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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-18 11:43:31 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-07-18 11:43:31 -0400 |
| commit | a2e904751abc48ca76745a0905586ab56f5325ca (patch) | |
| tree | 48db3e715dfa206df8cda57ecac305fd0fd8f77d | |
| parent | 91feca330d37900382a40c024446ecd5b2ff1042 (diff) | |
| download | lossdistrib-a2e904751abc48ca76745a0905586ab56f5325ca.tar.gz | |
wrong sign
| -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 cf7d904..cf3df0f 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -750,7 +750,7 @@ BCtranche.corr01 <- function(index, eps=0.01){ before <- BCtranche.pv(index)
index$rho[-1] <- index$rho[-1]+eps
after <- BCtranche.pv(index)
- return(before$bp-after$bp)
+ return(after$bp-before$bp)
}
EL <- function(index, discounted=TRUE, shortened=0){
|