diff options
Diffstat (limited to 'R/script_calibrate_tranches.R')
| -rw-r--r-- | R/script_calibrate_tranches.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/script_calibrate_tranches.R b/R/script_calibrate_tranches.R index 57181102..14d346b1 100644 --- a/R/script_calibrate_tranches.R +++ b/R/script_calibrate_tranches.R @@ -1,7 +1,6 @@ #!/usr/bin/Rscript
require(methods)
library(lossdistrib)
-library(statmod)
options(warn=2)
args <- commandArgs(trailingOnly=TRUE)
@@ -77,9 +76,9 @@ topdown <- 2:4 n.int <- 500
n.credit <- length(hy21portfolio)
errvec <- c()
-quadrature <- gauss.quad.prob(n.int, "normal")
-w <- quadrature$weights
-Z <- quadrature$nodes
+quadrature <- GHquad(n.int)
+w <- quadrature$w
+Z <- quadrature$Z
w.mod <- w
defaultprob <- 1 - SurvProb
p <- defaultprob
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