diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_functions.py | 34 |
1 files changed, 29 insertions, 5 deletions
diff --git a/python/analytics/tranche_functions.py b/python/analytics/tranche_functions.py index 16661b41..d4c38097 100644 --- a/python/analytics/tranche_functions.py +++ b/python/analytics/tranche_functions.py @@ -68,8 +68,8 @@ libloss.BCloss_recov_trunc.argtypes = [ POINTER(c_int), # Ngrid POINTER(c_double), #K POINTER(c_int), #defaultflag - ndpointer('double', ndim=1, flags='F,writeable'),# output L - ndpointer('double', ndim=1, flags='F,writeable')# output R + ndpointer('double', ndim=1, flags='F,writeable'),# output EL + ndpointer('double', ndim=1, flags='F,writeable')# output ER ] libloss.lossdistrib_joint.restype = None @@ -300,15 +300,39 @@ def tranche_cl(L, R, cs, K1, K2, scaled=False): else: return np.dot(sizeadj * cs["coupons"], cs["df"]) +def tranche_cl_trunc(EL, ER, cs, K1, K2, scaled=False): + if(K1 == K2): + return 0. + else: + size = EL - ER + dK = K2 - K1 + sizeadj = 0.5 * (size + np.hstack((dK, size[:-1]))) + if scaled: + return 1 / dK * np.dot(sizeadj * cs["coupons"], cs["df"]) + else: + return np.dot(sizeadj * cs["coupons"], cs["df"]) + def tranche_pl(L, cs, K1, K2, scaled=False): if(K1 == K2): return 0 else: + dK = K2 - K1 support = np.linspace(0, 1, L.shape[0]) - cf = K2 - K1 - np.dot(trancheloss(support, K1, K2), L) - cf = np.hstack((K2-K1, cf)) + cf = dK - np.dot(trancheloss(support, K1, K2), L) + cf = np.hstack((dK, cf)) + if scaled: + return 1 / dK * np.dot(np.diff(cf), cs["df"]) + else: + return np.dot(np.diff(cf), cs["df"]) + +def tranche_pl_trunc(EL, cs, K1, K2, scaled=False): + if(K1 == K2): + return 0 + else: + dK = K2 - K1 + cf = np.hstack((dK, EL)) if scaled: - return 1/(K2-K1) * np.dot(np.diff(cf), cs["df"]) + return 1 / dK * np.dot(np.diff(cf), cs["df"]) else: return np.dot(np.diff(cf), cs["df"]) |