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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-15 13:12:01 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-15 13:12:01 -0400 |
| commit | 91feca330d37900382a40c024446ecd5b2ff1042 (patch) | |
| tree | c9f86562ff210dec2b99048d1e778c7256315520 | |
| parent | 775a9149f29447e8e49e9694f0d309043b04a80e (diff) | |
| download | lossdistrib-91feca330d37900382a40c024446ecd5b2ff1042.tar.gz | |
change the Ngrid size for gammas computations
| -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 72e4936..cf7d904 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -717,7 +717,7 @@ BCtranche.delta <- function(index, tradedate = Sys.Date()){ ## if K2==1, then computes the delta using the lower attachment only
## this makes sense for bottom-up skews
eps <- 1e-4
- index$Ngrid <- 301
+ index$Ngrid <- 301 ## for gamma computations we need all the precision we can get
## we build a lit of 4 indices with various shocks
index.list <- lapply(c(0, eps, -eps, 2*eps), function(x){
if(x==0){
|