diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 2 | ||||
| -rw-r--r-- | R/calibration.R | 4 |
2 files changed, 3 insertions, 3 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index c0c9bede..b61c39af 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -108,7 +108,7 @@ for(i in seq_along(runs$name)){ temp <- get.tranchequotes(index$name, index$tenor, tradedate)
quotes[j, 1] <- temp$indexrefprice[1]
quotes[j, 2] <- temp$indexrefspread[1]
- quotes[j, 2+1:n.tranches] <- temp$trancheupfront
+ quotes[j, 2+1:n.tranches] <- temp$trancheupfrontmid
quotes[j, 2+n.tranches+1:n.tranches] <- temp$tranchedelta
}
diff --git a/R/calibration.R b/R/calibration.R index b8dc9295..98460489 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -76,8 +76,8 @@ set.tranchedata <- function(index, tradedate){ K <- c(0, temp$detach/100) index$K.orig <- K index$K <- adjust.attachments(K, index$loss, index$factor) - index$tranche.upf <- temp$trancheupfront - index$tranche.running <- temp$trancherunning*1e-4 + index$tranche.upf <- temp$trancheupfrontmid + index$tranche.running <- temp$trancherunningmid*1e-4 ## compute dirty protection price if(length(grep("hy", index$name, ignore.case=TRUE))>0){ index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) |