From 91feca330d37900382a40c024446ecd5b2ff1042 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Tue, 15 Jul 2014 13:12:01 -0400
Subject: change the Ngrid size for gammas computations

---
 R/tranche_functions.R | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

(limited to 'R/tranche_functions.R')

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 72e4936..cf7d904 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$Ngrid <- 301
+    index$Ngrid <- 301 ## for gamma computations we need all the precision we can get
     ## 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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