1 files changed, 18 insertions, 10 deletions
diff --git a/build_SC.R b/build_SC.R
index f7f7eea9..df7757ae 100644
--- a/build_SC.R
+++ b/build_SC.R
@@ -5,6 +5,7 @@ setwd(root)
 source(file.path(root, "yieldCurve.R"))
 source(file.path(root, "cds_functions_generic.R"))
 source(file.path(root, "etdb.R"))
+source(file.path(root, "tranche_functions.R"))
 load(file.path(root, "bloomberg_data.RData"))
 MarkitData <- getMarkitIRData()
 L1m <- buildMarkitYC(MarkitData, dt = 1/12)
@@ -162,12 +163,12 @@ stackcurve <- function(SC, line.item, global.params, startdate){
 
 buildSC.matured <- function(SC, line.item, reinvdate, dealmaturity, global.params, startdate){
     if(startdate<=reinvdate){ #reinvest
-        line.item$maturity <- min(dealdata$maturity, startdate + global.params$rollingmaturity)
-        SC <- stackcurve(SC, line.item, global.params,)
+        line.item$maturity <- min(dealmaturity, startdate + global.params$rollingmaturity)
+        SC <- stackcurve(SC, line.item, global.params, startdate)
     }else{ #no reinvestment
-        SC@dates <- startdate
-        SC@hazardrates <- 0
-        SC@prepayrates <- 0
+        SC@curve@dates <- startdate
+        SC@curve@hazardrates <- 0
+        SC@curveprepayrates <- 0
     }
     return( SC )
 }
@@ -194,7 +195,7 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate
             line.item$currentbalance <- line.item$currentbalance * recovery(line.item)
         }
         SC@startdate <- startdate + global.params$defaultedlag
-        line.item$maturity <- min(dealdata$maturity, SC@startdate + global.params$rollingmaturity)
+        line.item$maturity <- min(dealmaturity, SC@startdate + global.params$rollingmaturity)
         ## automatic reinvest
         SC<- stackcurve(SC, line.item, global.params, SC@startdate)
     }else if(line.item$maturity<=startdate){#matured asset
@@ -212,12 +213,12 @@ buildSC <- function(line.item, reinvdate, dealmaturity, global.params, startdate
         if(is.null(try)){
             SC <- stackcurve(SC, line.item, global.params, SC@startdate)
         }else{
-            SC <- try
+            SC@curve <- try
         }
     }
     if(maturity(SC) <= reinvdate){ #we reinvest
         newstartdate <- line.item$maturity
-        line.item$maturity <- min(dealdata$maturity, newstartdate + global.params$rollingmaturity)
+        line.item$maturity <- min(dealmaturity, newstartdate + global.params$rollingmaturity)
         SC <- stackcurve(SC, line.item, global.params, newstartdate)
     }
     return( list(SC=SC, notional=line.item$currentbalance) )
@@ -230,7 +231,6 @@ buildSC.portfolio <- function(dealname, global.params, startdate=today()) {
     SCvec <- c()
     betavec <- c()
     for(i in 1:nrow(collatdata)){
-        ## cat(i, "\n")
         line.item <- collatdata[i,]
         if( is.na(line.item$maturity) ){
             stop("empty maturity")
@@ -329,4 +329,12 @@ k <- function(h, gamma = 15){
     0.25*exp(-gamma * h)
 }
 
-test <- buildSC.portfolio("stonln1", global.params)
+stonln1.portfolio <- buildSC.portfolio("stonln1", global.params)
+A <- SPmatrix2(stonln1.portfolio$SC, getdealdata("stonln1"))
+S <- 1 - sapply(stonln1.portfolio$SC, attr, "recov")
+w <- stonln1.portfolio$notional/sum(stonln1.portfolio$notional) * S
+w <- w * length(w)
+lu <- 0.01
+test <- lossrecovdist(A$DP[,39], A$PP[,39], w, lu, useC=FALSE)
+
+pomme2 <- lossdistrib3(A$DP[,39], w/length(w), lu)