1 files changed, 16 insertions, 23 deletions
diff --git a/R/cds_functions_generic.R b/R/cds_functions_generic.R
index d404992f..8b05d666 100644
--- a/R/cds_functions_generic.R
+++ b/R/cds_functions_generic.R
@@ -1,4 +1,6 @@
 library("methods")
+library("doParallel")
+library("itertools")
 
 if(.Platform$OS.type == "unix"){
   root.dir <- "/home/share/CorpCDOs/"
@@ -522,6 +524,7 @@ indexpv <- function(portfolio, index, epsilon=0){
     pl <- rep(0, length(portfolio))
     cl <- rep(0, length(portfolio))
     cs <- couponSchedule(nextIMMDate(Sys.Date()), index$maturity, "Q", "FIXED", index$coupon)
+
     for(i in 1:length(portfolio)){
         if(epsilon!=0){
             tweakedcurve <- portfolio[[i]]@curve
@@ -558,31 +561,22 @@ portfoliospread <- function(portfolio, maturity){
     ## computes the spread of a portfolio defined by notionals and survivalcurves
     ## for a given maturity.
     ## if maturity is missing, we use the intrinsic maturity for each curve
-    S <- 0
-    d <- rep_len(0, length(portfolio$SC))
-    ## Svec <- rep(0, length(portfolio$SC))
     if(missing(maturity)){
         maturityvec <- as.Date(sapply(portfolio$SC, creditcurve.maturity), origin="1970-01-01")
     }else{
         maturityvec <- rep(maturity, length(portfolio$SC))
     }
-    for(i in seq_along(portfolio$SC)){
-      if(length(portfolio$SC[[i]]@curve@hazardrates)==0||maturityvec[i]<=portfolio$SC[[i]]@startdate){
-        d[i] <- 0
-        ## Svec[i] <- 0
-      }else{
-        if(portfolio$SC[[i]]@curve@hazardrates[1]>10){
-          d[i] <- 0
-        }else{
-          d[i] <- cdsduration(portfolio$SC[[i]]@curve, maturityvec[i])
+
+    data <- foreach(it = izip(creditcurve = portfolio$SC, notional = portfolio$notional,
+                        maturity = maturityvec, count=icount(length(portfolio$notional))), .combine=rbind) %:% {
+            when(length(it$creditcurve@curve@hazardrates)!=0 && it$maturity > it$creditcurve@startdate
+                 && it$creditcurve@curve@hazardrates[1]<=10)
+        } %dopar% {
+            d <- cdsduration(it$creditcurve@curve, it$maturity)
+            S <- cdsspread(it$creditcurve@curve, it$maturity, it$creditcurve@recovery)
+            c(d * S * it$notional, d * it$notional)
         }
-        S <- S + d[i] * portfolio$notional[i] *
-          cdsspread(portfolio$SC[[i]]@curve, maturityvec[i], portfolio$SC[[i]]@recovery)
-        ## Svec[i] <- cdsspread(portfolio$SC[[i]]@curve, maturityvec[i], portfolio$SC[[i]]@recovery)
-      }
-    }
-    S <- S/crossprod(d, portfolio$notional)
-    return(S)
+    return(sum(data[,1])/sum(data[,2]))
 }
 
 portfolioduration <- function(portfolio, maturity){
@@ -600,10 +594,9 @@ tweakcurves <- function(portfolio, index){
         abs(indexpv(portfolio, index, epsilon)$bp-index$indexref)
     }
     epsilon <- optimize(f, c(-0.5, 0.5), portfolio, index, tol=1e-6)$minimum
-    portfolio.new <- portfolio
-    for(i in seq_along(portfolio)){
-        portfolio.new[[i]]@curve@hazardrates <- portfolio[[i]]@curve@hazardrates * (1 + epsilon)
-    }
+    portfolio.new <- lapply(portfolio, function(x, ...) {
+        x@curve@hazardrates <- x@curve@hazardrates * (1+epsilon)
+        return(x)})
     cat("tweak = ", epsilon, "\n")
     return( portfolio.new )
 }