diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 97c0c72..3dd2388 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(theta=temp2$bp-temp$bp+index$tranche.running,
- delta=temp3$delta))
+ return(list(thetas=temp2$bp-temp$bp+index$tranche.running,
+ forward.deltas=delta=temp3$delta))
}
BCtranche.delta <- function(index, complement=FALSE){
|