add GHquad function, get rid of statmod dependency

1 files changed, 11 insertions, 19 deletions

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 2e7f0f3..5fa954a 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -1,5 +1,3 @@
-library(statmod)

-

 ## todo:

 ## -investigate other ways to interpolate the random severities on the grid

 ## I'm thinking that at eah severity that we add to the distribution, round it down

@@ -11,22 +9,16 @@ library(statmod)
 ## recovery with 0.1-1 support, so it's not clear that there is a big gain.

 ## - do the correlation adjustments when computing the deltas since it seems to be

 ## the market standard

-hostname <- system("hostname", intern=TRUE)

 

-checkSymbol <- function(name){

-    if(!is.loaded(name)){

-        if(.Platform$OS.type == "unix"){

-            root.dir <- "/home/share/CorpCDOs"

-            dyn.load(file.path(root.dir, "code", "R", paste0("lossdistrib",

-                                                             hostname,

-                                                             .Platform$dynlib.ext)))

-        }else{

-            root.dir <- "//WDSENTINEL/share/CorpCDOs"

-            dyn.load(file.path(root.dir, "code", "R", paste0("lossdistrib",

-                                                             .Platform$dynlib.ext)))

-        }

-    }

+GHquad <- function(n){

+    n <- as.integer(n)

+    Z <- double(n)

+    w <- double(n)

+    result <- .C("GHquad", n, Z=Z, w=w)

+    result[[1]] <- NULL

+    return(result)

 }

+

 lossdistrib <- function(p){

     ## basic recursive algorithm of Andersen, Sidenius and Basu

     n <- length(p)

@@ -630,9 +622,9 @@ tranche.pvvec <- function(K, L, R, cs){
 BClossdist <- function(defaultprob, issuerweights, recov, rho, Z, w,

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

   if(missing(Z)){

-    quadrature <- gauss.quad.prob(n.int, "normal")

-    Z <- quadrature$nodes

-    w <- quadrature$weights

+    quadrature <- GHquad(n.int)

+    Z <- quadrature$Z

+    w <- quadrature$w

   }

   ## do not use if weights are not gaussian, results would be incorrect

   ## since shockseverity is invalid in that case (need to use stochasticrecov)