gauss copula lhplus
financepy.models.gauss_copula_lhplus
Class
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.