diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 3 |
1 files changed, 2 insertions, 1 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 175b696d..fd035abf 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -237,7 +237,8 @@ adjust.skew <- function(index1, index2, method=c("ATM", "TLP", "PM")) { return(c(NA, cap(skew(K1eq)), NA)) } -BCtranche.theta <- function(index, shortened=4, complement=FALSE, method="ATM") { +BCtranche.theta <- function(index, shortened=4, complement=FALSE, + method=c("ATM", "TLP", "PM")) { N <- nrow(index$cs) - shortened if(N < 0) { stop("Maturity too short for computing tranche thetas") |