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| -rw-r--r-- | docs/tranche_factors.tex | 13 |
1 files changed, 13 insertions, 0 deletions
diff --git a/docs/tranche_factors.tex b/docs/tranche_factors.tex new file mode 100644 index 00000000..ba064def --- /dev/null +++ b/docs/tranche_factors.tex @@ -0,0 +1,13 @@ +\documentclass[12pt]{article} +\usepackage{amsmath} +\usepackage{ifluatex} +\usepackage{microtype} +\DeclareMathOperator{\TL}{TL} +\DeclareMathOperator{\TR}{TR} +\begin{document} +\[\TL(L, K_1, K_2) = (L - K_1)^+ - (L - K_2)^+\] +\[\TR(R, K_1, K_2) = (R - 1 + K2)^+ - (R - 1 + K_1)^+\] +\[S(L, R, K_1, K_2) = \frac{K_2 - K_1 - \TL(L, K_1, K_2)- \TR(L, K_1, K_2)}{K_2-K_1}\] +\[L = L_0 + \tilde{L}\] + +\end{document} |