NEWS.md

In hsloot/cvalr: Credit Derivative Valuation in R

cvalr 0.5.3

• Update RoxygenNote and manual

cvalr 0.5.2

• Realign with rmo@v0.8 because of renamed algorithms

cvalr 0.5.1

• Realign with rmo@v0.7.1 because of renamed algorithms

cvalr 0.5

• Realign with rmo@v0.7.0 because of breaking changes in the PoissonBernsteinFunction-class, see hsloot/rmo#81.

cvalr 0.4

• Rename "CuadrasAuge*" classes to "Armageddon*" because of rmo@v0.6.
• Add additional tests and refactor tests for simulating calibration parameters.

cvalr 0.3.3

• Refactor backend using different, linear representations.

cvalr 0.3.2

• Change logic of attrs argument for expected_value.

cvalr 0.3.1

• Fix H2-ext. CA-sampling and problems with Miwa (copula and mvtnorm algorithm)

cvalr 0.3

• Internal refactoring of expected_value methods and user interface.
• Improved sampling of average default counting process for ext. MO families
• Implement missing probability_distribution method for H2ExMarkovParam-class
• Implement missing expected_pcds_loss methods
• Include continuous benchmark integration on Github
• Fix validity methods

cvalr 0.2

• Code refactoring and tests added

cvalr 0.1

• Calibration parameter classes (extendible and H2-extendible)
• Auxiliary methods for portfolio CDS and CDO pricing

hsloot/cvalr documentation built on Sept. 24, 2022, 9:25 a.m.