update due to new organisation of index object

1 files changed, 4 insertions, 4 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 135bfe5..ed7fb91 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -683,7 +683,7 @@ BCtranche.pv <- function(index, protection=FALSE, complement=FALSE){
     }

     dK <- diff(index$K)

     plvec <- diff(pl)/dK

-    clvec <- diff(cl)/dK*index$tranche.running

+    clvec <- diff(cl)/dK*index$tranches$running

     if(complement){

         plvec <- -plvec

         clvec <- -clvec

@@ -706,7 +706,7 @@ MFtranche.pv <- function(index, dist, protection=FALSE){
     }

     dK <- diff(index$K)

     plvec <- pl/dK

-    clvec <- cl/dK*index$tranche.running

+    clvec <- cl/dK*index$tranches$running

     if(protection){

         bp <- -plvec-clvec

     }else{

@@ -786,7 +786,7 @@ BCtranche.theta <- function(index, shortened=4, complement=FALSE, method="ATM"){
     index$defaultprob <- index$defaultprob[,1:N]

     temp2 <- BCtranche.pv(index, complement=complement)

     temp3 <- BCtranche.delta(index, complement=complement)

-    return(list(thetas=temp2$bp-temp$bp+index$tranche.running,

+    return(list(thetas=temp2$bp-temp$bp+index$tranches$running,

                 forward.deltas=temp3$delta))

 }

 

@@ -796,7 +796,7 @@ BCtranche.delta <- function(index, complement=FALSE){
     ## if complement is False, then computes deltas bottom-up

     ## if complement is True, then computes deltas top-down

     eps <- 1e-4

-    index$Ngrid <- 301 ## for gamma computations we need all the precision we can get

+    index$N <- 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){