From 6f01cad69f962f7f2d74c56896a36ea50c2b7fda Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@serenitascapital.com>
Date: Mon, 2 Jun 2014 18:30:00 -0400
Subject: compute deltas for all attach/detach in one go

---
 R/tranche_functions.R | 31 +++++++++++++++----------------
 1 file changed, 15 insertions(+), 16 deletions(-)

(limited to 'R')

diff --git a/R/tranche_functions.R b/R/tranche_functions.R
index 8d7ab04..8b8b263 100644
--- a/R/tranche_functions.R
+++ b/R/tranche_functions.R
@@ -679,8 +679,7 @@ BCtranche.pv <- function(index, K1, K2, rho1, rho2,
                 bp=100*(1+(pl2-pl1+cl2-cl1)/dK)))
 }
 
-BCtranche.delta <- function(index, K1, K2, rho1, rho2, Z, w,
-                            N=length(portolio)+1, tradedate = Sys.Date()){
+BCtranche.delta <- function(index, 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
@@ -697,20 +696,20 @@ BCtranche.delta <- function(index, K1, K2, rho1, rho2, Z, w,
     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$factor)
-        dPVtranche <- BCtranche.pv(indexplus, 0, K1adj, 0, rho1, Z, w, N)$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$factor)
-        dPVtranche <- BCtranche.pv(indexplus, Kmod[1], Kmod[2], rho1, rho2, Z, w, N)$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-
-    ##     BCtranche.pv(portfoliominus, index, coupon, 0, 1, 0, 0.5, lu)$bp
-    return( delta )
+    deltas <- rep(0, length(index$K)-1)
+    bpplus <- c(0)
+    bpminus <- c(0)
+    for(i in 1:(length(index$rho)-2)){
+        distplus <- BClossdistC(indexplus$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
+        distminus <- BClossdistC(indexminus$defaultprob, index$issuerweights, index$recov, index$rho[i+1], Z, w, N)
+        bpplus <- c(bpplus, tranche.pv(distplus$L, distplus$R, index$cs, 0, index$K[i+1]))
+        bpminus <- c(bpminus, tranche.pv(distminus$L, distminus$R, index$cs, 0, index$K[i+1]))
+    }
+    dPVtranche <- 1/diff(index$K[-length(index$K)])*(diff(bpplus) - diff(bpminus))
+    deltas <- dPVtranche/dPVindex
+    deltas <- c(deltas,
+                (1-(bpplus[length(bpplus)]-bpminus[length(bpminus)])/dPVindex)/(1-index$K[length(index$K)-1]))
+    return( deltas )
 }
 
 EL <- function(index){
-- 
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