YafeiXu/CDO: This package is designed to reproduce the iTraxx Europe Index Series 8 tranche spreads.

In this package 43 models, containing elliptical copula models, Archimedean copula models, hierarchical Archimedean copula models and mixed copula models, have been employed for pricing the iTraxx Europe Index Series 8 tranche spreads. Details for 43 models and the computations can be referred to the master theisis, CDO, HAME Copulas and an R Package `CDO'. IMPORTANT: This package requires the R >= 3.0.3. And please download the data sets of "defIntensity.csv" and "payday.csv" from "https://github.com/YafeiXu/xyfQuantlet" and correctly install them in such paths: "C:/defIntensity.csv", "C:/payday.csv".

Getting started

Package details

AuthorYafei Xu <yafei.xu@hu-berlin.de>
MaintainerYafei Xu <yafei.xu@hu-berlin.de>
LicenseGPL (>= 3)
URL https://sites.google.com/site/cdowithr
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
YafeiXu/CDO documentation built on May 9, 2019, 11:07 p.m.