mtc: CDO Pricing with the C_tc copula

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

Description

'mtc' compute 5 tranches spreads under the mixed t-Clayton copula

Usage

mtc(theta1Input, theta2Input, weightInput, M, dateInput)

Arguments

theta1Input	a numeric giving the Pearson's correlation 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 <[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

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

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