diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/tranche_functions.R | 36 |
1 files changed, 30 insertions, 6 deletions
diff --git a/R/tranche_functions.R b/R/tranche_functions.R index 8b8b263..b21094f 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -658,7 +658,7 @@ BClossdistC <- function(defaultprob, issuerweights, recov, rho, Z, w, }
BCtranche.pv <- function(index, K1, K2, rho1, rho2,
- Z, w, N=length(issuerweights)+1){
+ Z, w, N=length(index$issuerweights)+1){
## computes the protection leg, couponleg, and bond price of a tranche
## in the base correlation setting
if(K1==0){
@@ -679,7 +679,7 @@ BCtranche.pv <- function(index, K1, K2, rho1, rho2, bp=100*(1+(pl2-pl1+cl2-cl1)/dK)))
}
-BCtranche.delta <- function(index, Z, w, N=length(portolio)+1, tradedate = Sys.Date()){
+BCtranche.delta <- function(index, Z, w, N=length(index$portolio)+1, tradedate = Sys.Date()){
## computes the tranche delta (on current notional) by doing a proportional
## blip of all the curves
## if K2==1, then computes the delta using the lower attachment only
@@ -688,28 +688,52 @@ BCtranche.delta <- function(index, Z, w, N=length(portolio)+1, tradedate = Sys.D Portf.plus <- tweakportfolio(index$portfolio, eps)
Portf.minus <- tweakportfolio(index$portfolio, -eps)
+ Portf.2plus <- tweakportfolio(index$portfolio, 2*eps)
indexplus <- index
indexplus$portfolio <- Portf.plus
indexplus$defaultprob <- 1 - SPmatrix(Portf.plus, length(index$cs$dates))
+
+ index2plus <- index
+ index2plus$portfolio <- Portf.2plus
+ index2plus$defaultprob <- 1 - SPmatrix(Portf.2plus, length(index$cs$dates))
+
indexminus <- index
indexminus$portfolio <- Portf.minus
indexminus$defaultprob <- 1 - SPmatrix(Portf.minus, length(index$cs$dates))
dPVindex <- indexpv(indexplus, tradedate = tradedate, clean = FALSE)$bp -
indexpv(indexminus, tradedate = tradedate, clean = FALSE)$bp
- deltas <- rep(0, length(index$K)-1)
- bpplus <- c(0)
- bpminus <- c(0)
+ dPVindex2 <- indexpv(index2plus, tradedate = tradedate, clean = FALSE)$bp -
+ indexpv(index, tradedate = tradedate, clean = FALSE)$bp
+ dPVindex1 <- indexpv(indexplus, tradedate = tradedate, clean = FALSE)$bp-
+ indexpv(index, tradedate = tradedate, clean = FALSE)$bp
+ bpplus <- 0
+ bpminus <- 0
+ bp <- 0
+ bp2plus <- 0
for(i in 1:(length(index$rho)-2)){
+ dist <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
distplus <- BClossdistC(indexplus$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
distminus <- BClossdistC(indexminus$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
+ dist2plus <- BClossdistC(index2plus$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
+ bp <- c(bp, tranche.pv(dist$L, dist$R, index$cs, 0, index$K[i+1]))
bpplus <- c(bpplus, tranche.pv(distplus$L, distplus$R, index$cs, 0, index$K[i+1]))
bpminus <- c(bpminus, tranche.pv(distminus$L, distminus$R, index$cs, 0, index$K[i+1]))
+ bp2plus <- c(bp2plus, tranche.pv(dist2plus$L, dist2plus$R, index$cs, 0, index$K[i+1]))
}
dPVtranche <- 1/diff(index$K[-length(index$K)])*(diff(bpplus) - diff(bpminus))
+ dPVtranche2 <- 1/diff(index$K[-length(index$K)])*(diff(bp2plus) - diff(bp))
+
deltas <- dPVtranche/dPVindex
+ ##might need to check that in case of non 1 factor
deltas <- c(deltas,
(1-(bpplus[length(bpplus)]-bpminus[length(bpminus)])/dPVindex)/(1-index$K[length(index$K)-1]))
- return( deltas )
+ deltasplus <- dPVtranche2/dPVindex2
+ ##might need to check that in case of non 1 factor
+ deltasplus <- c(deltasplus,
+ (1-(bp2plus[length(bpplus)]-bp[length(bpminus)])/dPVindex2)/(1-index$K[length(index$K)-1]))
+ gammas <- (deltasplus-deltas)/dPVindex1/100
+
+ return( list(deltas=deltas, gammas=gammas) )
}
EL <- function(index){
|