add MFtranche.delta which mimics BCtranche.delta

1 files changed, 33 insertions, 0 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 6bff635..787d64a 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -820,6 +820,39 @@ BCtranche.delta <- function(index, complement=FALSE){
     return( list(deltas=deltas, gammas=gammas) )

 }

 

+MFtranche.delta <- function(index){

+    ## computes the tranche delta (on current notional) by doing a proportional

+    ## blip of all the curves

+    ## if complement is False, then computes deltas bottom-up

+    ## if complement is True, then computes deltas top-down

+    eps <- 1e-4

+    index$Ngrid <- 301 ## for gamma computations we need all the precision we can get

+    ## we build a lit of 4 indices with various shocks

+    index.list <- lapply(c(0, eps, -eps, 2*eps), function(x){

+        if(x==0){

+            return(index)

+        }else{

+            newindex <- index

+            newindex$portfolio <- tweakportfolio(newindex$portfolio, x)

+            newindex$defaultprob <- 1 - SPmatrix(newindex$portfolio, length(index$cs$dates))

+            return(newindex)

+        }

+    })

+    bp <- matrix(0, length(index$K)-1, length(index.list))

+    indexbp <- rep(0, length(index.list))

+    for(j in seq_along(index.list)){

+        indexbp[j] <- BCindex.pv(index.list[[j]])$bp

+        dist <- MFdist(index.list[[j]])

+        bp[,j] <- BCtranche.pv(index.list[[j]], dist)

+    }

+

+    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) )

+}

+

 BCtranche.corr01 <- function(index, eps=0.01, complement=FALSE){

     ##does a parallel shift of the skew and computes the change in pv

     before <- BCtranche.pv(index, complement=complement)