YafeiXu/cdov: 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 the iTraxx Europe Index Series 8 tranche spreads, whose details can be referred to the master theisis, CDO, HAME Copulas and an R Package `CDO'.

Getting started

Package details

AuthorYafei Xu <[email protected]>
MaintainerYafei Xu <[email protected]>
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/cdov documentation built on June 3, 2017, 9:50 a.m.