diff options
Diffstat (limited to 'R/tranche_functions.R')
| -rw-r--r-- | R/tranche_functions.R | 25 |
1 files changed, 10 insertions, 15 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 125b5a40..3a7a643c 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -236,23 +236,18 @@ adjust.skew <- function(index1, index2, method="ATM"){ return(c(NA, cap(skew(K1eq)), NA)) } -theta.adjust.skew <- function(index, shortened=4, method="ATM"){ - #ajust the correlation skew by doing ATM mapping on the expected loss +BCtranche.theta <- function(index, shortened=4, complement=FALSE, method="ATM") { + N <- nrow(index$cs) - shortened + if(N < 0) { + stop("Maturity too short for computing tranche thetas") + } indexshort <- index - N <- nrow(index$cs)-shortened - indexshort$defaultprob <- indexshort$defaultprob[,1:N] - indexshort$cs <- indexshort$cs[1:N,] - return(adjust.skew(index, indexshort, method)) -} - -BCtranche.theta <- function(index, shortened=4, complement=FALSE, method="ATM"){ + indexshort$defaultprob <- index$defaultprob[,1:N] + indexshort$cs <- index$cs[1:N,] + indexshort$rho <- adjust.skew(index, indexshort, method) temp <- BCtranche.pv(index, complement=complement) - index$rho <- theta.adjust.skew(index, shortened, method) - N <- nrow(index$cs) - shortened - index$cs <- index$cs[1:N,] - index$defaultprob <- index$defaultprob[,1:N] - temp2 <- BCtranche.pv(index, complement=complement) - temp3 <- BCtranche.delta(index, complement=complement) + temp2 <- BCtranche.pv(indexshort, complement=complement) + temp3 <- BCtranche.delta(indexshort, complement=complement) return(data.frame(theta=temp2$bp-temp$bp+index$tranches$running, fw.delta=temp3$delta)) } |