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R/defaultTimeseries.R
In AssetCorr: Estimating Asset Correlations from Default Data
Defines functions
defaultTimeseries
Documented in
defaultTimeseries
defaultTimeseries <-
function(N,AC,Years,PD){
Psi=rnorm(Years)
PDcond1=pnorm((qnorm(PD)-sqrt(AC)*Psi)/sqrt(1-AC))
size_p=rep(N,Years)
D1=rbinom(Years,size_p,PDcond1)
return(D1)
}
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AssetCorr documentation built on May 5, 2021, 5:07 p.m.
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Defines functions defaultTimeseries
Documented in defaultTimeseries
defaultTimeseries <-
function(N,AC,Years,PD){
Psi=rnorm(Years)
PDcond1=pnorm((qnorm(PD)-sqrt(AC)*Psi)/sqrt(1-AC))
size_p=rep(N,Years)
D1=rbinom(Years,size_p,PDcond1)
return(D1)
}
Try the AssetCorr package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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