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 c0c9bede..b61c39af 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -108,7 +108,7 @@ for(i in seq_along(runs$name)){ temp <- get.tranchequotes(index$name, index$tenor, tradedate)
quotes[j, 1] <- temp$indexrefprice[1]
quotes[j, 2] <- temp$indexrefspread[1]
- quotes[j, 2+1:n.tranches] <- temp$trancheupfront
+ quotes[j, 2+1:n.tranches] <- temp$trancheupfrontmid
quotes[j, 2+n.tranches+1:n.tranches] <- temp$tranchedelta
}
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