1 files changed, 34 insertions, 4 deletions
diff --git a/cds_functions_generic.R b/cds_functions_generic.R
index d3f980a5..45482212 100644
--- a/cds_functions_generic.R
+++ b/cds_functions_generic.R
@@ -556,11 +556,11 @@ survivalProbability.exact <- function(credit.curve, date) {
     return( exp(as.numeric(logprob)) )
 }
 
-PD <- function(sc){
-    ## computes the default probability associated with the survival curve
+SP <- function(sc){
+    ## computes the survival probability associated with the survival curve
     T <- c(0, yearFrac(today(), sc@dates))
     dT <- diff(T)
-    return( 1-cumprod(exp(-sc@hazardrates * dT)) )
+    return( cumprod(exp(-sc@hazardrates * dT)) )
 }
 
 
@@ -568,7 +568,37 @@ SPmatrix <- function(portfolio, index){
     cs <- couponSchedule(nextIMMDate(today()), index$maturity, "Q", "FIXED", index$coupon)
     SP <- matrix(0, length(portfolio), length(cs$dates))
     for(i in 1:length(portfolio)){
-        SP[i,] <- 1 - PD(portfolio[[i]]@curve)[1:length(cs$dates)]
+        SP[i,] <- PD(portfolio[[i]]@curve)[1:length(cs$dates)]
     }
     return( SP )
 }
+
+DP2 <- function(sc){
+    ## computes the default probability and prepay probability associated
+    ## with the survival curve
+    T <- c(0, yearFrac(today(), sc@dates))
+    dT <- diff(T)
+    Q <- cumprod(exp(- (sc@hazardrates[1:length(dT)]+sc@prepayrates[1:length(dT)]) * dT))
+    Qmid <- 1/2 * (c(1, Q[-length(Q)]) + Q)
+    list(dates=T[-1],
+         defaultprob= cumsum(sc@hazardrates[1:length(dT)] * Qmid * dT),
+         prepayprob = cumsum(sc@prepayrates[1:length(dT)] * Qmid * dT))
+}
+
+SPmatrix2 <- function(portfolio, dealdata){
+    ## computes the default probability and prepay matrix of a portfolio
+    ## at the dates specified from dealdata
+    dates <- seq(dealdata$"Deal Next Pay Date", dealdata$maturity, by="3 months")
+    T <- yearFrac(today(), dates)
+    DP <- matrix(0, length(portfolio), length(dates))
+    PP <- matrix(0, length(portfolio), length(dates))
+    for(i in 1:length(portfolio)){
+        temp <- DP2(portfolio[[i]]@curve)
+        ## linear interpolation of the default and prepay prob
+        ## need to figure out a better way to do this
+        DP[i,] <- approxfun(temp$dates, temp$defaultprob, rule=2)(T)
+        PP[i,] <- approxfun(temp$dates, temp$prepayprob, rule=2)(T)
+    }
+    return(list(DP, PP))
+}
+