From 32ae9d261ea443c1905a0b4a0d36b8446824f161 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Thu, 29 May 2014 16:55:36 -0400
Subject: fix BCtranche.delta uses new api

---
 R/tranche_functions.R | 37 ++++++++++++++++---------------------
 1 file changed, 16 insertions(+), 21 deletions(-)

(limited to 'R')

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 5764281..8d7ab04 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -679,38 +679,33 @@ BCtranche.pv <- function(index, K1, K2, rho1, rho2,
                 bp=100*(1+(pl2-pl1+cl2-cl1)/dK)))
 }
 
-BCtranche.delta <- function(portfolio, index, coupon, K1, K2, rho1, rho2, Z, w,
+BCtranche.delta <- function(index, K1, K2, rho1, rho2, Z, w,
                             N=length(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
     ## this makes sense for bottom-up skews
     eps <- 1e-4
-    portfolioplus <- portfolio
-    portfoliominus <- portfolio
-    cs <- couponSchedule(IMMDate(tradedate), index$maturity,"Q", "FIXED", coupon, 0, tradedate,
-                         IMMDate(tradedate, "prev"))
-    for(i in 1:length(portfolio)){
-        portfolioplus[[i]]@curve@hazardrates <- portfolioplus[[i]]@curve@hazardrates * (1 + eps)
-        portfoliominus[[i]]@curve@hazardrates <- portfoliominus[[i]]@curve@hazardrates * (1- eps)
-    }
-    dPVindex <- indexpv(portfolioplus, index, tradedate = tradedate, clean = FALSE)$bp -
-        indexpv(portfoliominus, index, tradedate = tradedate, clean = FALSE)$bp
-    defaultprobplus <- 1 - SPmatrix(portfolioplus, length(cs$dates))
-    defaultprobminus <- 1 - SPmatrix(portfoliominus, length(cs$dates))
+
+    Portf.plus <- tweakportfolio(index$portfolio, eps)
+    Portf.minus <- tweakportfolio(index$portfolio, -eps)
+    indexplus <- index
+    indexplus$portfolio <- Portf.plus
+    indexplus$defaultprob <- 1 - SPmatrix(Portf.plus, length(index$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)$bp
     if(K2==1){
         K1adj <- adjust.attachments(K1, index$loss, index$factor)
-        dPVtranche <- BCtranche.pv(defaultprobplus, issuerweights, recov, cs, 0, K1adj, 0, rho1,
-                                   Z, w, N)$bp -
-                      BCtranche.pv(defaultprobminus, issuerweights, recov, cs, 0, K1adj, 0, rho1,
-                                   Z, w, N)$bp
+        dPVtranche <- BCtranche.pv(indexplus, 0, K1adj, 0, rho1, Z, w, N)$bp -
+                      BCtranche.pv(indexminus, 0, K1adj, 0, rho1, Z, w, N)$bp
         delta <- (1 - dPVtranche/(100*dPVindex) * K1adj)/(1-K1adj)
     }else{
         Kmod <- adjust.attachments(c(K1, K2), index$loss, index$factor)
-        dPVtranche <- BCtranche.pv(defaultprobplus, issuerweights, recov, cs, Kmod[1], Kmod[2], rho1, rho2,
-                                   Z, w, N)$bp -
-                      BCtranche.pv(defaultprobminus, issuerweights, recov, cs, Kmod[1], Kmod[2], rho1, rho2,
-                                   Z, w, N)$bp
+        dPVtranche <- BCtranche.pv(indexplus, Kmod[1], Kmod[2], rho1, rho2, Z, w, N)$bp -
+                      BCtranche.pv(indexminus, Kmod[1], Kmod[2], rho1, rho2, Z, w, N)$bp
         delta <- dPVtranche/(100*dPVindex)
     }
     ## dPVindex <- BCtranche.pv(portfolioplus, index, coupon, 0, 1, 0, 0.5, lu)$bp-
-- 
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