mgg: CDO Pricing with the C_gg copula

Description Usage Arguments Details Value Author(s) References Examples

Description

'mgg' computes 5 tranches spreads under the mixed Gumbel-Gumbel copula.

Usage

1
mgg(theta1Input, theta2Input, weightInput, M, dateInput)

Arguments

theta1Input

a numeric giving the Kendall's tau for dependence specification.

theta2Input

a numeric giving the Kendall's tau for dependence specification.

weightInput

a numeric giving the weight for the first component copula.

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 <yafei.xu@hu-berlin.de>

References

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

Examples

1
mgg(0.3,0.4,0.5, 100, c("2007-10-23"))

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