diff options
| -rw-r--r-- | R/calibration.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index 571201da..7e3aafa7 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -90,7 +90,8 @@ set.tranchedata <- function(index, tradedate){ ## convert snac prices to proper upfront if(substr(index$name,1, 2) %in% c("xo")){ - temp$trancheupfrontmid[4] <- 100*(1-snacpv(index$cs, temp$trancherunningmid[4]*1e-4, 0.05, 0.4, tradedate)) + temp$trancheupfrontmid[4] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[4]*1e-4, + 0.05, 0.4, tradedate)) temp$trancherunningmid[4] <- 500 } ## compute dirty protection price |