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
Browse package contents
Package details |
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| Author | Yafei Xu <yafei.xu@hu-berlin.de> |
| Maintainer | Yafei Xu <yafei.xu@hu-berlin.de> |
| License | GPL (>= 3) |
| Version | 1.2 |
| URL | https://sites.google.com/site/cdowithr |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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