summaryrefslogtreecommitdiffstats
path: root/R
AgeCommit message (Collapse)Author
2015-07-30improve docsGuillaume Horel
2015-03-11new function using truncated distsGuillaume Horel
2015-03-10add an function for computing truncated expected lossGuillaume Horel
2015-03-10fix lossdistrib_truncatedGuillaume Horel
2014-10-08rename file since there are no tranche functions leftGuillaume Horel
2014-10-03big cleanupGuillaume Horel
2014-09-18complement param was not used and shortened did not workGuillaume Horel
2014-09-12starting to clean up the docGuillaume Horel
2014-09-10start documenting the code properlyGuillaume Horel
2014-09-05shorter column nameGuillaume Horel
2014-09-05singular everyhereGuillaume Horel
2014-09-05update due to new organisation of index objectGuillaume Horel
2014-09-04stupid type, should always be testingGuillaume Horel
2014-09-04return better namesGuillaume Horel
2014-08-28cap the skewGuillaume Horel
2014-08-25removed a line by mistakeGuillaume Horel
2014-08-25small cleanupsGuillaume Horel
2014-08-20n.credit wasn't declaredGuillaume Horel
2014-08-20add MFtranche.delta which mimics BCtranche.deltaGuillaume Horel
2014-08-20replace tranche.pvvec with MFtranche.pv, which mimics BCtranche.pvGuillaume Horel
2014-08-20pass a scalarGuillaume Horel
2014-08-20add two new MF functionsGuillaume Horel
2014-08-19Most functions now take a complement parameterGuillaume Horel
* set to FALSE by default, which was the previous behaviour * when complement is TRUE, we build the tranches pv starting from the top, only makes sense if index$rho is a top-down skew.
2014-08-18cap the correlation to 0.99Guillaume Horel
2014-08-18add a new method for skew mapping (probability matching)Guillaume Horel
2014-08-15improved function for doing the skew mappingGuillaume Horel
2014-08-15check for inverted skewGuillaume Horel
2014-08-14new adjust.skew function for different index mappingGuillaume Horel
2014-08-13take into account the tranche factors. I hope this is right...Guillaume Horel
2014-08-05also returns future deltasGuillaume Horel
2014-07-18wrong signGuillaume Horel
2014-07-15change the Ngrid size for gammas computationsGuillaume Horel
2014-07-15modify Ngrid inside BCtranche.deltaGuillaume Horel
2014-07-14add new corr01 risk functionGuillaume Horel
2014-07-14simplify code, and small speed upGuillaume Horel
2014-06-30add function to compute thetaGuillaume Horel
2014-06-27simplify codeGuillaume Horel
2014-06-25add function to theta adjust the skewGuillaume Horel
2014-06-23add a flag to compute undiscounted expected lossGuillaume Horel
2014-06-17cleanup BCtranche.delta and fixed bugsGuillaume Horel
2014-06-16fix the deltas computation when non constant tranche spreadGuillaume Horel
code is quite ugly, need to make it better
2014-06-04compute gammas as well, hopefully this is rightGuillaume Horel
2014-06-02compute deltas for all attach/detach in one goGuillaume Horel
2014-05-29fix BCtranche.delta uses new apiGuillaume Horel
2014-05-16remove stray characterGuillaume Horel
2014-05-08simplify function callGuillaume Horel
2014-05-08implement skew mapping by doing tranche loss proportion mappingGuillaume Horel
2014-05-07update BCstrikes to make sure it worksGuillaume Horel
2014-05-07add GHquad function, get rid of statmod dependencyGuillaume Horel
2014-04-24initial import of lossdistrib packageGuillaume Horel
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-21 16:02:48 +0000