clayton: CDO Pricing with Clayton Copula.

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

Description

'clayton' computes 5 tranches' spreads under the Clayton copula.

Usage

clayton(rhoInput, MInput, dateInput)

Arguments

rhoInput	a numeric giving the Kendeall's tau for dependence specification.
MInput	a numeric giving the Monte Carlo simulation runs.
dateInput	a character giving the pricing date, e.g. c("2007-10-23").

Details

Please make sure that the data sets of "defIntensity.csv" and "payday.csv" have been correctly installed in such paths: "C:/defIntensity.csv", "C:/payday.csv". The both data sets can be downloaded from "https://github.com/YafeiXu/xyfQuantlet".

Value

A vector with 5 numerics will be returned, from left to right: equity, junior mezzanine, senior mezzanine, junior senior, senior.

Author(s)

Yafei Xu <[e-mail]>

References

The master thesis, CDO, HAME Copulas and an R Package 'CDO', can be downloaded from https://sites.google.com/site/cdowithr/.

Examples

clayton(0.3, 10000, c("2007-10-23")) 

YafeiXu/CDO documentation built on May 9, 2019, 11:07 p.m.