1 files changed, 21 insertions, 0 deletions
diff --git a/tranche_functions.R b/tranche_functions.R
index 63f5d20b..51a0cd87 100644
--- a/tranche_functions.R
+++ b/tranche_functions.R
@@ -339,6 +339,27 @@ lossrecovdist.joint.term <- function(defaultprob, prepayprob, w, S, N, defaultfl
     return(Q)
 }
 
+
+dist.transform <- function(dist.joint){
+    ## compute the joint (D, R) distribution
+    ## from the (L, R) distribution using D = L+R
+    distDR <- array(0, dim=dim(dist.joint))
+    Ngrid <- dim(dist.joint)[2]
+    u <- seq(0, 1, length=Ngrid)
+    v <- seq(0, 1, length=Ngrid)
+    for(t in 1:ncol(dp)){
+        for(i in 1:Ngrid){
+            for(j in 1:Ngrid){
+                index <- i+j
+                if(index <= Ngrid){
+                    distDR[t,index,j] <- distDR[t,index,j] + dist.joint[t,i,j]
+                }
+            }
+        }
+    }
+    return( distDR )
+}
+
 shockprob <- function(p, rho, Z, log.p=F){
     ## computes the shocked default probability as a function of the copula factor
     pnorm((qnorm(p)-sqrt(rho)*Z)/sqrt(1-rho), log.p=log.p)