Gauss Copula

financepy.models.gauss_copula

Functions


default_times_gc(issuer_curves: Sequence[Any], corr_matrix: numpy.ndarray, num_trials: int, seed: int) -> numpy.ndarray

Generate a matrix of default times by credit and trial using a Gaussian copula model using a full rank correlation matrix.

Generated automatically from the FinancePy source code. Do not edit this file manually.