Gauss Copula Lhplus
financepy.models.gauss_copula_lhplus
Classes
LHPlusModel
LHPlusModel(p: float, r: float, h: float, beta: float, p0: float, r0: float, h0: float, beta_0: float) -> None
Large Homogenous Portfolio model with extra asset. Used for
approximating full Gaussian copula.
Methods
prob_loss_gt_k
prob_loss_gt_k(self, k: float) -> float
Returns P(L>K) where L is the portfolio loss given by model.
exp_min_lk_integral
exp_min_lk_integral(self, k: float, dk: float) -> float
No description available.
exp_min_lk
exp_min_lk(self, k: float) -> float
No description available.
exp_min_lk2
exp_min_lk2(self, k: float) -> float
No description available.
tranche_survival_prob
tranche_survival_prob(self, k1: float, k2: float) -> float
No description available.
Generated automatically from the FinancePy source code.
Do not edit this file manually.