diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 6f228620..39fd0b4d 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -721,7 +721,7 @@ BCtranche.pv <- function(portfolio, index, coupon, K1, K2, rho1, rho2, N=length( }
}
SurvProb <- SPmatrix(portfolio, index)
- cs <- couponSchedule(nextIMMDate(Sys.Date()), index$maturity, "Q", "FIXED", coupon, 0)
+ cs <- couponSchedule(IMMDate(Sys.Date()), index$maturity, "Q", "FIXED", coupon, 0)
recov <- sapply(portfolio, attr, "recovery")
issuerweights <- rep(1/length(portfolio), length(portfolio))
K <- adjust.attachments(c(K1,K2), index$loss, index$factor)
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