1 files changed, 16 insertions, 19 deletions
diff --git a/R/calibration.R b/R/calibration.R
index 73479fbd..e1b8a74f 100644
--- a/R/calibration.R
+++ b/R/calibration.R
@@ -48,33 +48,30 @@ set.singlenamesdata <- function(index, tradedate){
 }
 
 set.tranchedata <- function(index, tradedate){
-    temp <- get.tranchequotes(index$name, tradedate)
-    if(!is.na(index$indexrefprice[1])){
-        index$indexrefprice <- temp$indexrefprice[1]/100
+    temp <- get.tranchequotes(index$name, index$tenor, tradedate)
+    if(!is.na(temp$indexrefprice[1])&&temp$indexrefprice[1]!=0){
+        index$priceref <- temp$indexrefprice[1]/100
     }else{
-        index$indexrefprice <- 1
+        index$priceref <- 1
     }
-    index$indexrefspread <- temp$indexrefspread*1e-4
-    index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", index$indexrefspread,
+    index$spreadref <- temp$indexrefspread[1]*1e-4
+    index$cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", index$spreadref,
                                0, tradedate, IMMDate(tradedate, "prev"))
     index$portfolio <- tweakcurves(index, tradedate)$portfolio
-    index$defaultprob <- 1-SPmatrix(index$portfolio, length(index$cs$dates))
+    index$defaultprob <- 1 - SPmatrix(index$portfolio, length(index$cs$dates))
     negprob <- which(index$defaultprob<0, arr.ind=T)
     if(nrow(negprob)>0){
         stop(paste(index$portfolio[[negprob[1,]]]@issuer, "has negative probability, check single names data"))
     }
     K <- c(0, temp$detach/100)
     index$K <- adjust.attachments(K, index$loss, index$factor)
-    index$tranche.upf <- temp$upfront
-    index$tranche.running <- temp$running*1e-4
-
-    ## convert the quotes
-    ## - we convert to protection terms x->1-x/100
-    ## - we remove accrued x->x-acc
-    ## - we weight it by the size of the tranche
-    ## - we take the cumsum to convert to 0-5, 0-10, 0-15 quotes, etc...
-    ## calibrate the tranches using base correlation
-    index$quotes <- cumsum(diff(index$K) *
-                           (1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)))
-    return(index)
+    index$tranche.upf <- temp$trancheupfront
+    index$tranche.running <- temp$trancherunning*1e-4
+    ## compute dirty protection price
+    if(length(grep("hy", index$name, ignore.case=TRUE))>0){
+        index$quotes <- 1-index$tranche.upf/100-cdsAccrued(tradedate, index$tranche.running)
+    }else{
+        index$quotes <- index$tranche.upf/100+cdsAccrued(tradedate, index$tranche.running)
+    }
+    return( index )
 }