diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibrate_tranches_BC.R | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index de982473..7257bb01 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -89,7 +89,7 @@ for(i in seq_along(bus.dates)){ indexTheta[i] <- indextheta(index, tradedate)
## calibrate the tranches using base correlation
index$rho <- build.skew(index)
- temp <- BCtranche.delta(index, tradedate)
+ temp <- BCtranche.delta(index)
deltas[i,] <- temp$deltas
gammas[i,] <- temp$gammas
thetas[i,] <- BCtranche.theta(index)$theta
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