diff options
| -rw-r--r-- | R/tranche_functions.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index b6628ac4..46c15bbd 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -325,7 +325,7 @@ MFtranche.delta <- function(index){ BCtranche.corr01 <- function(index, eps=0.01, complement=FALSE){ ##does a parallel shift of the skew and computes the change in pv before <- BCtranche.pv(index, complement=complement) - index$rho[-1] <- index$rho[-1])*(1+eps) + index$rho[-1] <- index$rho[-1]^(1-eps) after <- BCtranche.pv(index, complement=complement) return(after$bp-before$bp) } |