complement param was not used and shortened did not work

1 files changed, 3 insertions, 3 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 217a7b3..97fbc83 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -809,7 +809,7 @@ theta.adjust.skew <- function(index, shortened=4, method="ATM"){
 }

 

 BCtranche.theta <- function(index, shortened=4, complement=FALSE, method="ATM"){

-    temp <- BCtranche.pv(index, complement=FALSE)

+    temp <- BCtranche.pv(index, complement=complement)

     rho.adj <- theta.adjust.skew(index, shortened, method)

     if(any(rho.adj[-c(1, length(rho.adj))]<=0)){

         print("probable inverted skew: no adjustment")

@@ -920,11 +920,11 @@ BCindex.pv <- function(index, discounted=TRUE, shortened=0){
     sizeadj <- 0.5*(c(1, size[-length(size)])+size)

     if(!discounted){

         pl <- -ELvec[length(ELvec)]

-        cl <- as.numeric(crossprod(index$cs$coupons, sizeadj))

+        cl <- as.numeric(crossprod(index$cs$coupons[1:Ncol], sizeadj))

         bp <- 1+cl+pl

     }else{

         pl <-  -sum(index$cs$df[1:Ncol]* diff(c(0, ELvec)))

-        cl <- as.numeric(crossprod(index$cs$coupons, sizeadj * index$cs$df[1:Ncol] ))

+        cl <- as.numeric(crossprod(index$cs$coupons[1:Ncol], sizeadj * index$cs$df[1:Ncol] ))

         bp <- 1+cl+pl

     }

     bp <- 1+cl*index$quotes$spread+pl