From 1c0ecf83962dea62b1222c1b419d08fb969e322a Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Fri, 15 Aug 2014 11:06:01 -0400
Subject: check for inverted skew

---
 R/tranche_functions.R | 7 ++++++-
 1 file changed, 6 insertions(+), 1 deletion(-)

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index c9b1ee1..83e7199 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -707,7 +707,12 @@ theta.adjust.skew <- function(index, shortened=4){
 
 BCtranche.theta <- function(index, tradedate=Sys.Date(), shortened=4){
     temp <- BCtranche.pv(index)
-    index$rho <- theta.adjust.skew(index, shortened)
+    rho.adj <- theta.adjust.skew(index, shortened)
+    if(any(rho.adj[-c(1, length(rho.adj))]<=0)){
+        print("probable inverted skew: no adjustment")
+    }else{
+        index$rho <- rho.adj
+    }
     N <- nrow(index$cs)-shortened
     index$cs <- index$cs[1:N,]
     index$defaultprob <- index$defaultprob[,1:N]
-- 
cgit v1.2.3-70-g09d2