diff options
| -rw-r--r-- | R/tranche_functions.R | 30 |
1 files changed, 15 insertions, 15 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index e166b666..175b696d 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -36,9 +36,9 @@ tranche.cl.scenarios <- function(l, r, cs, K1, K2, scaled=FALSE){ ## if scaled is TRUE, scale it by the size of the tranche (K2-K1) ## can make use of the fact that the loss and recov distribution are ## truncated (in that case nrow(L) != Ngrid - if(K1==K2){ + if(K1 == K2) { return( 0 ) - }else{ + } else { size <- K2 - K1 - trancheloss(l, K1, K2) - trancherecov(r, K1, K2) sizeadj <- as.numeric(0.5 * (size + c(K2-K1, size[-length(size)]))) if(scaled){ @@ -50,17 +50,17 @@ tranche.cl.scenarios <- function(l, r, cs, K1, K2, scaled=FALSE){ } funded.tranche.pv <- function(L, R, cs, K1, K2, scaled = FALSE){ - if(K1==K2){ + if(K1 == K2) { return(0) - }else{ + } else { size <- K2 - K1 -trancheloss(L, K1, K2) - trancherecov(R, K1, K2) sizeadj <- as.numeric(0.5 * (size + c(K2-K1, size[-length(size)]))) interest <- crossprod(sizeadj * cs$coupons, cs$df) principal <- diff(c(0, trancherecov(R, K1, K2))) principal[length(principal)] <- principal[length(principal)] + size[length(size)] principal <- crossprod(cs$df, principal) - if(scaled){ - pv <- (interest + principal)/(K2-K1) + if(scaled) { + pv <- (interest + principal) / (K2-K1) }else{ pv <- (interest + principal) } @@ -71,15 +71,15 @@ funded.tranche.pv <- function(L, R, cs, K1, K2, scaled = FALSE){ tranche.pl <- function(L, cs, K1, K2, Ngrid=nrow(L), scaled=FALSE){ ## computes the protection leg of a tranche ## if scaled - if(K1==K2){ + if(K1 == K2) { return(0) - }else{ + } else { support <- seq(0, 1, length=Ngrid)[1:nrow(L)] cf <- K2 - K1 - crossprod(trancheloss(support, K1, K2), L) cf <- c(K2 - K1, cf) - if(scaled){ + if(scaled) { return( 1/(K2-K1) * crossprod(diff(cf), cs$df)) - }else{ + } else { return( crossprod(diff(cf), cs$df)) } } @@ -88,14 +88,14 @@ tranche.pl <- function(L, cs, K1, K2, Ngrid=nrow(L), scaled=FALSE){ tranche.pl.scenarios <- function(l, cs, K1, K2, scaled=FALSE){ ## computes the protection leg of a tranche ## if scaled - if(K1==K2){ + if(K1==K2) { return(0) - }else{ + } else { cf <- K2 - K1 - trancheloss(l, K1, K2) cf <- c(K2 - K1, cf) - if(scaled){ + if(scaled) { return( 1/(K2-K1) * as.numeric(crossprod(diff(cf), cs$df))) - }else{ + } else { return( as.numeric(crossprod(diff(cf), cs$df))) } } @@ -225,7 +225,7 @@ adjust.skew <- function(index1, index2, method=c("ATM", "TLP", "PM")) { index2=index2, el2=el2, K2=K2val) K1eq <- c(K1eq, prog$minimum) } - } else if (method=="PM") { + } else if (method == "PM") { K1eq <- c() m <- max(K2) + 0.25 for(K2val in K2) { |