frank: CDO Pricing with the Frank Copula

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

Description

'frank' compute 5 tranches spreads under the Frank copula

Usage

frank(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

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

YafeiXu/cdov documentation built on May 10, 2019, midnight