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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-05-16 10:47:39 -0400 |
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| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-05-16 10:47:39 -0400 |
| commit | b995b41f254cbf2eddd9cb0f243933edf713f3e4 (patch) | |
| tree | 3fbff4e1c63f8e83cc5555094274c2f6d7db29d2 /R/tranche_functions.R | |
| parent | e6228dacf2fef4b77d994ec99a5886956cf6ab7b (diff) | |
| download | lossdistrib-b995b41f254cbf2eddd9cb0f243933edf713f3e4.tar.gz | |
remove stray character
Diffstat (limited to 'R/tranche_functions.R')
| -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 7ef68e1..5764281 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -723,7 +723,7 @@ EL <- function(index){ ## given the default curves and recovery
## should be very close to the protection leg of the portfolio of cds
## index should be a list with issuerweights, recov, defaultprob and cs parameters
- ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), + ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), index$defaultprob))
return( sum(index$cs$df*diff(c(0, ELvec))) )
}
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