diff options
| -rw-r--r-- | R/calibration.R | 8 | ||||
| -rw-r--r-- | R/tranche_functions.R | 10 | ||||
| -rw-r--r-- | python/analytics/tranche_functions.py | 2 |
3 files changed, 10 insertions, 10 deletions
diff --git a/R/calibration.R b/R/calibration.R index 11f98c24..68d10573 100644 --- a/R/calibration.R +++ b/R/calibration.R @@ -112,14 +112,14 @@ set.tranchedata <- function(index, tradedate){ temp$trancherunningmid[4] <- coupon } if(index$type =="EU") { - if(index$series>=21){ + if(index$series >= 21) { coupon <- 100 temp$trancheupfrontmid[3] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[3]*1e-4, coupon*1e-4, 0, tradedate)) temp$trancheupfrontmid[4] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[4]*1e-4, coupon*1e-4, 0.4, tradedate)) temp$trancherunningmid[3:4] <- coupon - }else if(index$series == 9) { + } else if(index$series == 9) { for(i in 4:5){ coupon <- 100 temp$trancheupfrontmid[i] <- 100 * ( 1 - snacpv(index$cs, temp$trancherunningmid[i]*1e-4, @@ -168,8 +168,8 @@ build.skew <- function(index, type="bottomup"){ spread=index$tranches$running[j], complement=FALSE)$minimum rhovec[j+1] <- rho } - }else if(type=="topdown"){ - for(j in length(dK):2){ + } else if(type == "topdown") { + for(j in length(dK):2) { tranchepv <- BCtranche.legs(index, index$K[j+1], rhovec[j+1], complement=TRUE) q <- index$tranche.quotes[j] * dK[j] - tranchepv$pl - tranchepv$cl * index$tranches$running[j] diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 99709832..7a89a570 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -119,16 +119,16 @@ adjust.attachments <- function(K, losstodate, factor){ BCtranche.legs <- function(index, K, rho, complement=FALSE){ ## computes the protection leg and couponleg of a 0-K tranche ## if complement==TRUE, computes the protection leg and coupon leg of a K-1 tranche - if((K==0 && !complement) || (K==1 && complement)){ + if((K==0 && !complement) || (K==1 && complement)) { return(list(cl=0, pl=0)) - }else if((K==1 && !complement) || (K==0 && complement)){ + }else if((K==1 && !complement) || (K==0 && complement)) { return(BCindex.pv(index)) - }else{ + }else { dist <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho, index$Z, index$w, index$N) - if(complement){ + if(complement) { return(list(cl=tranche.cl(dist$L, dist$R, index$cs, K, 1), pl=tranche.pl(dist$L, index$cs, K, 1))) - }else{ + } else { return(list(cl=tranche.cl(dist$L, dist$R, index$cs, 0, K), pl=tranche.pl(dist$L, index$cs, 0, K))) } diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 499bbc7e..40ea259d 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -258,7 +258,7 @@ def trancheloss(L, K1, K2): def trancherecov(R, K1, K2): return np.maximum(R - 1 + K2, 0) - np.maximum(R - 1 + K1, 0) -def tranche_cl(L, R, cs, K1, K2, scaled = False): +def tranche_cl(L, R, cs, K1, K2, scaled=False): if(K1 == K2): return 0 else: |