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| author | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-05-29 16:55:36 -0400 |
|---|---|---|
| committer | Guillaume Horel <guillaume.horel@serenitascapital.com> | 2014-05-29 16:55:36 -0400 |
| commit | 32ae9d261ea443c1905a0b4a0d36b8446824f161 (patch) | |
| tree | f1ba888c962494c2561552687f1b0a79ef82dd40 | |
| parent | b995b41f254cbf2eddd9cb0f243933edf713f3e4 (diff) | |
| download | lossdistrib-32ae9d261ea443c1905a0b4a0d36b8446824f161.tar.gz | |
fix BCtranche.delta uses new api
| -rw-r--r-- | R/tranche_functions.R | 37 |
1 files changed, 16 insertions, 21 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 5764281..8d7ab04 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -679,38 +679,33 @@ BCtranche.pv <- function(index, K1, K2, rho1, rho2, bp=100*(1+(pl2-pl1+cl2-cl1)/dK)))
}
-BCtranche.delta <- function(portfolio, index, coupon, K1, K2, rho1, rho2, Z, w,
+BCtranche.delta <- function(index, K1, K2, rho1, rho2, Z, w,
N=length(portolio)+1, tradedate = Sys.Date()){
## computes the tranche delta (on current notional) by doing a proportional
## blip of all the curves
## if K2==1, then computes the delta using the lower attachment only
## this makes sense for bottom-up skews
eps <- 1e-4
- portfolioplus <- portfolio
- portfoliominus <- portfolio
- cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", coupon, 0, tradedate,
- IMMDate(tradedate, "prev"))
- for(i in 1:length(portfolio)){
- portfolioplus[[i]]@curve@hazardrates <- portfolioplus[[i]]@curve@hazardrates * (1 + eps)
- portfoliominus[[i]]@curve@hazardrates <- portfoliominus[[i]]@curve@hazardrates * (1- eps)
- }
- dPVindex <- indexpv(portfolioplus, index, tradedate = tradedate, clean = FALSE)$bp -
- indexpv(portfoliominus, index, tradedate = tradedate, clean = FALSE)$bp
- defaultprobplus <- 1 - SPmatrix(portfolioplus, length(cs$dates))
- defaultprobminus <- 1 - SPmatrix(portfoliominus, length(cs$dates))
+
+ Portf.plus <- tweakportfolio(index$portfolio, eps)
+ Portf.minus <- tweakportfolio(index$portfolio, -eps)
+ indexplus <- index
+ indexplus$portfolio <- Portf.plus
+ indexplus$defaultprob <- 1 - SPmatrix(Portf.plus, length(index$cs$dates))
+ indexminus <- index
+ indexminus$portfolio <- Portf.minus
+ indexminus$defaultprob <- 1 - SPmatrix(Portf.minus, length(index$cs$dates))
+ dPVindex <- indexpv(indexplus, tradedate = tradedate, clean = FALSE)$bp -
+ indexpv(indexminus, tradedate = tradedate, clean = FALSE)$bp
if(K2==1){
K1adj <- adjust.attachments(K1, index$loss, index$factor)
- dPVtranche <- BCtranche.pv(defaultprobplus, issuerweights, recov, cs, 0, K1adj, 0, rho1,
- Z, w, N)$bp -
- BCtranche.pv(defaultprobminus, issuerweights, recov, cs, 0, K1adj, 0, rho1,
- Z, w, N)$bp
+ dPVtranche <- BCtranche.pv(indexplus, 0, K1adj, 0, rho1, Z, w, N)$bp -
+ BCtranche.pv(indexminus, 0, K1adj, 0, rho1, Z, w, N)$bp
delta <- (1 - dPVtranche/(100*dPVindex) * K1adj)/(1-K1adj)
}else{
Kmod <- adjust.attachments(c(K1, K2), index$loss, index$factor)
- dPVtranche <- BCtranche.pv(defaultprobplus, issuerweights, recov, cs, Kmod[1], Kmod[2], rho1, rho2,
- Z, w, N)$bp -
- BCtranche.pv(defaultprobminus, issuerweights, recov, cs, Kmod[1], Kmod[2], rho1, rho2,
- Z, w, N)$bp
+ dPVtranche <- BCtranche.pv(indexplus, Kmod[1], Kmod[2], rho1, rho2, Z, w, N)$bp -
+ BCtranche.pv(indexminus, Kmod[1], Kmod[2], rho1, rho2, Z, w, N)$bp
delta <- dPVtranche/(100*dPVindex)
}
## dPVindex <- BCtranche.pv(portfolioplus, index, coupon, 0, 1, 0, 0.5, lu)$bp-
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