diff options
| -rw-r--r-- | R/build_scenarios.R | 4 | ||||
| -rw-r--r-- | R/calibration.R | 2 | ||||
| -rw-r--r-- | R/tranche_functions.R | 2 |
3 files changed, 4 insertions, 4 deletions
diff --git a/R/build_scenarios.R b/R/build_scenarios.R index 83a7f7ae..0b3c48df 100644 --- a/R/build_scenarios.R +++ b/R/build_scenarios.R @@ -57,8 +57,8 @@ for(j in seq_along(dealnames)){ }
dp <- A$DP
pp <- A$PP
- dpmod <- MFupdate.probC(Z, w, deal.portfolio$beta, dp)
- ppmod <- MFupdate.probC(-Z, w, deal.portfolio$beta, pp)
+ dpmod <- MFupdate.prob(Z, w, deal.portfolio$beta, dp)
+ ppmod <- MFupdate.prob(-Z, w, deal.portfolio$beta, pp)
dist.joint <- MFlossdist.prepay.joint(w, Z, deal.portfolio$beta, dp, dpmod, pp, ppmod,
deal.weights, 1-S, Ngrid)
dist.joint <- pmax(dist.joint, 0)
diff --git a/R/calibration.R b/R/calibration.R index 9c0e9b2d..79760284 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -172,7 +172,7 @@ build.MFdist <- function(index, type="bottomup", tol=1e-2){ } ## update the new probabilities - p <- MFupdate.probC(index$Z, program$weight, rho, index$defaultprob) + p <- MFupdate.prob(index$Z, program$weight, rho, index$defaultprob) index$w.mod <- program$weight cat("=") diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 0bccdf02..d1052ef0 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -512,7 +512,7 @@ MFrecovery <- function(index, defaultprobmod){ MFlossdist <- function(index){ n.credit <- length(index$issuerweights) rho <- rep(0.45, n.credit) - defaultprobmod <- MFupdate.probC(index$Z, index$w.mod, rho, index$defaultprob) + defaultprobmod <- MFupdate.prob(index$Z, index$w.mod, rho, index$defaultprob) n.credit <- length(index$issuerweights) n.int <- length(index$Z) Rstoch <- MFrecovery(index, defaultprobmod) |