diff options
Diffstat (limited to '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 8d7958d..72e4936 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -717,7 +717,7 @@ BCtranche.delta <- function(index, tradedate = Sys.Date()){ ## if K2==1, then computes the delta using the lower attachment only
## this makes sense for bottom-up skews
eps <- 1e-4
-
+ index$Ngrid <- 301
## we build a lit of 4 indices with various shocks
index.list <- lapply(c(0, eps, -eps, 2*eps), function(x){
if(x==0){
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