diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/calibration.R | 4 |
1 files changed, 4 insertions, 0 deletions
diff --git a/R/calibration.R b/R/calibration.R index d9546737..5c1a2c79 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -48,6 +48,10 @@ set.tranchedata <- function(index, tradedate){ IMMDate(tradedate, "prev")) index$portfolio <- tweakcurves(index, tradedate)$portfolio index$defaultprob <- 1-SPmatrix(index$portfolio, length(index$cs$dates)) + negprob <- which(index$defaultprob<0, arr.ind=T) + if(nrow(negprob)>0){ + stop(paste(index$portfolio[[negprob[1,]]]@issuer, "has negative probability, check single names data")) + } K <- c(0, 0.15, 0.25, 0.35, 1) index$K <- adjust.attachments(K, index$loss, index$factor) index$tranche.upf <- index$tranche.data$Mid |