mgsj: CDO Pricing with the C_gsj copula

Description Usage Arguments Details Value Author(s) References Examples

Description

'mgsj' compute 5 tranches spreads under the mixed Gaussian-Gaussian copula

Usage

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

Arguments

theta1Input

a numeric giving the Pearson's correlation for dependence specification

theta2Input

a numeric giving the Pearson's correlation 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
mgsj(0.3,0.4,0.5, 100, c("2007-10-23"))

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