1 files changed, 0 insertions, 56 deletions
diff --git a/reinvestingdistribution.R b/reinvestingdistribution.R
deleted file mode 100644
index e2c42e3e..00000000
--- a/reinvestingdistribution.R
+++ /dev/null
@@ -1,56 +0,0 @@
-source("tranche_functions.R")
-
-p <- runif(100)
-S <- rep(0.6, 100)
-lu <- 1
-
-Q <- lossdistribC.joint(p, S, lu)
-#col sums is the recovery distribution
-#row sums is the loss distribution
-
-## some checks
-crossprod(seq(0,1,lu), colSums(Q))-crossprod(p,S)
-crossprod(seq(0,1,lu), rowSums(Q))-crossprod(p,1-S)
-
-## compute the distribution of a reinvested portfolio
-## beta is 1 over the average price at which the loans are bought
-## so higher beta, means more par building
-betavec <- c(0.9,1,1.1,1.5)
-resultx <- c()
-resulty <- c()
-for(beta in betavec){
-    support2 <- outer(1-seq(0,1,0.01), (1-seq(0,1,0.01))^beta,"/")
-    resultx <- cbind(resultx, density(x=support2[-length(support2)],weights=Q[-length(Q)],from=0,to=5)$x)
-    resulty <- cbind(resulty, density(x=support2[-length(support2)],weights=Q[-length(Q)],from=0,to=5)$y)
-}
-
-
-n.int <- 100
-quadrature <- gauss.quad.prob(n.int, "normal")
-w <- quadrature$weights
-Z <- quadrature$nodes
-rho <- 0.45
-Qvec <- array(0, c(100,101,101))
-for(i in 1:n.int){
-    pshocked <- shockprob(p, rho, Z[i])
-    Sshocked <- shockseverity(S, 1, Z[i], rho, p)
-    Qvec[i,,] <- lossdistribC.joint(pshocked, Sshocked, lu)
-}
-
-## plot the density
-for(i in 40:65){
-    persp(z=Qvec[i,,], xlab="recovery", ylab="loss", zlab="density")
-    Sys.sleep(0.3)
-}
-
-## gaussian copula joint distribution of the loss and recovery
-Qresult <- matrix(0, 101, 101)
-for(i in 1:100){
-    Qresult <- Qresult+w[i] * Qvec[i,,]
-}
-
-## 3d tour of the distribution
-for(theta in seq(0, 360, 10)){
-    persp(z=Qresult, xlab="Recovery", ylab="Loss", zlab="density", theta=theta)
-    Sys.sleep(0.5)
-}