diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/calibration.R b/R/calibration.R index b8dc9295..98460489 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -76,8 +76,8 @@ set.tranchedata <- function(index, tradedate){ K <- c(0, temp$detach/100) index$K.orig <- K index$K <- adjust.attachments(K, index$loss, index$factor) - index$tranche.upf <- temp$trancheupfront - index$tranche.running <- temp$trancherunning*1e-4 + index$tranche.upf <- temp$trancheupfrontmid + index$tranche.running <- temp$trancherunningmid*1e-4 ## compute dirty protection price if(length(grep("hy", index$name, ignore.case=TRUE))>0){ index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) |