diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index bf510a0d..018460e7 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -109,7 +109,7 @@ for(i in seq_along(bus.dates)){ temp <- BCtranche.delta(index, tradedate)
deltas[i,] <- temp$deltas
gammas[i,] <- temp$gammas
- thetas[i,] <- BCtranche.theta(index)
+ thetas[i,] <- BCtranche.theta(index)$theta
rhos[i,] <- index$rho[-1]
corr01[i,] <- BCtranche.corr01(index)
temp <- BCtranche.pv(index, protection=TRUE)
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