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 bf79c8e4..b6b5b5c6 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -146,7 +146,7 @@ build.skew <- function(index, type="bottomup"){ temp <- BCtranche.legs(index, K, rho, complement) return(abs(temp$pl+temp$cl*spread + quote)) } - rhovec <- rep(NA, length(index$K)) + rhovec <- rep(NA, length(index$K)) dK <- diff(index$K) if(type=="bottomup"){ for(j in 1:(length(dK)-1)){ |