diff options
Diffstat (limited to 'R/calibrate_tranches_BC.R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index e4128871..36b9426c 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -101,7 +101,9 @@ for(i in seq_along(runs$name)){ ## calibrate the single names curvesca
index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
- index$EL <- EL(index)
+ temp <- BCindex.pv(index)
+ index$EL <- -temp$pl
+ index$duration <- temp$cl
index$theta <- indextheta(index, tradedate)
## calibrate the tranches using base correlation
|