diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 10 |
1 files changed, 6 insertions, 4 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index b33ec339..41d55295 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -214,7 +214,7 @@ adjust.skew <- function(index1, index2, method=c("ATM", "TLP", "PM")) { pmax(pmin(x, 0.99), 0.01) } - if(method=="ATM") { + if(method == "ATM") { K1eq <- el1/el2 * K2 } else if(method == "TLP") { K1eq <- c() @@ -280,6 +280,8 @@ BCtranche.delta <- function(index, complement=FALSE) { deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])*tranche.factor(index)/index$factor deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])*tranche.factor(index)/index$factor + print(deltas) + print(deltasplus) gammas <- (deltasplus-deltas)/(indexbp[2]-indexbp[1])/100 return( data.frame(delta=deltas, gamma=gammas) ) @@ -354,10 +356,10 @@ EL <- function(index, discounted=TRUE, shortened=0) { df <- index$cs$df[1:(Ncol-shortened)] } ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), DP)) - if(!discounted){ + if(!discounted) { return( ELvec[length(ELvec)] ) - }else{ - return( sum(df*diff(c(0, ELvec))) ) + } else { + return( sum(df*diff(c(0, ELvec))) ) } } |