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hsloot
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cvalr
Credit derivative valuation in R
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[fix] use new names from `rmo@v0.7.1`
#45
hsloot
closed
2 years ago
0
Refactor/remove lambda parameter
#44
hsloot
closed
2 years ago
0
[BUG] Realign with `rmo`-package after breaking changes
#43
hsloot
closed
2 years ago
0
[refactor] faster-backend
#42
hsloot
closed
3 years ago
0
[refactor] expectation and c++ internals
#41
hsloot
closed
3 years ago
0
[refactor] sample adcp directly for ext. MO-families
#40
hsloot
closed
3 years ago
0
[feat] `probability_distribution` method for `H2ExMarkovParam`-class
#39
hsloot
closed
3 years ago
0
[feat] Add expected pcds methods
#38
hsloot
closed
3 years ago
0
[feat] Use `rcamo_esm` for Cuadras-Augé family
#37
hsloot
closed
3 years ago
0
[bench] add benchmarks for `expected_*_equation` methods
#36
hsloot
closed
3 years ago
0
[REFACTOR] Use specialized sampling algorithm for Cuadras-Auge parameters
#35
hsloot
closed
3 years ago
0
[FEAT] Return std. deviations from `expect_*`-functions if using MC-methods
#34
hsloot
closed
3 years ago
0
[REFACTOR] Vectorization of `expected_pcds_equation` and `expected_cdo_equation`
#33
hsloot
closed
3 years ago
0
[FEAT] Implement `expected_cdo_loss` for `H2ExMarkovParam`-classes
#32
hsloot
closed
3 years ago
0
[BUG] Methods that use `stats::integrate` should check whether integration was successful
#31
hsloot
opened
3 years ago
0
[FEAT] Add calibration and evaluation methods for portfolio CDS and CDO tranches
#30
hsloot
opened
3 years ago
1
[BENCH] Add benchmarks for `expected_pcds_equation` and `expected_cdo_equation`
#29
hsloot
closed
3 years ago
0
[FEAT] Implement `expected_pcds_loss` for the H2-Extendible parameter classes
#28
hsloot
closed
3 years ago
0
[TEST] Add integration test for `expected_pcds_equation` and `expected_cdo_equation`
#27
hsloot
opened
3 years ago
0
[fix] validity methods
#26
hsloot
closed
3 years ago
0
[REVIEW] H2ExtArch3FParam-class
#25
hsloot
closed
3 years ago
0
[REVIEW] H2ExtGaussian3FParam-class
#24
hsloot
closed
3 years ago
0
[BUG] Wrong implementation of validity methods
#23
hsloot
closed
3 years ago
0
[REVIEW] H2ExMarkovParam-/H2ExMOParam-/H2ExtMOParam-classes
#22
hsloot
closed
3 years ago
0
[REVIEW] `H2ExCalibrationParam`-class
#21
hsloot
closed
3 years ago
0
[REVIEW] ExtArch2FParam-classes
#20
hsloot
closed
3 years ago
0
[REVIEW] ExtGaussian2FParam-class
#19
hsloot
closed
3 years ago
0
[REVIEW] ExtMO2FParam-classes
#18
hsloot
closed
3 years ago
0
[REVIEW] ExtMOParam-class
#17
hsloot
closed
3 years ago
0
[REVIEW] `ExMOParam`-class
#16
hsloot
closed
3 years ago
0
[REVIEW] `ExMarkovParam`-class
#15
hsloot
closed
3 years ago
0
[refactor] `CalibrationParam`-classes
#14
hsloot
closed
3 years ago
0
[REVIEW] `CalibrationParam`
#13
hsloot
closed
3 years ago
0
Refactor S4 related code into separate files
#12
hsloot
closed
3 years ago
0
[REFACTOR] Extract class definition and methods into separate files
#11
hsloot
closed
3 years ago
0
[BUG] Complex object initialization and dependencies between getters/setters
#10
hsloot
closed
3 years ago
0
[refactor-test] Separate test files for `CalibrationParam`-classes
#9
hsloot
closed
3 years ago
0
[TEST/REFACTOR] Extract tests for `CalibrationParam`-classes in separate files
#8
hsloot
closed
3 years ago
0
Feat/h2params
#7
hsloot
closed
3 years ago
0
fix #5
#6
hsloot
closed
3 years ago
0
[BUG] Default initialization
#5
hsloot
closed
3 years ago
0
Feat/calibration parameters
#4
hsloot
closed
3 years ago
0
add pricing equations
#3
hsloot
closed
3 years ago
0
[FEATURE] Implement yield curve bootstrapping à la Markit
#2
hsloot
opened
3 years ago
0
add `upfront_spread` and `upront_payment`
#1
hsloot
closed
3 years ago
0