replace tranche.pvvec with MFtranche.pv, which mimics BCtranche.pv

1 files changed, 19 insertions, 8 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 9b971f2..6bff635 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -610,14 +610,6 @@ adjust.attachments <- function(K, losstodate, factor){
     return( pmin(pmax((K-losstodate)/factor, 0),1) )

 }

 

-tranche.pvvec <- function(K, L, R, cs){

-    r <- rep(0, length(K)-1)

-    for(i in 1:(length(K)-1)){

-        r[i] <- 1/(K[i+1]-K[i]) * tranche.pv(L, R, cs, K[i], K[i+1])

-    }

-    return( r )

-}

-

 BClossdist <- function(defaultprob, issuerweights, recov, rho, Z, w,

                        N=length(recov)+1, defaultflag=FALSE, n.int=500){

   if(missing(Z)){

@@ -702,6 +694,25 @@ BCtranche.pv <- function(index, protection=FALSE, complement=FALSE){
     return(list(pl=plvec, cl=clvec, bp=bp))

 }

 

+MFtranche.pv <- function(index, dist, protection=FALSE){

+    n.tranches <- length(index$K)-1

+    pl <- rep(0, n.tranches)

+    cl <- rep(0, n.tranches)

+    for(i in seq.int(n.tranches)){

+        pl[i] <- tranche.pl(dist$L, index$cs, index$K[i], index$K[i+1])

+        cl[i] <- tranche.cl(dist$L, dist$R, index$cs, index$K[i], index$K[i+1])

+    }

+    dK <- diff(index$K)

+    plvec <- pl/dK

+    clvec <- cl/dK*index$tranche.running

+    if(protection){

+        bp <- -plvec-clvec

+    }else{

+        bp <- 1+plvec+clvec

+    }

+    return(list(pl=plvec, cl=clvec, bp=bp))

+}

+

 adjust.skew <- function(index1, index2, method="ATM"){

     #index1 is the index for which we already have computed the skew

     #index2 is the index we're mapping to