1 files changed, 11 insertions, 1 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 482d6237..4650c19b 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -280,6 +280,14 @@ lossdistC.prepay.joint <- function(dp, pp, w, S, N, defaultflag=FALSE){
 }
 
 lossdistC.prepay.jointZ <- function(dp, pp, w, S, N, defaultflag = FALSE, rho, Z, wZ){
+  ## N is the size of the grid
+  ## dp is of size n.credits
+  ## pp is of size n.credits
+  ## w is of size n.credits
+  ## S is of size n.credits by nZ
+  ## rho is a double
+  ## Z is a vector of length nZ
+  ## w is a vector if length wZ
     if(!is.loaded("lossdistrib_prepay_joint_Z")){
         dyn.load(file.path(root.dir, "code", "R", paste0("lossdistrib", .Platform$dynlib.ext)))
     }
@@ -842,10 +850,12 @@ MFlossdist.prepay.joint2 <- function(w, Z, rho, defaultprob, defaultprobmod,
             Rstoch[i,,t] <- stochasticrecovC(recov[i], 0, Z, w, rho, defaultprob[i,t], defaultprobmod[i,t])
         }
     }
+
     Q <- array(0, dim=c(ncol(defaultprob), Ngrid, Ngrid))
     for(t in 1:ncol(defaultprob)){
         S <- 1 - Rstoch[,,t]
-        Q[t,,] <- lossdistC.prepay.jointZ(dp[,t], pp[,t], issuerweights, S, Ngrid, defaultflag, rho, Z, w)
+        Q[t,,] <- lossdistC.prepay.jointZ(defaultprobmod[,t], prepayprobmod[,t], issuerweights,
+                                          S, Ngrid, defaultflag, rho, Z, w)
     }
     return( Q )
 }