[Blotter-commits] r997 - pkg/RTAQ/R

[noreply at r-forge.r-project.org]

Author: kboudt
Date: 2012-04-03 19:08:10 +0200 (Tue, 03 Apr 2012)
New Revision: 997

Modified:
   pkg/RTAQ/R/volatility.R
Log:


Modified: pkg/RTAQ/R/volatility.R
===================================================================
--- pkg/RTAQ/R/volatility.R	2012-04-03 16:59:34 UTC (rev 996)
+++ pkg/RTAQ/R/volatility.R	2012-04-03 17:08:10 UTC (rev 997)
@@ -322,7 +322,7 @@
         vdelta_J = c(vdelta_J, diff(seconds[sel])/secday)
     }
     if (is.null(noisevar)) {
-        noisevar = max(0,1/(2 * nbarJ) * (sum(logreturns_J^2)/J - TSRV(pdata1,K=K,J=J)))        
+        noisevar = max(0,1/(2 * nbarJ) * (sum(logreturns_J^2)/J - TSRV(pdata=pdata,K=K,J=J)))        
     }
     if (!is.null(startIV)) {
         RTSRV = startIV
@@ -494,12 +494,12 @@
     if (!is.null(startIV1)) {
         RTSRV1 = startIV1
     }else{
-        RTSRV1 = RTSRV(pdata1, noisevar = noisevar1, K = K_var1, J = J_var1, eta = eta)      
+        RTSRV1 = RTSRV(pdata=pdata1, noisevar = noisevar1, K = K_var1, J = J_var1, eta = eta)      
     }
     if (!is.null(startIV2)) {
         RTSRV2 = startIV2
     }else{
-        RTSRV2 = RTSRV(pdata2, noisevar = noisevar2, K = K_var2, J = J_var2, eta = eta)      
+        RTSRV2 = RTSRV(pdata=pdata2, noisevar = noisevar2, K = K_var2, J = J_var2, eta = eta)      
     }
         
     # Refresh time is for the covariance calculation