diff options
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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