From e3f29ddde286c4011590ad83916777b3e519f8c7 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Wed, 20 Aug 2014 16:48:10 -0400
Subject: add MFtranche.delta which mimics BCtranche.delta

---
 R/tranche_functions.R | 33 +++++++++++++++++++++++++++++++++
 1 file changed, 33 insertions(+)

(limited to 'R/tranche_functions.R')

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 6bff635..787d64a 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -820,6 +820,39 @@ BCtranche.delta <- function(index, complement=FALSE){
     return( list(deltas=deltas, gammas=gammas) )
 }
 
+MFtranche.delta <- function(index){
+    ## computes the tranche delta (on current notional) by doing a proportional
+    ## blip of all the curves
+    ## if complement is False, then computes deltas bottom-up
+    ## if complement is True, then computes deltas top-down
+    eps <- 1e-4
+    index$Ngrid <- 301 ## for gamma computations we need all the precision we can get
+    ## we build a lit of 4 indices with various shocks
+    index.list <- lapply(c(0, eps, -eps, 2*eps), function(x){
+        if(x==0){
+            return(index)
+        }else{
+            newindex <- index
+            newindex$portfolio <- tweakportfolio(newindex$portfolio, x)
+            newindex$defaultprob <- 1 - SPmatrix(newindex$portfolio, length(index$cs$dates))
+            return(newindex)
+        }
+    })
+    bp <- matrix(0, length(index$K)-1, length(index.list))
+    indexbp <- rep(0, length(index.list))
+    for(j in seq_along(index.list)){
+        indexbp[j] <- BCindex.pv(index.list[[j]])$bp
+        dist <- MFdist(index.list[[j]])
+        bp[,j] <- BCtranche.pv(index.list[[j]], dist)
+    }
+
+    deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])*tranche.factor(index)/index$factor
+    deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])*tranche.factor(index)/index$factor
+    gammas <- (deltasplus-deltas)/(indexbp[2]-indexbp[1])/100
+
+    return( list(deltas=deltas, gammas=gammas) )
+}
+
 BCtranche.corr01 <- function(index, eps=0.01, complement=FALSE){
     ##does a parallel shift of the skew and computes the change in pv
     before <- BCtranche.pv(index, complement=complement)
-- 
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