diff options
| -rw-r--r-- | R/tranche_functions.R | 50 |
1 files changed, 24 insertions, 26 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index a5b99d8..7ef68e1 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -657,7 +657,7 @@ BClossdistC <- function(defaultprob, issuerweights, recov, rho, Z, w, return(list(L=r$L,R=r$R))
}
-BCtranche.pv <- function(defaultprob, issuerweights, recov, cs, K1, K2, rho1, rho2,
+BCtranche.pv <- function(index, K1, K2, rho1, rho2,
Z, w, N=length(issuerweights)+1){
## computes the protection leg, couponleg, and bond price of a tranche
## in the base correlation setting
@@ -667,14 +667,14 @@ BCtranche.pv <- function(defaultprob, issuerweights, recov, cs, K1, K2, rho1, rh }
}
dK <- K2 - K1
- dist2 <- BClossdistC(defaultprob, issuerweights, recov, rho2, Z, w, N)
+ dist2 <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho2, Z, w, N)
if(rho1!=0){
- dist1 <- BClossdistC(defaultprob, issuerweights, recov, rho1, Z, w, N)
+ dist1 <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho1, Z, w, N)
}
- cl2 <- tranche.cl(dist2$L, dist2$R, cs, 0, K2)
- cl1 <- tranche.cl(dist1$L, dist1$R, cs, 0, K1)
- pl2 <- tranche.pl(dist2$L, cs, 0, K2)
- pl1 <- tranche.pl(dist1$L, cs, 0, K1)
+ cl2 <- tranche.cl(dist2$L, dist2$R, index$cs, 0, K2)
+ cl1 <- tranche.cl(dist1$L, dist1$R, index$cs, 0, K1)
+ pl2 <- tranche.pl(dist2$L, index$cs, 0, K2)
+ pl1 <- tranche.pl(dist1$L, index$cs, 0, K1)
return(list(pl=(pl2-pl1)/dK, cl=(cl2-cl1)/dK,
bp=100*(1+(pl2-pl1+cl2-cl1)/dK)))
}
@@ -718,26 +718,28 @@ BCtranche.delta <- function(portfolio, index, coupon, K1, K2, rho1, rho2, Z, w, return( delta )
}
-EL <- function(defaultprob, issuerweights, recov, cs){
+EL <- function(index){
## computes the expected loss of a portfolio (time discounted)
## given the default curves and recovery
## should be very close to the protection leg of the portfolio of cds
- ELvec <- crossprod( issuerweights * (1-recov), defaultprob)
- return( crossprod(cs$df, diff(c(0, as.numeric(ELvec)))) )
+ ## index should be a list with issuerweights, recov, defaultprob and cs parameters
+ ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), + return( sum(index$cs$df*diff(c(0, ELvec))) )
}
-ELtrunc <- function(defaultprob, issuerweights, recov, cs, K, rho, Z, w, Ngrid){
+ELtrunc <- function(index, K, rho, Z, w, Ngrid){
## computes the expected loss of a portfolio below strike K
## could be written faster by using a truncated version of lossdistrib
- rho <- rep(rho, length(issuerweights))
- L <- matrix(0, Ngrid, dim(defaultprob)[2])
- L <- .C("BCloss_dist", defaultprob, dim(defaultprob)[1], dim(defaultprob)[2],
- as.double(issuerweights), as.double(recov), as.double(Z), as.double(w),
+ ## index should be a list with issuerweights, recov, defaultprob and cs parameters
+ rho <- rep(rho, length(index$issuerweights))
+ L <- matrix(0, Ngrid, dim(index$defaultprob)[2])
+ L <- .C("BCloss_dist", index$defaultprob, dim(index$defaultprob)[1], dim(index$defaultprob)[2],
+ as.double(index$issuerweights), as.double(index$recov), as.double(Z), as.double(w),
as.integer(length(Z)), as.double(rho), as.integer(Ngrid), FALSE, L=L)$L
support <- seq(0, 1, length=Ngrid)
trancheloss <- pmin(support, K)
ELvec <- crossprod(trancheloss, L)
- return( crossprod(cs$df, diff(c(0, as.numeric(ELvec)))) )
+ return( sum(index$cs$df * diff(c(0, as.numeric(ELvec)))) )
}
BCstrikes <- function(defaultprob, issuerweights, recov, cs, K, rho, Z, w, N=101) {
@@ -751,18 +753,14 @@ BCstrikes <- function(defaultprob, issuerweights, recov, cs, K, rho, Z, w, N=101 return( ELvec/el )
}
-skewmapping <- function(defaultprob1, issuerweights1, recov1, cs1, rhofun,
- defaultprob2, issuerweights2, recov2, cs2, K2, Z, w, N=101) {
-
- EL1 <- EL(defaultprob1, issuerweights1, recov1, cs1)
- EL2 <- EL(defaultprob2, issuerweights2, recov2, cs2)
+skewmapping <- function(index1, rhofun, index2, K2, Z, w, N=101) {
+ EL1 <- EL(index1)
+ EL2 <- EL(index2)
f <- function(x, ...){
- return(abs(ELtrunc(defaultprob1, issuerweights1, recov1, cs1,
- 0, x, 0, rhofun(x), Z, w, N)/EL1-
- ELtrunc(defaultprob2, issuerweights2, recov2, cs2,
- 0, K2, 0, rhofun(x), Z, w, N)/EL2))
+ return(abs(ELtrunc(index1, x, rhofun(x), Z, w, N)/EL1-
+ ELtrunc(index2, K2, rhofun(x), Z, w, N)/EL2))
}
- return( optimize(f, interval=c(0,1)) )
+ return( optimize(f, interval=c(0,1), index1, rhofun, index2, K2, Z, w, N) )
}
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