diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 25 |
1 files changed, 19 insertions, 6 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 46c15bbd..125b5a40 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -349,19 +349,32 @@ EL <- function(index, discounted=TRUE, shortened=0){ ## should be very close to the protection leg of the portfolio of cds ## index should be a list with issuerweights, recov, defaultprob and cs parameters ## shortened: number of quarters to shorten the maturity by - Ncol <- ncol(index$defaultprob)-shortened - ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), index$defaultprob[,1:Ncol])) + Ncol <- ncol(index$defaultprob) + if(is.null(Ncol) && shortened==0){ + DP <- index$defaultprob + df <- index$cs$df + }else{ + DP <- index$defaultprob[,1:(Ncol-shortened)] + df <- index$cs$df[1:(Ncol-shortened)] + } + ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), DP)) if(!discounted){ return( ELvec[length(ELvec)] ) }else{ - return( sum(index$cs$df[1:Ncol]*diff(c(0, ELvec))) ) + return( sum(df*diff(c(0, ELvec))) ) } } BCindex.pv <- function(index, discounted=TRUE, shortened=0){ - Ncol <- ncol(index$defaultprob)-shortened - ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), index$defaultprob[,1:Ncol])) - size <- 1-as.numeric(crossprod(index$issuerweights, index$defaultprob[,1:Ncol])) + Ncol <- ncol(index$defaultprob) + if(is.null(Ncol) && shortened==0){ + DP <- index$defaultprob + Ncol <- 1 + }else{ + DP <- index$defaultprob[,1:(Ncol-shortened)] + } + ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), DP)) + size <- 1-as.numeric(crossprod(index$issuerweights, DP)) sizeadj <- 0.5*(c(1, size[-length(size)])+size) if(!discounted){ pl <- -ELvec[length(ELvec)] |