diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 2 |
1 files changed, 2 insertions, 0 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 1bb48487..287310ff 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -677,6 +677,8 @@ BClossdist <- function(defaultprob, issuerweights, recov, rho, Z, w, Z <- quadrature$nodes
w <- quadrature$weights
}
+ ## do not use if weights are not gaussian, results would be incorrect
+ ## since shockseverity is invalid in that case (need to use stochasticrecov)
LZ <- matrix(0, N, length(Z))
RZ <- matrix(0, N, length(Z))
L <- matrix(0, N, ncol(defaultprob))
|