diff options
Diffstat (limited to 'R/calibrate_tranches_BC.R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 21574d64..de982473 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -101,7 +101,7 @@ for(i in seq_along(bus.dates)){ print(tradedate)
}
-risk.numbers <- data.frame(deltas, gammas, thetas, rhos, corr01, durations, EL)
+risk.numbers <- data.frame(deltas, gammas, thetas, rhos, corr01, durations, ELmat)
colnames(risk.numbers) <- c(paste(tranche.names, "Model Delta"),
paste(tranche.names, "Gamma"),
paste(tranche.names, "Theta"),
|