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So I get an error message: " Error in seq.default(from = 0, to = (lubridate::year(maturity.date) - :
'by' must be of length 1 ". I've replaced the SwapCashflowYFCalculation function with the CashFlowPricing one, changed the old CalculateAccural function to the new one, and changed the reference to the SwapCashflowYFCalculation function in the SwapPricing section as well (here's the new one, "# Put everything together
SwapPricing <- function(today, swap, df.table) {
CashFlowPricing(today, swap$start.date, swap$maturity.date, swap$type,
swap$time.unit, swap$dcc, swap$calendar) %>%
SwapCalculations(swap$notional, swap$strike, swap$direction, df.table)
}"
Somehow the maturity date can't be read. Any ideas Davide?
Thanks!
Are you using the swap.25 defined in the post? I have no problem running the CashFlowPricing function with that swap.
One important change on this specifically: let's keep the type attribute as a list(pay = "floating", receive = "fixed") when you define a swap as list...more to come in this space.
Yeah, I'm using the same swap. Let me check few things out first as I rushed through this one and will let you know. I'm sure it's on my end.
Can this handle a plan vanilla amortizing swap.