From c451841cdac4bef74ef9a011f13d8befe85e9d56 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Wed, 20 Aug 2014 16:47:44 -0400
Subject: replace tranche.pvvec with MFtranche.pv, which mimics BCtranche.pv

---
 R/tranche_functions.R | 27 +++++++++++++++++++--------
 1 file changed, 19 insertions(+), 8 deletions(-)

(limited to 'R/tranche_functions.R')

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 9b971f2..6bff635 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -610,14 +610,6 @@ adjust.attachments <- function(K, losstodate, factor){
     return( pmin(pmax((K-losstodate)/factor, 0),1) )
 }
 
-tranche.pvvec <- function(K, L, R, cs){
-    r <- rep(0, length(K)-1)
-    for(i in 1:(length(K)-1)){
-        r[i] <- 1/(K[i+1]-K[i]) * tranche.pv(L, R, cs, K[i], K[i+1])
-    }
-    return( r )
-}
-
 BClossdist <- function(defaultprob, issuerweights, recov, rho, Z, w,
                        N=length(recov)+1, defaultflag=FALSE, n.int=500){
   if(missing(Z)){
@@ -702,6 +694,25 @@ BCtranche.pv <- function(index, protection=FALSE, complement=FALSE){
     return(list(pl=plvec, cl=clvec, bp=bp))
 }
 
+MFtranche.pv <- function(index, dist, protection=FALSE){
+    n.tranches <- length(index$K)-1
+    pl <- rep(0, n.tranches)
+    cl <- rep(0, n.tranches)
+    for(i in seq.int(n.tranches)){
+        pl[i] <- tranche.pl(dist$L, index$cs, index$K[i], index$K[i+1])
+        cl[i] <- tranche.cl(dist$L, dist$R, index$cs, index$K[i], index$K[i+1])
+    }
+    dK <- diff(index$K)
+    plvec <- pl/dK
+    clvec <- cl/dK*index$tranche.running
+    if(protection){
+        bp <- -plvec-clvec
+    }else{
+        bp <- 1+plvec+clvec
+    }
+    return(list(pl=plvec, cl=clvec, bp=bp))
+}
+
 adjust.skew <- function(index1, index2, method="ATM"){
     #index1 is the index for which we already have computed the skew
     #index2 is the index we're mapping to
-- 
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