diff options
| -rw-r--r-- | R/tranches_RV_BC.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/tranches_RV_BC.R b/R/tranches_RV_BC.R index e5179d7d..4bcbd879 100644 --- a/R/tranches_RV_BC.R +++ b/R/tranches_RV_BC.R @@ -81,7 +81,7 @@ for(r in runs$mappings){ mappedpv <- list()
for(method in c("ATM", "TLP", "PM")){
index2$rho <- adjust.skew(index1, index2, method)
- if(substr(index2$name, 1, 2) %in% c("ig", "xo")){
+ if(tolower(substr(index2$name, 1, 2)) %in% c("ig", "xo")){
mappedpv[[method]] <- BCtranche.pv(index2, protection=TRUE)$bp + accrued2
}else{
mappedpv[[method]] <- BCtranche.pv(index2)$bp - accrued2
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