diff options
Diffstat (limited to 'R/calibration.R')
| -rw-r--r-- | R/calibration.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibration.R b/R/calibration.R index 16fe232c..9a298f6d 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -79,7 +79,7 @@ set.tranchedata <- function(index, tradedate){ if(length(grep("hy", index$name, ignore.case=TRUE))>0){ index$tranche.quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) }else{ - index$tranche.quotes <- index$tranche.upf/100+cdsAccrued(tradedate, index$tranche.running) + index$tranche.quotes <- index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running) } return( index ) } |