diff options
Diffstat (limited to 'R/calibrate_tranches.R')
| -rw-r--r-- | R/calibrate_tranches.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/calibrate_tranches.R b/R/calibrate_tranches.R index 178f23ae..f71ec719 100644 --- a/R/calibrate_tranches.R +++ b/R/calibrate_tranches.R @@ -59,14 +59,14 @@ for(i in 1:nrow(nondefaulted)){ }
issuerweights <- rep(1/length(hy19portfolio), length(hy19portfolio))
-hy19$indexref <- 0.99
+hy19$indexref <- 1.0125
hy19portfolio.tweaked <- tweakcurves(hy19portfolio, hy19)
SurvProb <- SPmatrix(hy19portfolio.tweaked, hy19)
## load common parameters
K <- c(0, 0.15, 0.25, 0.35, 1)
Kmodified <- adjust.attachments(K, hy19$loss, hy19$factor)
-tranche.upf <- c(37.8125, 87.375, 102.125, 114.96875)
+tranche.upf <- c(40.625, 94.15, 105.6525, 116)
tranche.running <- c(0.05, 0.05, 0.05, 0.05)
Ngrid <- 2*nrow(nondefaulted)+1
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