1 files changed, 9 insertions, 2 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R
index bb38681d..ad54df73 100644
--- a/R/calibrate_tranches_BC.R
+++ b/R/calibrate_tranches_BC.R
@@ -19,6 +19,7 @@ Ngrid <- 201
 alldates <- seq(as.Date("2014-01-01"), as.Date("2014-01-05"), by="1 day")
 rhomat <- c()
 deltasmat <- c()
+gammasmat <- c()
 bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
 for(i in seq_along(bus.dates)){
     tradedate <- bus.dates[i]
@@ -41,8 +42,14 @@ for(i in seq_along(bus.dates)){
     }
     rhovec <- c(0, rhovec)
     hy21$rho <- rhovec
-    deltas <- BCtranche.delta(hy21, Z, w, Ngrid, tradedate)
-    deltasmat <- rbind(deltasmat, deltas)
+    temp <- BCtranche.delta(hy21, Z, w, Ngrid, tradedate)
+    deltasmat <- rbind(deltasmat, temp$deltas)
+    gammasmat <- rbind(gammasmat, temp$gammas)
+    cl <- c()
+    for(j in 1:(length(hy21$K)-1)){
+         cl <- c(cl, BCtranche.pv(hy21, hy21$K[j], hy21$K[j+1], rhovec[j], rhovec[j+1], Z, w, Ngrid)$cl)
+    }
+    duration <- (cl - cdsAccrued(tradedate, hy21$tranche.data$Coupon))/hy21$tranche.data$Coupon
     rhomat <- rbind(rhomat, rhovec)
     cat(i, "\n")
 }