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| -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 f7b3f730..7c646f86 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -210,7 +210,7 @@ adjust.skew <- function(index1, index2, method="ATM"){ skew <- splinefun(K1, index1$rho[-c(1, length(index1$rho))], "natural") cap <- function(x){ - pmax(pmin(skew(x), 0.99), 0.01) + pmax(pmin(x, 0.99), 0.01) } if(method=="ATM"){ |