H2ExCalibrationParam-class: Virtual super-class for H2-exchangeable calibration...
In hsloot/cvalr: Credit Derivative Valuation in R
H2ExCalibrationParam-class R Documentation
Virtual super-class for H2-exchangeable calibration parameters
Description
H2ExCalibrationParam provides a simple interface to calculate
expected values and pricing equations for portfolio CDS' and CDO's with
different hierachically-exchangeable models with 2 levels of hierarchy.
Extends CalibrationParam.
Details
A H2-Exchangeable distribution is a distribution for which a partition
\mathcal{P} = \{ p_1, … p_k \} with \dot{\bigcup}_{j} p_j = \{ 1 ,
…, d \} and a σ-algebra \mathcal{G} can be found such
that conditioned on \mathcal{G}, the subvectors corresponding the
elements of \mathcal{P} are independent and exchangeable.
We assume for simplicity that elements from \mathcal{P} contain
adjacent integer values such that \mathcal{P} can be identified with a
composition \mathcal{C} = \{ c_1, … c_k \} with d = c_1 +
\cdots + c_k and \lvert p_i \rvert = c_i.
Slots
compositionPositive integerish vector for the component-composition.
hsloot/cvalr documentation built on Sept. 24, 2022, 9:25 a.m.
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| H2ExCalibrationParam-class | R Documentation |
Virtual super-class for H2-exchangeable calibration parameters
Description
H2ExCalibrationParam provides a simple interface to calculate expected values and pricing equations for portfolio CDS' and CDO's with different hierachically-exchangeable models with 2 levels of hierarchy. Extends CalibrationParam.
Details
A H2-Exchangeable distribution is a distribution for which a partition \mathcal{P} = \{ p_1, … p_k \} with \dot{\bigcup}_{j} p_j = \{ 1 , …, d \} and a σ-algebra \mathcal{G} can be found such that conditioned on \mathcal{G}, the subvectors corresponding the elements of \mathcal{P} are independent and exchangeable. We assume for simplicity that elements from \mathcal{P} contain adjacent integer values such that \mathcal{P} can be identified with a composition \mathcal{C} = \{ c_1, … c_k \} with d = c_1 + \cdots + c_k and \lvert p_i \rvert = c_i.
Slots
compositionPositive integerish vector for the component-composition.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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