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 36b9426c..71e66a6e 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -103,7 +103,7 @@ for(i in seq_along(runs$name)){ index <- set.tranchedata(index, tradedate)
temp <- BCindex.pv(index)
index$EL <- -temp$pl
- index$duration <- temp$cl
+ index$duration <- temp$cl-cdsAccrued(tradedate, 1)
index$theta <- indextheta(index, tradedate)
## calibrate the tranches using base correlation
|