1 files changed, 6 insertions, 12 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index eb652b8..16960e0 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -729,24 +729,18 @@ BCtranche.delta <- function(index, tradedate = Sys.Date()){
             return(newindex)
         }
     })
-    dPVindex <- indexpv(index.list[[2]], tradedate = tradedate, clean = FALSE)$bp -
-        indexpv(index.list[[3]], tradedate = tradedate, clean = FALSE)$bp
-    dPVindex2 <- indexpv(index.list[[4]], tradedate = tradedate, clean = FALSE)$bp -
-        indexpv(index, tradedate = tradedate, clean = FALSE)$bp
-    dPVindex1 <- indexpv(index.list[[2]], tradedate = tradedate, clean = FALSE)$bp-
-        indexpv(index, tradedate = tradedate, clean = FALSE)$bp
 
-    bp <- matrix(0, length(index$K)-1, 4)
+    bp <- matrix(0, length(index$K)-1, length(index.list))
+    indexbp <- rep(0, length(index.list))
     for(j in seq_along(index.list)){
         temp <- BCtranche.pv(index.list[[j]])
+        indexbp[j] <- indexpv(index.list[[j]], tradedate = tradedate, clean = FALSE)$bp
         bp[,j] <- temp$bp
     }
-    dPVtranche <- bp[,2]-bp[,3]
-    dPVtranche2 <-  bp[,4] - bp[,1]
 
-    deltas <- dPVtranche/dPVindex
-    deltasplus <- dPVtranche2/dPVindex2
-    gammas <- (deltasplus-deltas)/dPVindex1/100
+    deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])
+    deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])
+    gammas <- (deltasplus-deltas)/(indexbp[1]-indexbp[1])/100
 
     return( list(deltas=deltas, gammas=gammas) )
 }