search

hsloot / cvalr

Credit derivative valuation in R
Other
1 stars 2 forks source link

[FEAT] Implement `expected_cdo_loss` for `H2ExMarkovParam`-classes #32

Closed hsloot closed 3 years ago

hsloot commented 3 years ago

Summary

The expected_cdo_loss method can be implemented for all H2-Extendible Markov parameter classes.