))
+ ## S <- 0
+ ## d <- rep(0, length(portfolio))
+ ## for(i in 1:length(portfolio)){
+ ## d[i] <- cdsduration(portfolio[[i]]@curve, index$maturity)
+ ## S <- S + d[i] * cdsspread(portfolio[[i]]@curve, index$maturity, portfolio[[i]]@recovery)
+ ## }
+ S <- hy17$coupon-(indexpv(portfolio, index)-1)/indexduration(portfolio, index)
+ return(S)
}
tweakcurves <- function(portfolio, index){
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