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 fe531dcc..4d77ec65 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -156,7 +156,7 @@ build.MFdist <- function(index, type="bottomup", tol=1e-2){ result[,i] <- MFtranche.pv(index, dist, protection=TRUE)$bp } ## solve the optimization problem - program <- KLfit(result[select,], index$w, index$tranche.quotes[select]) + program <- KLfit(result[select,], index$w, index$tranches$quotes[select]) err <- 0 for(i in 1:n.credit){ |