diff options
| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-09-05 11:40:43 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-09-05 11:40:43 -0400 |
| commit | 2ada385bf7041b8181f4dae77a62507821e4d27f (patch) | |
| tree | e2f8e8498fa6dc06772a8e03a2b528321693060d | |
| parent | 92c0f4f2f537ce167325b7c8d2713a7633cd0770 (diff) | |
| download | lossdistrib-2ada385bf7041b8181f4dae77a62507821e4d27f.tar.gz | |
singular everyhere
| -rw-r--r-- | R/tranche_functions.R | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index ed7fb91..4a45b2f 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -786,8 +786,8 @@ 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$tranches$running,
- forward.deltas=temp3$delta))
+ return(data.frame(theta=temp2$bp-temp$bp+index$tranches$running,
+ forward.delta=temp3$delta))
}
BCtranche.delta <- function(index, complement=FALSE){
@@ -819,7 +819,7 @@ BCtranche.delta <- function(index, complement=FALSE){ deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])*tranche.factor(index)/index$factor
gammas <- (deltasplus-deltas)/(indexbp[2]-indexbp[1])/100
- return( list(deltas=deltas, gammas=gammas) )
+ return( data.frame(delta=deltas, gamma=gammas) )
}
MFtranche.delta <- function(index){
|