Files in hsloot/cvalr

Credit Derivative Valuation in R

.github/CODEOWNERS.md .github/CODE_OF_CONDUCT.md .github/CONTRIBUTING.md .github/ISSUE_TEMPLATE/bug_report.md .github/ISSUE_TEMPLATE/documentation_proposal.md .github/ISSUE_TEMPLATE/feature_request.md .github/ISSUE_TEMPLATE/review_proposal.md .github/ISSUE_TEMPLATE/statistical_problem.md .github/SUPPORT.md .github/pull_request_template.md LICENSE.md NEWS.md R/RcppExports.R R/checkmate.R R/cvalr-package.R R/s4-CalibrationParam.R R/s4-ExMOParam.R R/s4-ExMarkovParam.R R/s4-ExtArch2FParam.R R/s4-ExtGaussian2FParam.R R/s4-ExtMO2FParam.R R/s4-ExtMOParam.R R/s4-H2ExCalibrationParam.R R/s4-H2ExMOParam.R R/s4-H2ExMarkovParam.R R/s4-H2ExtArch3FParam.R R/s4-H2ExtGaussian3FParam.R R/s4-H2ExtMO3FParam.R R/s4-H2ExtMOParam.R R/utils-math.R R/utils.R R/zzz.R README.Rmd README.md bench/benchmark-report.Rmd bench/expected_cdo_equation_default.R bench/expected_cdo_equation_mc.R bench/expected_pcds_equation_default.R bench/expected_pcds_equation_mc.R inst/Rsource/calibration.R inst/Rsource/isda.R inst/Rsource/stochastic_calibration.R man/CalibrationParam-class.Rd man/ExMOParam-class.Rd man/ExMarkovParam-class.Rd man/ExtArch2FParam-class.Rd man/ExtGaussian2FParam-class.Rd man/ExtMO2FParam-class.Rd man/ExtMOParam-class.Rd man/H2ExCalibrationParam-class.Rd man/H2ExMOParam-class.Rd man/H2ExMarkovParam-class.Rd man/H2ExtArch3FParam-class.Rd man/H2ExtGaussian3FParam-class.Rd man/H2ExtMO3FParam-class.Rd man/H2ExtMOParam-class.Rd man/cvalr.Rd tests/testthat.R tests/testthat/helper-expected-value.R tests/testthat/helper-pricing.R tests/testthat/helper.R tests/testthat/test-conversion.R tests/testthat/test-pricing.R tests/testthat/test-s4-AlphaStableExtMO2FParam.R tests/testthat/test-s4-AlphaStableH2ExtMO3FParam.R tests/testthat/test-s4-ArmageddonExtMO2FParam.R tests/testthat/test-s4-ArmageddonH2ExtMO3FParam.R tests/testthat/test-s4-CalibrationParam.R tests/testthat/test-s4-ClaytonExtArch2FParam.R tests/testthat/test-s4-ClaytonH2ExtArch3FParam.R tests/testthat/test-s4-ExMOParam.R tests/testthat/test-s4-ExMarkovParam.R tests/testthat/test-s4-ExponentialExtMO2FParam.R tests/testthat/test-s4-ExponentialH2ExtMO3FParam.R tests/testthat/test-s4-ExtArch2FParam.R tests/testthat/test-s4-ExtGaussian2FParam.R tests/testthat/test-s4-ExtMO2FParam.R tests/testthat/test-s4-ExtMOParam.R tests/testthat/test-s4-FrankExtArch2FParam.R tests/testthat/test-s4-FrankH2ExtArch3FParam.R tests/testthat/test-s4-GumbelExtArch2FParam.R tests/testthat/test-s4-GumbelH2ExtArch3FParam.R tests/testthat/test-s4-H2ExMOParam.R tests/testthat/test-s4-H2ExMarkovParam.R tests/testthat/test-s4-H2ExtArch3FParam.R tests/testthat/test-s4-H2ExtGaussian3FParam.R tests/testthat/test-s4-H2ExtMO3FParam.R tests/testthat/test-s4-H2ExtMOParam.R tests/testthat/test-s4-JoeExtArch2FParam.R tests/testthat/test-s4-JoeH2ExtArch3FParam.R tests/testthat/test-s4-PoissonExtMO2FParam.R tests/testthat/test-s4-PoissonH2ExtMO3FParam.R tests/testthat/test-simulate_dt.R vignettes/Portfolio-CDS-and-CDO-tranches.Rmd