1 files changed, 2 insertions, 19 deletions
diff --git a/build_SC.R b/build_SC.R
index df7757ae..8565edec 100644
--- a/build_SC.R
+++ b/build_SC.R
@@ -310,25 +310,6 @@ buildSC.portfolio <- function(dealname, global.params, startdate=today()) {
 ##     R.shocked [,i] <- stochasticrecov.simple(R, 0, Z[i], rho[j], g)
 ## }
 
-
-dpc <- new("defaultprepaycurve", dates=cs$dates, hazardrates=rep(0.05,length(cs$dates)),
-           prepayrates=rep(0.01, length(cs$dates)))
-
-dc <- new("defaultcurve", dates=cs$dates, hazardrates=rep(0.05,length(cs$dates)))
-
-octagon8.collateral <- getcollateral("octagon8")
-octagon8.dealdata <- getdealdata("octagon8")
-pomme <- buildSC.portfolio(today(), octagon8.collateral, octagon8.dealdata)
-
-collateral <- octagon8.collateral[1,]
-cs <- couponSchedule(collateral$nextpaydate, collateral$maturity,
-                     collateral$frequency, collateral$fixedorfloat,
-                     collateral$grosscoupon*0.01, collateral$spread*0.01)
-
-k <- function(h, gamma = 15){
-    0.25*exp(-gamma * h)
-}
-
 stonln1.portfolio <- buildSC.portfolio("stonln1", global.params)
 A <- SPmatrix2(stonln1.portfolio$SC, getdealdata("stonln1"))
 S <- 1 - sapply(stonln1.portfolio$SC, attr, "recov")
@@ -338,3 +319,5 @@ lu <- 0.01
 test <- lossrecovdist(A$DP[,39], A$PP[,39], w, lu, useC=FALSE)
 
 pomme2 <- lossdistrib3(A$DP[,39], w/length(w), lu)
+defaultprob <- A$DP[,39]
+prepayprob <- A$PP[,39]