diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 3a7a643c..4cc9ba73 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -181,13 +181,13 @@ MFtranche.pv <- function(index, dist, protection=FALSE){ return(list(pl=plvec, cl=clvec, bp=bp)) } -adjust.skew <- function(index1, index2, method="ATM"){ +adjust.skew <- function(index1, index2, method=c("ATM", "TLP", "PM")){ #index1 is the index for which we already have computed the skew #index2 is the index we're mapping to # if method="ATM", do simple at the money mapping # method="TLP", do tranche loss proportion mapping # method="PM", do probability matching - + method <- match.arg(method) K1 <- index1$K[-c(1,length(index1$K))] K2 <- index2$K[-c(1,length(index2$K))] |