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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-15 13:04:21 -0400 |
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| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-15 13:04:21 -0400 |
| commit | 775a9149f29447e8e49e9694f0d309043b04a80e (patch) | |
| tree | c6c845d9b92921d91024ad8db05a9fc3b797ba32 | |
| parent | 2643a2d4adeb9a4dcfcbc34ec742085f4f2a8746 (diff) | |
| download | lossdistrib-775a9149f29447e8e49e9694f0d309043b04a80e.tar.gz | |
modify Ngrid inside BCtranche.delta
| -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 8d7958d..72e4936 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
## we build a lit of 4 indices with various shocks
index.list <- lapply(c(0, eps, -eps, 2*eps), function(x){
if(x==0){
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