diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index ed24eea9..fa5f8cd4 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -145,9 +145,9 @@ for(i in seq_along(runs$name)){ index<- c(index, BCtranche.theta(index, method="TLP"))
thetas[i,] <- index$theta
rhos[i,] <- index$rho[-1]
- corr01[i,] <- BCtranche.corr01(index)
+ corr01[i,] <- index$corr01 <- BCtranche.corr01(index)
temp <- BCtranche.pv(index, protection=TRUE)
- durations[i,] <- (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
+ durations[i,] <- index$tranche.durations <- (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
ELmat[i,] <- -temp$pl*diff(index$K)
save(index, file=file.path(root.dir, "Tranche_data", "Objects",
paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
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