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".
|Author||Yafei Xu <[email protected]>|
|Date of publication||2014-04-07|
|Maintainer||Yafei Xu <[email protected]erlin.de>|
|License||GPL (>= 3)|
|Package repository||View on GitHub|
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