diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index fa5f8cd4..07cb4d99 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -103,7 +103,6 @@ for(i in seq_along(runs$name)){ quotes <- matrix(0, length(bus.dates), 2+2*n.tranches)
for(j in seq_along(bus.dates)){
tradedate <- bus.dates[j]
- print (tradedate)
index <- load.index(index.name, tradedate, tenor, Z, w, Ngrid)
temp <- get.tranchequotes(index$name, index$tenor, tradedate)
quotes[j, 1] <- temp$indexrefprice[1]
@@ -136,19 +135,19 @@ for(i in seq_along(runs$name)){ index <- set.singlenamesdata(index, tradedate)
index <- set.tranchedata(index, tradedate)
indexEL[i] <- EL(index)
- indexTheta[i] <- indextheta(index, tradedate)
+ indexTheta[i] <- index$theta <- indextheta(index, tradedate)
## calibrate the tranches using base correlation
index$rho <- build.skew(index)
index <- c(index, BCtranche.delta(index))
deltas[i,] <- index$deltas
gammas[i,] <- index$gammas
index<- c(index, BCtranche.theta(index, method="TLP"))
- thetas[i,] <- index$theta
+ thetas[i,] <- index$thetas
rhos[i,] <- index$rho[-1]
corr01[i,] <- index$corr01 <- BCtranche.corr01(index)
temp <- BCtranche.pv(index, protection=TRUE)
durations[i,] <- index$tranche.durations <- (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
- ELmat[i,] <- -temp$pl*diff(index$K)
+ ELmat[i,] <- index$tranche.EL <- -temp$pl*diff(index$K)
save(index, file=file.path(root.dir, "Tranche_data", "Objects",
paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
cat("done\n")
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