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| -rw-r--r-- | R/tranche_functions.R | 14 |
1 files changed, 13 insertions, 1 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 7c646f86..7679b076 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -325,11 +325,23 @@ MFtranche.delta <- function(index){ BCtranche.corr01 <- function(index, eps=0.01, complement=FALSE){ ##does a parallel shift of the skew and computes the change in pv before <- BCtranche.pv(index, complement=complement) - index$rho[-1] <- index$rho[-1]+eps + index$rho[-1] <- exp(log(index$rho[-1])*(1+eps)) after <- BCtranche.pv(index, complement=complement) return(after$bp-before$bp) } +BCtranche.VaR <- function(index, skew.shocks, complement=FALSE){ + before <- BCtranche.pv(index, complement=complement) + n <- length(index$rho) + r <- matrix(0, nrow(skew.shocks)) + logskew <- log(index$skew[-c(1,n)]) + for(i in 1:nrow(skew.shocks)){ + index$rho[-c(1,n)] <- exp(logskew*(1+skew.shocks[i,])) + after <- BCtranche.pv(index, complement=complement) + r[i,] <- before-after + } +} + EL <- function(index, discounted=TRUE, shortened=0){ ## computes the expected loss of a portfolio (time discounted if discounted is TRUE) ## given the default curves and recovery |