take into account the tranche factors. I hope this is right...

1 files changed, 4 insertions, 6 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index fb8a4fa..2f55a95 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -740,8 +740,8 @@ BCtranche.delta <- function(index, tradedate = Sys.Date()){
         bp[,j] <- temp$bp

     }

 

-    deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])

-    deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])

+    deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])*tranche.factor(index)/index$factor

+    deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])*tranche.factor(index)/index$factor

     gammas <- (deltasplus-deltas)/(indexbp[2]-indexbp[1])/100

 

     return( list(deltas=deltas, gammas=gammas) )

@@ -807,12 +807,10 @@ skewmapping <- function(index1, rhofun, index2, K2, Z, w, N=101) {
 }

 

 

-delta.factor <- function(K1, K2, index){

+tranche.factor <- function(index){

     ## compute the factor to convert from delta on current notional to delta on original notional

     ## K1 and K2 original strikes

-    factor <- (adjust.attachments(K2, index$loss, index$factor)

-               -adjust.attachments(K1, index$loss, index$factor))/(K2-K1)

-    return( factor )

+    return( diff(index$K)/diff(index$K.orig)*index$factor )

 }

 

 MFupdate.prob <- function(Z, w, rho, defaultprob){